Essays about: "external regressor"

Found 4 essays containing the words external regressor.

1. 1. Forecasting daily stock market trading volume using Machine Learning

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Björn Hickman; [2023]
   Keywords : Machine Learning; Trading Volume Prediction; Stock Market; Maskininlärning; Förutspå Handelsvolym; Aktiemarknad;

   Abstract : Today, brokers within the stock market brokerage industry are having difficulties with accurately forecasting the trading volume that is conducted by their customers. This is especially a problem during periods of exceptionally high or low trading volumes. READ MORE

3. 2. 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

4. 3. Univariate GARCH models with realized variance

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Carl Börjesson; Ossian Löhnn; [2019]
   Keywords : GARCH; EGARCH; GJRGARCH; external regressor; realized variance; volatility; Value at Risk; nig; Normal inverse gaussian; std; Student’s t distribution; norm; Normal distribution; rugarch; rolling forecast;

   Abstract : This essay investigates how realized variance affects the GARCH-models (GARCH, EGARCH, GJRGARCH) when added as an external regressor. The GARCH models are estimated with three different distributions; Normal-, Student’s t- and Normal inverse gaussian distribution. READ MORE

5. 4. Hand Detection and Pose Estimation using Convolutional Neural Networks

   University essay from KTH/Skolan för datavetenskap och kommunikation (CSC)

   Author : Adam Knutsson; [2015]
   Keywords : machine learning; artificial neural networks; convolutional neural networks; computer vision;

   Abstract : This thesis examines how convolutional neural networks can applied to the problem of hand detection and hand pose estimation. Two families of convolutional neural networks are trained, aimed at performing the task of classification or regression. The networks are trained on specialized data generated from publicly available datasets. READ MORE