Essays about: "out-of-sample"
Showing result 1 - 5 of 127 essays containing the word out-of-sample.
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1. GARCH and GAS: Comparison of volatility models for Bitcoin in different exchanges
University essay from Göteborgs universitet/Graduate SchoolAbstract : MSc in Finance.... READ MORE
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2. Tidying up the factor zoo: Using machine learning to find sparse factor models that predict asset returns.
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : There exist over 300 firm characteristics that provide significant information about average asset return. John Cochrane refers to this as a “factor zoo” and challenges researchers to find the independent characteristics which can explain average return. READ MORE
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3. Predicting Asset Prices with Machine Learning
University essay fromAbstract : This study examines whether machine learning techniques such as neural networks contain predictability when modeling asset prices and if they can improve on asset pricing prediction compared to traditional OLS-regressions. This is analyzed through measuring and comparing the out-of-sample R2 to find each models’ predictive power. READ MORE
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4. Implied Volatility and Historical Volatility : An Empirical Evidence About The Content of Information And Forecasting Power
University essay from Umeå universitet/Företagsekonomi; Umeå universitet/FöretagsekonomiAbstract : This study examines whether the implied volatility index can provide further information in forecasting volatility than historical volatility using GARCHfamily models. For this purpose, this researchhas been conducted to forecast volatility in two main markets the United States of America through its wildly used Standard and Poor’s 500 index and its correspondingvolatility index VIX and in Europe through its Euro Stoxx 50 and its correspondingvolatility index VSTOXX. READ MORE
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5. Modeling the Relation Between Implied and Realized Volatility
University essay from KTH/Matematisk statistikAbstract : Options are an important part in today's financial market. It's therefore of high importance to be able to understand when options are overvalued and undervalued to get a lead on the market. READ MORE
