Essays about: "rolling-window"

Showing result 1 - 5 of 35 essays containing the word rolling-window.

  1. 1. The Time-Varying Correlation between Regional Home Prices and The Impact of Central Bank Balance Sheet Policies on Home Prices : A Graphical Descriptive Statistics Approach on The US Housing Market

    University essay from KTH/Fastighetsföretagande och finansiella system

    Author : Claudia Patricia Moros Martinez; [2023]
    Keywords : Quantitative easing; Quantitative tapering; Quantitative Research; Stock Prices; Real Estate; Central Banks; Federal Reserve; COVID-19; Kvantitativa lättnader; Kvantitativ nedtrappning; Kvantitativ forskning; Aktiekurser; Fastigheter; Centralbanker; Federal Reserve; COVID-19;

    Abstract : There has been a growing interest in economic policies and their impact within a country among the real estate economics research community in recent years. After the economic crisis of 2008, an unconventional monetary policy was created, and it has been called quantitative easing (QE), an instrument of economic policy applied through central banks to boost the economy in periods when conventional monetary policy is not satisfactory. READ MORE

  3. 2. Can Machine Learning improve inflation forecasting?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Emil Hansson; [2023]
    Keywords : Inflation Forecast; Machine Learning; Rolling Window; Time Series; Business and Economics;

    Abstract : This paper aims to compare and evaluate the performance of inflation forecasting performance for benchmark time series models and machine learning models. The process is performed for both a developed economy, the US, and an emerging economy, Mexico. READ MORE

  4. 3. SAX meets Word2vec : A new paradigm in the time series forecasting

    University essay from Högskolan i Halmstad/Akademin för informationsteknologi

    Author : Erik Janerdal; David Dimovski; [2023]
    Keywords : Contextual Time Series; Forecasting; ARIMA; SARIMA; Word2vec; SAX;

    Abstract : The purpose of this thesis was to investigate whether some successful ideas in NLP, such as word2vec, are applicable to time series prob- lems or not. More specifically, we are interested to assess a combina- tion of previously proven methods such as SAX and Word2vec. READ MORE

  5. 4. 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

  6. 5. Skill, Scale and Investor Return in Established and Emerging Markets - An empirical study of equity mutual fund performance between markets with contrasting characteristics

    University essay from

    Author : Olle Fröling; Olle Wingstrand; [2022-06-29]
    Keywords : Equity Mutual Funds; Decreasing Returns to Scale; Alpha; Fund Skill; Fama-French Five-Factor Model; Nordic Equity Funds; Asian Equity Funds; Fixed Effects;

    Abstract : In this report we empirically analyze the effects of returns to scale for equity mutual funds in the Nordic and Asian regions. We also investigate whether or not funds generate alpha (i.e., have skill). READ MORE