Essays about: "out-of-sample"

Showing result 26 - 30 of 172 essays containing the word out-of-sample.

  1. 26. The efficiency of Hyndman-Ullah methods in case of populations with abnormal short-term increases of mortality rates due to wars and pandemics.

    University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Author : Teo Raspudić; [2022]
    Keywords : ;

    Abstract : This report is written with the goal of analyzing the efficiency of the Hyndman-Ullah (HU) and weighted Hyndman-Ullah (wHU) methods when working with the populations that suffered higher mortalities due to the wars and pandemics. Accordingly, the HU and wHU methods are applied to the training sets containing outlying years. READ MORE

  3. 27. Improving term structure measurements by incorporating steps in a multiple yield curve framework

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Gustav Villwock; Clara Rydholm; [2022]
    Keywords : Finance; Interest rates; Term structure measurement; Monte Carlo; Financial mathematics; Yield curve; Policy rates; Multiple yield curve framework; Stochastic programming; Risk factor modeling; Hedging; Performance attribution; Principle component analysis; GARCH; Maximum likelihood estimation; Copula;

    Abstract : By issuing interest rate derivative contracts, market makers such as large banks are exposed to undesired risk. There are several methods for banks to hedge themselves against this type of risk; one such method is the stochastic programming model developed by Blomvall and Hagenbjörk (2022). READ MORE

  4. 28. The Rational Investor is a Bayesian

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Jiajun Qu; [2022]
    Keywords : Portfolio optimization; Mean-variance optimization; Bayesian approach; Linear shrinkage; Black-Litterman; Robust optimization;

    Abstract : The concept of portfolio optimization has been widely studied in the academy and implemented in the financial markets since its introduction by Markowitz 70 years ago. The problem of the mean-variance optimization framework caused by input uncertainty has been one of the foci in the previous research. READ MORE

  5. 29. Bayesian Structural Time Series in Marketing Mix Modelling

    University essay from KTH/Matematik (Avd.)

    Author : Jessika Karlsson; [2022]
    Keywords : Marketing mix modelling; Bayesian structural time series; variational inference; local linear trend; semi-local linear trend; Marketing mix modellering; Bayesianska strukturella tidsseriemodeller; variationell inferens; lokal-linjär trend; semi-lokal linjär trend;

    Abstract : Marketing Mix Modelling has been used since the 1950s, leveraging statistical inference to attribute media investments to sales. Typically, regression models have been used to model the relationship between the two. READ MORE

  6. 30. Hedging the Term Structure Risk of Carbon Allowance Derivatives : An Application of Stochastic Optimisation to EUA Market Making

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Nikolas Tsigkas; [2022]
    Keywords : Commodity Derivatives; Emissions Trading; Term Structure; Nonparametric Curve Estimation; Hedging; Stochastic Optimisation; Monte Carlosimulation; Market Microstructre; Systematic Risk Factors;

    Abstract : The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. READ MORE