Essays about: "forecast in finance"

Showing result 1 - 5 of 21 essays containing the words forecast in finance.

  1. 1. Determinants of House Prices in Sweden

    University essay from Göteborgs universitet/Graduate School

    Author : Radan Papousek; Martin Södling; [2018-07-04]
    Keywords : Spatial Durbin Model; spatial autocorrelation; Sweden; house prices; spillover; municipalities;

    Abstract : MSc in Finance.... READ MORE

  2. 2. Momentum in Stock Returns Following Dispersion and Consensus in Analysts' Forecasts

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Amanda Hedlund; Johanna Ingemarson; [2018]
    Keywords : Momentum; Forecast dispersion; Analysts recommendations; Short-selling restraints; Behavioural finance;

    Abstract : Our study shows that it is possible for an investor to employ profitable zero-cost portfolio strategies on the OMX Stockholm Benchmark Index that exploit momentum following analysts' forecasts. The significant alpha of the monthly rebalanced long-short portfolios suggests that the analysts' forecasts momentum should be exploited within a month. READ MORE

  3. 3. Multivariate Hawkes Process Modeled News Flow: Forecasting Financial Markets

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

    Author : Tommy Lindström; [2018]
    Keywords : hawkes; hawkes process; finance; financial application; news flow; news; trading; futures; prediction; forecast;

    Abstract : Within the quantitative financial community there are a lot of different approaches in forming profitable trading strategies. This is frequently performed by analyzing historical prices from different perspectives. READ MORE

  4. 4. Comparing forecasts of ARMAs and ANNs on OMXS30. Examining from a economic and statistical point of view.

    University essay from Göteborgs universitet/Graduate School

    Author : Lars Pilerot; David Waldenbäck Hellman; [2017-07-26]
    Keywords : forecasting; artificial neural networks; auto regressive moving average; forecast evaluation;

    Abstract : MSc in Finance.... READ MORE

  5. 5. Swedish Equity Sectors Risk Management with Commodities : Revisiting dynamic conditional correlations and hedge ratios

    University essay from Linköpings universitet/Nationalekonomi

    Author : Daniel Engström; Niklas Gustafsson; [2017]
    Keywords : Hedging; hedge; commodities; futures; hedge ratio; conditional correlation; DCC; GO-GARCH; DCC-GARCH; GARCH; Dynamic conditional correlation; oil; GSCI; copper; gold; safe haven; optimal hedge ratio; finance; economics; markets; risk; risk management; hedge effectiveness; Risk; riskhantering; råvaror; terminer; futures; hedging; hedge; GARCH;

    Abstract : The purpose of this study is to investigate changes in dynamic conditional correlations between Swedish equity sector indices and commodities using oil, gold, copper and a general commodity index. Additionally the purpose is to evaluate which of the two methods, DCC- GARCH or GO-GARCH that is more efficient in estimating correlation for hedge ratio calculation. READ MORE