Essays about: "Unconditional correlations"

Found 4 essays containing the words Unconditional correlations.

  1. 1. Distributional Dynamics of Fama-French Factors in European Markets

    University essay from KTH/Matematisk statistik

    Author : Wilmer Löfgren; [2020]
    Keywords : Fama-French factors; NGARCH; Copula; Value-at-Risk; Risk model evaluation; Fama-French-faktorer; NGARCH; Copula; Value-at-Risk; Utvärdering av riskmodeller;

    Abstract : The three-factor model of Fama and French has proved to be a seminal contribution to asset pricing theory, and was recently extended to include two more factors, yielding the Fama-French five-factor model. Other proposed augmentations of the three-factor model includes the introduction of a momentum factor by Carthart. READ MORE

  3. 2. Unconditional Conditions : A Study of How Civic Integration Policies Affect Migration Flows in Europe

    University essay from Stockholms universitet/Statsvetenskapliga institutionen

    Author : Anton Ahlén; [2015]
    Keywords : Civic integration;

    Abstract : In the last decade, there has been a diffusion of civic integration policies in Europe, which requires immigrants by certain category of entry to accomplish integration tests for acquisition of residence. Despite a flurry of literature based on civic integration policies, attention drawn to the implication of these policies has been quite rare. READ MORE

  4. 3. A Study of Swedish Mortgage Interest Rates and Swedbank Stock Returns : Time-varying Mortgage Margins and Stock Returns

    University essay from KTH/Bank och finans

    Author : Siyi Yang; [2012]
    Keywords : Mortgage loan; interest rate; housing market; financial market; bank’s stock return;

    Abstract : How banks set the mortgage interest rates and the sizes of the mortgage margins they obtain from making mortgage loans always attract attention from households, government authorities, politicians and market actors. This thesis studies the relationship between Swedish mortgage interest rates and mortgage lending institutions’ costs of obtaining funds, and how the gross margins of mortgage interest rates influence the banks stock returns. READ MORE

  5. 4. Anticipation of Takeover Transactions by Shifts in the Correlations

    University essay from Göteborgs universitet/Graduate School

    Author : Mohammad Irani; [2011-07-21]
    Keywords : Acquisitions; Anticipation; Payment form; Structural breaks; Unconditional correlations;

    Abstract : This paper provides a new solution for the bidder unpredictability dilemma in takeover acquisitions. The sample encompasses 125 successful acquisitions between non-financial exchange-listed U.S. companies from 2003 to 2006. READ MORE