Essays about: "Time-Varying"

Showing result 1 - 5 of 250 essays containing the word Time-Varying.

1. 1. Beyond Profits: Exploring the Investment Styles and Risk-Adjusted Returns of ESG-Driven Portfolios

   University essay from

   Author : Alexander Olsson; Jonathan Taimory; [2023-07-06]
   Keywords : Risk-adjusted Returns; Investment Styles; Environmental; Social and Governance ESG ;

   Abstract : This study uses daily data to examine how different ESG implementations affect performance and portfolio characteristics. With a non-homogenous view of how ESG investing is defined, ten different value-weighted portfolios are constructed. The geographical focus is the US market, with the S&P 500 total return index (SPXTR) as the screening universe. READ MORE

3. 2. Testing the Adaptive Market Hypothesis on the Swedish Stock Market - Empirical evidence between 1990-2019

   University essay from

   Author : Jacob Allestam; Filip Sjöberg; [2023-06-29]
   Keywords : Adaptive market hypothesis; market efficiency; market conditions; return predictability; trading strategy;

   Abstract : This study examines if the adaptive market hypothesis holds for the Swedish stock market between 1990 and 2019. We use Affärsvärldens Generalindex and test for time-varying return predictability by implementing a variance ratio test and an autocorrelation test. To track how market efficiency evolves over time we use a two-year moving subsample. READ MORE

4. 3. Pricing of FX products - list rates

   University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

   Author : Emma Edvardsson; [2023]
   Keywords : ;

   Abstract : List rates is a product that provides clients with a fixed exchange rate for a fixed period of time, varying from a few minutes up to a few days. During this period, the customer can exercise trading at the fixed exchange rate multiple times. The aim of this study is to find a pricing model for List rates. READ MORE

5. 4. Robust Aircraft Positioning using Signals of Opportunity with Direction of Arrival

   University essay from Linköpings universitet/Reglerteknik

   Author : Erik Axelsson; Sebastian Fagerstedt; [2023]
   Keywords : Simultaneous localisation and mapping; direction of arrival; signals of opportunity; extended Kalman filter; positioning;

   Abstract : This thesis considers the problem of using signals of opportunity (SOO) with known direction of arrival (DOA) for aircraft positioning. SOO is a collective name for a wide range of signals not intended for navigation but which can be intercepted by the radar warning system on an aircraft. READ MORE

6. 5. The Time-Varying Correlation between Regional Home Prices and The Impact of Central Bank Balance Sheet Policies on Home Prices : A Graphical Descriptive Statistics Approach on The US Housing Market

   University essay from KTH/Fastighetsföretagande och finansiella system

   Author : Claudia Patricia Moros Martinez; [2023]
   Keywords : Quantitative easing; Quantitative tapering; Quantitative Research; Stock Prices; Real Estate; Central Banks; Federal Reserve; COVID-19; Kvantitativa lättnader; Kvantitativ nedtrappning; Kvantitativ forskning; Aktiekurser; Fastigheter; Centralbanker; Federal Reserve; COVID-19;

   Abstract : There has been a growing interest in economic policies and their impact within a country among the real estate economics research community in recent years. After the economic crisis of 2008, an unconventional monetary policy was created, and it has been called quantitative easing (QE), an instrument of economic policy applied through central banks to boost the economy in periods when conventional monetary policy is not satisfactory. READ MORE