Essays about: "variance-covariance matrix"
Found 4 essays containing the words variance-covariance matrix.
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1. A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET
University essay from Uppsala universitet/Statistiska institutionenAbstract : This thesis has treated the subject of DCC-GARCH model’s forecasting ability and Value-at- Risk applications on the Scandinavian foreign exchange market. The estimated models were based on daily opening foreign exchange spot rates in the period of 2004-2013, which captured the information in the financial crisis of 2008 and Eurozone crisis in the early 2010s. READ MORE
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2. Risk-Based Portfolio Allocation Strategies with a Focus on Sustainable Stocks in Sweden
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper aims at analyzing the performance of six portfolio weight allocation strategies. The traditional Market Capitalization (CW), the Equal Weight (EW) and the Inverse Volatility Weighting (IVW) are heuristic based techniques and the Minimum Variance (MV), Maximum Diversification (MD) and Risk Efficient Weighting (REW) are risk-based. READ MORE
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3. Displacement Analysis of a Geodetic Network : A case study of the Vasa warship
University essay from Högskolan Väst/Avdelningen för data-, elektro- och lantmäteriteknikAbstract : By measuring coordinates repeatedly in time we can detect movements of an area or an object by establishing and monitoring a geodetic network. Since it is known that the Vasa warship is suffering from decomposition, a geodetic network has been established around the ship to monitor its deformation. READ MORE
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4. Testing The Black- Litterman Model: Sensitivity of Weight Vector to the Variance of Views
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The paper investigates sensitivity of the optimal portfolio obtained from the Black Litterman model to the specification of the inputs. Specifically estimation methods of the variances of the views are employed and the results are analysed. For this purpose the MSCI indices of 14 European countries are experienced. READ MORE