Essays about: "index"

Showing result 1 - 5 of 1763 essays containing the word index.

  1. 1. Arbitrage Pricing Theory: A study on the Stockholm Stock

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Richard Johansson; Pierre Petersson; [2019-03-01]
    Keywords : Arbitrage Pricing Theory; APT; Stockholm Stock Exchange; Macroeconomic Factors; Multi Factor Model;

    Abstract : This thesis investigates the macroeconomic factors that affect the returns on the different portfolios in Stockholm Stock Exchange by using Arbitrage Pricing Theory (Stephen Ross 1976). We use the portfolios of Large Cap, Mid Cap, Small Cap, and All Caps. Specifically, multiple index model is used. The sample period is 2012-2017. READ MORE

  2. 2. Volatility forecasting using the GARCH framework on the OMXS30 and MIB30 stock indices

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Peter Johansson; [2019-01-22]
    Keywords : Volatility forecasting; Random Walk; Moving Average; Exponentially Weighted Moving Average; GARCH; EGARCH; GJR-GARCH; APGARCH; volatility model valuation; regression; information criterion;

    Abstract : There are many models on the market that claim to predict changes in financial assets as stocks on the Stockholm stock exchange (OMXS30) and the Milano stock exchange index (MIB30). Which of these models gives the best forecasts for further risk management purposes for the period 31st of October 2003 to 30th of December 2008? Is the GARCH framework more successful in forecasting volatility than more simple models as the Random Walk, Moving Average or the Exponentially Weighted Moving Average?The purpose of this study is to find and investigate different volatility forecasting models and especially GARCH models that have been developed during the years. READ MORE

  3. 3. Value at Risk and Expected Shortfall risk measures using Extreme Value Theory

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Peter Johansson; [2019-01-22]
    Keywords : Extreme Value Theory; Generalized Pareto Distribution; Point-Over-Threshold method; risk measures; Value at Risk; Expected Shortfall;

    Abstract : Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for institutions and agents in financial markets. A main drawback with these risk measures is that they traditionally assume a specific distribution, as the Normal distribution or the Student’s t distribution. READ MORE

  4. 4. ECONOMIC GROWTH DETERMINANTS AND PUBLIC ADMINISTRATION INSTITUTIONS A Cross-National Analysis of TFP, AP and Weberianess

    University essay from Göteborgs universitet/Statsvetenskapliga institutionen

    Author : Fatima Sow; [2019-01-11]
    Keywords : Economic Growth; Productivity; Total Factor Productivity TFP ; Average Productivity AP ; Public Administration Institutions; Weberianess; Professionalism; Closedness;

    Abstract : The Weberian bureaucracy argument emphasizes a public administration with a set of principles onhow it is organised, to make the bureaucracy more productive. This in turn means a more productive public sector. READ MORE

  5. 5. Deinterleaving pulse trains with DBSCAN and FART

    University essay from Uppsala universitet/Avdelningen för systemteknik

    Author : Shad Mahmod; [2019]
    Keywords : DBSCAN; FART; Fuzzy; Adaptive; Resonance; Theory; Radar; Clustering; Deinterleaving; Machine Learning;

    Abstract : Studying radar pulses and looking for certain patterns is critical in order to assess the threat level of the environment around an antenna. In order to study the electromagnetic pulses emitted from a certain radar, one must first register and identify these pulses. READ MORE