Essays about: "factor model conditional"
Showing result 1 - 5 of 25 essays containing the words factor model conditional.
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1. Spatio-temporal analysis of COVID-19 in Västra Götaland, Sweden
University essay from Göteborgs universitet/Institutionen för matematiska vetenskaperAbstract : Spatio-temporal analysis of COVID-19 data with the two different statistical approaches is the main objective of this thesis. The first classical approach, the Endemic-Epidemic framework (Held et al., 2005) is a class of multivariate time-series models for the incidence counts, obtained from the surveillance systems. READ MORE
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2. On the Value at Risk Forecasting of the Market Risk for Large Portfolios based on Dynamic Factor Models with Multivariate GARCH Specifications
University essay from Uppsala universitet/Statistiska institutionenAbstract : Market risk is the risk of capital loss due to unexpected changes in market prices. One risk measure used to estimate market risk is Value at Risk (VaR). The common historical simulation methodology of VaR forecasting usually does not capture the time-varying volatilities associated with financial data. READ MORE
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3. Evaluating Risk Factors with Regression : A Review and Simulation Study of Current Practices
University essay from Uppsala universitet/Statistiska institutionenAbstract : The term ”risk factor” is used synonymously with both predictor and causal factor, and causal aims of explanatory analyses are rarely stated explicitly. Consequently, the concepts of explaining and predicting are conflated in risk factor research. READ MORE
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4. An Empirical Study of Autoencoder Asset Pricing Models and the Impact of Arbitrage Constraints
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Following Gu et al. (2021), we implement a state-of-the-art machine learning asset pricing model, the conditional autoencoder, to capture the time-varying interactions between observable stock characteristics and factor loadings, while simultaneously extracting latent factors from stock returns. READ MORE
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5. Executive Constraints and Civil Conflict Onset
University essay from Uppsala universitet/Institutionen för freds- och konfliktforskningAbstract : Do institutional constraints on a regime's executive decrease the likelihood of civil conflict onset? An unconstrained executive is free to loot state resources undermining the state's capacity to effectively deal with nascent rebellions, and may be more likely to engage in violent repression, especially in the form of indiscriminate violence. This can encourage political grievances, lead to a loss of legitimacy for the regime, and provide the opportunity for would be rebel groups to attract new members by offering protection against government violence. READ MORE
