Essays about: "heteroskedasticity"
Showing result 21 - 25 of 39 essays containing the word heteroskedasticity.
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21. Factor return predictability: A comparison of multivariate forecasts of the Size, Value, Momentum, and Low Volatility premia
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper studies the predictive performance of multivariate models in forecasting joint returns of portfolios tracking the Size, Value, Momentum, and Low Volatility premia. We run recursive out-of-sample forecasting experiments on a number of linear and regime switching models, and compare the accuracy of their point predictions in a qualitative and quantitative fashion. READ MORE
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22. Estimating the Swedish Phillips Relationship in a Markov-Switching Vector Autoregression
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : The Swedish Phillips relationship was recently examined by Svensson (2015), who found that the long-run trade-off is downward-sloping. Hence, there is an unemployment cost of inflation. He argues that this has occurred because inflation expectations are anchored to the inflation target, while average inflation has deviated from the target. READ MORE
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23. Virtual Power Plant Auctions in the Western Denmark Electricity Market: An Econometric Analysis
University essay from Göteborgs universitet/Graduate SchoolAbstract : In July 2006, two of Denmark’s largest energy companies, Elsam A/S and DONG A/S, merged to form DONG Energy A/S. In the years directly leading up to this merger, Elsam had been accused of abusing its dominant position in the Western Danish spot market for wholesale electricity (DK1) by charging unreasonably high power prices. READ MORE
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24. Price and Volatility Prediction in the EU ETS Market
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : In this thesis we examine return and volatility predictability of continuous futures contracts within the European Union Emissions Trading System (EU ETS). The market has been active for nine years and we examine whether it is more mature now compared to a few years ago when most existing research was carried out. READ MORE
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25. An Empirical Evaluation of OLS Hedonic Pricing Regression on Singapore Private Housing Market
University essay from KTH/ByggvetenskapAbstract : The empirical paper studies the relationship between property value and hedonic attributes. To indentify the determinant characteristics the influent the private real estate price, their degrees of significance and help with the valuation procedure, 8870 private residential property transactions with caveats lodged across country are selected from Urban Redevelopment Authority of Singapore. READ MORE
