Essays about: "arma"

Showing result 16 - 20 of 51 essays containing the word arma.

  1. 16. The Relationship of Weather with Electricity Prices: A Case Study of Albania

    University essay from Jönköping University/IHH, Nationalekonomi

    Author : Evgjenia Greku; Zhuohan Xie; [2020]
    Keywords : electricity price; hydro power; renewable energy; state monopoly; day-ahead market; climate change; air temperature; rainfall; river water flow;

    Abstract : Electricity markets may become more sensitive to weather conditions because of higher penetration of renewable energy sources and climatic changes. Albania is 100% reliant on hydropower for its domestic energy generation, making this country compelling to investigate as it is highly sensitive to changing weather conditions. READ MORE

  3. 17. 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

  4. 18. Forecasts of PMI

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Julia Karlsson; Moa Sjöström; [2020]
    Keywords : ;

    Abstract : Purchasing Mangers' Index (PMI) is an index published by the Institute for Supply Management. The index is based on a monthly survey answered by hundreds of purchasing managers in the manufacturing business all over the United States. READ MORE

  5. 19. Portfolio Optimization : A DCC-GARCH forecast with implied volatility

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Sam Bigdeli; Filip Bengtsson; [2019]
    Keywords : DCC-GARCH; Portfolio Optimization; Certainty Equivalence Tangency; CET; Global Minimum Variance; GMV; Minimum Conditional Value-at-Risk; MinCVaR; Implied volatility index; VIX;

    Abstract : This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1. READ MORE

  6. 20. Analysis of Cryptocurrency volatility and statistical distributions using ARMA and GARCH-type models

    University essay from Lunds universitet/Statistiska institutionen

    Author : Zhiyi You; [2019]
    Keywords : Cryptocurrency; Bitcoin; Litecoin; Ethereum; volatility; ARMA; GARCH-type models; eGARCH; Student s t-distribution; Laplace distribution; statistical distributions; Mathematics and Statistics;

    Abstract : This study aims to investigate and model statistical properties of Bitcoin and other major cryptocurrencies. There were recent drastic changes in the level of Bitcoin prices as it moved from $740 in 2014 to $19,187 in 2017, and down to $3,830 in 2018. READ MORE