Essays about: "mean reverting"
Showing result 1 - 5 of 31 essays containing the words mean reverting.
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1. INFLATION ANDINTEREST : What does high inflation imply?
University essay from Umeå universitet/NationalekonomiAbstract : The objective of this paper is to examine the general relationship between the year-onyear inflation-rate and nominal interest rates, contributing to a better understanding of what high inflation implies for nominal rates. Although a heavily researched topic, economists still seem far from a consensus regarding the relation between these two variables; some papers suggest a strong relationship – while others reject the idea of an empirically observable relationship altogether. READ MORE
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2. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor
University essay from KTH/Matematik (Avd.)Abstract : Empirical evidence indicates that the volatility in asset prices is not constant, but varies over time. However, many simple models for asset pricing rest on an assumption of constancy. READ MORE
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3. A Study of the Relationship Between Mean Reversion and a Black Swan Event
University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)Abstract : This study examines the relationship between mean reversion and a black swan event on the Swedish stock market. The data is taken from the Mid Cap and the Large Cap and then compared with the OMXS index. READ MORE
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4. Forecasting Efficiency in Cryptocurrency Markets : A machine learning case study
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : Financial time-series are not uncommon to research in an academic context. This is possibly not only due to its challenging nature with high levels of noise and non-stationary data, but because of the endless possibilities of features and problem formulations it creates. READ MORE
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5. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation
University essay from Linköpings universitet/ProduktionsekonomiAbstract : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. READ MORE