Essays about: "omx index"

Showing result 1 - 5 of 100 essays containing the words omx index.

  1. 1. On modelling OMXS30 stocks - comparison between ARMA models and neural networks

    University essay from Uppsala universitet/Matematiska institutionen

    Author : Irina Zarankina; [2023]
    Keywords : ARMA; ARIMA; LSTM; time series; statistics;

    Abstract : This thesis compares the results of the performance of the statistical Autoregressive integrated moving average (ARIMA) model and the neural network Long short-term model (LSTM) on a data set, which represents a market index. Both models are used to predict monthly, daily, and minute close prices of the OMX Stockholm 30 Index. READ MORE

  3. 2. Calculating Value-at-Risk under the G-Normal distribution. : Applied with Swedish data.

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Daniel Renvall Moberg; [2023]
    Keywords : ;

    Abstract : Value–at–Risk (VaR) since its birth at JPMorgan in the 1990s, has become widely adopted by first and foremost the financial industry, but in later days regulatory authorities as a way of calculating downside risk. The subject in hand has led to numerous attempts by both the industry as well as scholars to find the perfect settings to calculate VaR. READ MORE

  4. 3. Board Effectiveness and Artificial Intelligence Disclosure

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Nathalie Sandström; Sara Spodenkiewicz; [2023]
    Keywords : Corporate Governance; Board of Directors; Board Effectiveness; Disclosures; Artificial Intelligence; Business and Economics;

    Abstract : As a relatively new phenomenon, Artificial Intelligence (AI) has already proven itself to carry the ability to transform modern-day society. With increased AI use becoming more and more prevalent, both its benefits and potential consequences come to light. READ MORE

  5. 4. Unraveling the Impact: An Event Study of the Swedish Stock Market Reactions to the Riksbank's Monetary Policy Announcements

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jakob Linder; Jakob Strömholm Sontagh; [2023]
    Keywords : The Riksbank; Monetary Policy; Spillover Effects; Monetary Policy Announcements; Efficient Market Hypothesis;

    Abstract : This study investigates the impact of the Riksbank's monetary policy announcements on Swedish equity returns. Using a methodology developed by Kuttner (2001) and Fransson and Tysklind (2016) we distinguish between expected and unexpected changes to the Riksbank rate and study how the components affect equity prices. READ MORE

  6. 5. Empirical Analysis of Joint Quantile and Expected Shortfall Regression Backtests

    University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

    Author : Viktor Ågren; [2023]
    Keywords : risk metric; expected shortfall; backtest; value at risk; empirical analysis;

    Abstract : In this work, we look into the practical applicability of three joint quantile and expected shortfall regression backtests. The strict, auxiliary, and intercept ESR backtests are applied to the historical log returns of the OMX Stockholm 30 market-weight price index. READ MORE