Essays about: "Time series momentum"
Showing result 16 - 18 of 18 essays containing the words Time series momentum.
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16. Portfolio Pricing with Measures of Conditional Skewness and Kurtosis
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : On the ground of a highly dynamic economic environment, the necessity for time-varying risk measures emerged. Inclusion of higher-order conditional moments in asset pricing models is a very common topic in recent research articles. READ MORE
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17. Cross-Section of Stock Returns: : Conditional vs. Unconditional and Single Factor vs. Multifactor Models
University essay from Handelshögskolan vid Umeå universitetAbstract : The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama & French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. READ MORE
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18. Assessment and empirical analysis of Finland emigration in response to Selected economic Pull-Push deriving forces: 1960-2008
University essay from Lunds universitet/Ekonomisk-historiska institutionenAbstract : The purpose of the study is to investigate the impact, in magnitude and direction, of some preliminary push-pull economic forces on the decision of Finland people to migrate to Sweden in the time period 1960-2009. It also aims to see how different people respond to those forces active based on their sex, marital status and age, 15-30 and 50-65 and strives to oversee which economic factors were more affecting and which were not, which particular forces, push or pull economic determinants, tend Finns to migrate to Sweden. READ MORE