Essays about: "out-of-sample"

Showing result 31 - 35 of 172 essays containing the word out-of-sample.

1. 31. Do investors walk their talk? Intention-behavior consistency of robo-advisor investors during stock market downturns

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Philipp Schwan; Elisabeth Julia Stephanie Six; [2022]
   Keywords : Investor behavior; Robo-advisor; Self-regulation; Intention-behavior gap;

   Abstract : Robo-advisors, as computer-automated investment platforms following passive investment strategies, have gained a lot of popularity, customers, and assets under management in recent years. They offer accessible and affordable wealth management solutions to a wide customer base through low fees and minimum investment amounts while providing well-diversified portfolios at individually assessed risk profiles. READ MORE

3. 32. Value at Risk estimation : A comparison between different models

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Mathias Mattsson; [2021]
   Keywords : CAViaR; GARCH; Value at Risk; Backtesting;

   Abstract : In this thesis the performance of the quantile based CAV iaR models is evaluated and compared with GARCH models for predicting the Value at Risk. This is done by one step ahead out of sample prediction. The one step ahead out of sample prediction is done for the 500 observations at the end of the sample. READ MORE

4. 33. Cyclical consumption and the aggregate stock market: Evidence from the Nordic countries

   University essay from Jönköping University/IHH, Företagsekonomi

   Author : Sasu Huttunen; Govert Looije; [2021]
   Keywords : Cyclical consumption; Aggregate stock market; Nordic countries; Out-of-Sample Predictability;

   Abstract : Researchers have dedicated considerable work to explaining components to excess stock market returns. Recently, Atanasov et al. (2020) managed to explain some of this variance in the US stock markets with a cyclical consumption variable. READ MORE

5. 34. Using Machine Learning to Predict Aggregate Excess Returns

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Erik Jonsson; Sebastian Gierlowski Carling; [2021]
   Keywords : Equity premium; Machine learning; Non-linear models; Penalized linear models; Prediction;

   Abstract : In this paper we examine whether standard linear regression and machine learning tools can be used to predict the time series of total returns in excess of the risk-free rate on the S&P500 and FTSE100 indices. We have virtually no success in predicting monthly returns. However, we do have some success in predicting annual returns. READ MORE

6. 35. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Fredrik Gerdin Börjesson; Christoffer Eduards; [2021]
   Keywords : Interest rate measurement; term structures; multiple yield curves; principal component analysis; systematic risk; risk factors; term structure simulation; Latin hypercube sampling with dependence; risk measurement; value-at-risk; expected shortfall; interest rate swap; performance attribution;

   Abstract : 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