Essays about: "long-horizon"

Showing result 1 - 5 of 10 essays containing the word long-horizon.

  1. 1. Imputation and Generation of Multidimensional Market Data

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

    Author : Tobias Wall; Jacob Titus; [2021]
    Keywords : Time Series Imputation; Financial Time Series; Machine Learning; Deep Learning; Value at Risk; Expected Shortfall; Imputering av Tidsserier; Finansiella Tidsserier; Maskininlärning; Djupinlärning; Value at Risk; Expected Shortfall;

    Abstract : Market risk is one of the most prevailing risks to which financial institutions are exposed. The most popular approach in quantifying market risk is through Value at Risk. Organisations and regulators often require a long historical horizon of the affecting financial variables to estimate the risk exposures. READ MORE

  3. 2. Uncovered Interest Parity and the Financial Crisis of 2007 : An econometric study of the robustness of the uncovered interest parity over different time periods, with varying economic stability.

    University essay from Högskolan i Jönköping/IHH, Nationalekonomi

    Author : Karl Rohlén; Pontus Ekdahl; [2019]
    Keywords : Uncovered interest parity; interest parity; interbank offering rates; yield to maturity; short-horizon; long-horizon;

    Abstract : The current intellectual climate regarding economics seems to be at an agreement regarding the theory of uncovered interest parity and its unreliability within real life application. The purpose of this thesis is to test how the theory holds over periods with varying economic stability, both using a short- and long-horizon test in order to establish the usefulness of uncovered interest parity as a predictor for exchange rate movements. READ MORE

  4. 3. Importance of daily data in long horizon inflation forecasting - a MIDAS approach

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Katrin Ekström; Sofia Lundgren; [2018-02-19]
    Keywords : MIDAS; inflation; forecasting;

    Abstract : We examine the accuracy of forecast models for the monthly Euro area inflation, focusing on the MIDAS approach. We compare two mixed frequency models with four low frequency models, using fourteen mixed frequency variables sampled at daily or monthly frequency. READ MORE

  5. 4. Interpreting the Repurchase Signal

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Alexander Truedsson; Adam Kindstrand; [2018]
    Keywords : Information asymmetry; Insider trading; Share repurchases; Undervaluation; Abnormal returns; Signaling.; Business and Economics;

    Abstract : The purpose of this study is to examine the potential of improving the interpretation of signals of undervaluation inherent to share repurchases, by accounting for insider trading, level of insider and cash holdings. The goal is to contribute to decreased information asymmetry and increased efficiency in capital markets. READ MORE

  6. 5. A small open economy’s view on interest rate differential’s relation to the nominal exchange rate

    University essay from Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

    Author : Julian Unger; [2017]
    Keywords : Small open economy; uncovered interest rate parity; interest rate differential; nominal exchange rate; short-horizon interest rate; long-horizon interest rate;

    Abstract : The characteristics of interest rate differentials’ relationships with the change in nominal exchange rates are here investigated from the small open economy Sweden’s pointof view. We assume rational expectations and risk neutrality. However, these are solelysufficient but not necessary conditions. READ MORE