Essays about: "heteroskedasticity"

Showing result 6 - 10 of 39 essays containing the word heteroskedasticity.

  1. 6. Explaining the dynamics of exchange rate volatility

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jacob Tjerneld; Hampus Lööw; [2022]
    Keywords : Exchange Rates; Volatility; GARCH; Heteroskedasticity; Time Series Analysis.; Business and Economics;

    Abstract : This research examines the volatility of the Swedish krona in regards to the Euro and US-dollar exchange rate, using both daily and monthly data ranging from the beginning of 2000 until 2022. Using this time span allows us to update previous literature on exchange rate volatility, and also incorporates recent economic events such as the great financial crisis of 2008, the 2020 covid-pandemic and the geopolitical uncertainty in Europe following Russia's invasion of Ukraine. READ MORE

  3. 7. The Impact of Swedish Public Finance Factors on the Local Real Estate Market : Based on the GMM PVAR Approach

    University essay from KTH/Fastighetsföretagande och finansiella system

    Author : Jiayu Zhang; [2022]
    Keywords : Public Investments ; Real Estate Market ; GMM PVAR Model ; Offentliga investeringar ; Fastighetsmarknaden ; GMM PVAR-modell ;

    Abstract : Real estate market prices have proven to be influenced by many driving factors. As suggested by Tiebout's (1956) model, the level of public services was believed to influence people's decision to move geographically, which was called "voting with their feet". READ MORE

  4. 8. CAN DEEP LEARNING BEAT TRADITIONAL ECONOMETRICS IN FORECASTING OF REALIZED VOLATILITY?

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Filip Björnsjö; [2020]
    Keywords : Deep Learning; Econometrics; volatility;

    Abstract : Volatility modelling is a field dominated by classic Econometric methods such as the Nobel Prize winning Autoregressive conditional heteroskedasticity (ARCH) model. This paper therefore investigates if the field of Deep Learning can live up to the hype and outperform classic Econometrics in forecasting of realized volatility. READ MORE

  5. 9. Portfolio Performance Optimization Using Multivariate Time Series Volatilities Processed With Deep Layering LSTM Neurons and Markowitz

    University essay from KTH/Matematisk statistik

    Author : Aron Andersson; Shabnam Mirkhani; [2020]
    Keywords : Recurrent Neural network RNN ; long short-term memory LSTM ; portfolio optimization; markowitz; exponential moving average; sharpe ratio; heteroskedasticity; Markowitz;

    Abstract : The stock market is a non-linear field, but many of the best-known portfolio optimization algorithms are based on linear models. In recent years, the rapid development of machine learning has produced flexible models capable of complex pattern recognition. READ MORE

  6. 10. Reverse LBO Performance in Sweden: An Empirical Study

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Victor Cedervall; [2018]
    Keywords : Private Equity; IPO; Reverse LBO; Fixed Effects Regression; Public Markets;

    Abstract : This focuses on the question of whether or not private equity firms create value in their portfolio firms that remain after the private equity funds exit. In order to do this the study investigates post-IPO performance in terms of stock returns for a set of 176 IPOs between 2005 and 2016, of which 60 were private equity owned prior to the IPO, and 116 were not. READ MORE