Essays about: "vektorautoregression"

Found 5 essays containing the word vektorautoregression.

1. 1. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

   University essay from KTH/Matematik (Avd.)

   Author : Simon Wahlberg; [2022]
   Keywords : RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

   Abstract : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. READ MORE

3. 2. Impact of Forward-Looking Macroeconomic Information on Expected Credit Losses According to IFRS 9

   University essay from KTH/Matematik (Avd.)

   Author : Christian Corfitsen; [2021]
   Keywords : IFRS 9; Expected credit loss; ECL; VAR; Vector Autoregression; Forecasting; Impulse Response Analysis; Forecast Error Variance Decomposition; IFRS 9; Expected credit loss; ECL; VAR; Vektorautoregression; Prognostisering; Impulsresponsanalys; Forecast error variance decomposition;

   Abstract : In this master thesis, the impact of forward-looking macroeconomic information under IFRS 9 is studied using fictional data from a Swedish mortgage loan portfolio. The study employs a time series analysis approach and employs vector autoregression models to model expected credit loss parameters with multiple incorporated macroeconomic parameters. READ MORE

4. 3. PC Regression, Vector Autoregression, and Recurrent Neural Networks: How do they compare when predicting stock index returns for building efficient portfolios?

   University essay from KTH/Optimeringslära och systemteori

   Author : David Hallberg; Erik Renström; [2019]
   Keywords : PC Regression; Vektorautoregression; och Återkopplande Neurala Nätverk: En jämförelse mellan deras förmåga att prognostisera aktieindexavkastning för att konstruera effektiva portföljer; Huvudkomponentregression; vektorautoregression; LSTM; återkopplande neurala nätverk; portföljteori; portföljoptimering; maskininlärning; makroekonomi; finans; aktieavkastning; aktieindex;

   Abstract : This thesis examines the statistical and economic performance of modeling and predicting equity index returns by application of various statistical models on a set of macroeconomic and financial variables. By combining linear principal component regression, vector autoregressive models, and LSTM neural networks, the authors find that while a majority of the models display high statistical significance, virtually none of them successfully outperform classic portfolio theory on efficient markets in terms of risk-adjusted returns. READ MORE

5. 4. Assessing the Effect of the Riksbank Repo Rate on National Output and Price Level in Sweden : Focusing on Employment and Housing Prices

   University essay from KTH/Matematisk statistik

   Author : Christofer Borén; Felix Ewert; [2018]
   Keywords : Monetary Policy; Policy Rate; Inflation; Employment; Housing Prices; Vector Autoregression; Impulse Response Function; Penningpolitik; Styrränta; Inflation; Sysselsättning; Bostadspriser; Vektorautoregression; Impuls-Responsfunktion;

   Abstract : There is no single commonly adapted model that explains the influence that various monetary policy instruments carry for the economy. During 2011-2017, the Swedish inflation rate has remained below the 2 percent target which has led the Riksbank to take measures aimed at stimulating the inflation. READ MORE

6. 5. Association Mining and Prediction of SystemPerformance Attributes in a large-scale ITinfrastructure

   University essay from KTH/Skolan för datavetenskap och kommunikation (CSC)

   Author : LENNART LIBERG; [2013]
   Keywords : ;

   Abstract : The master thesis seeks to establish relationships between eleven system performance metrics in a large-scale IT infrastructure, and to predict their future behavior. The rst task was performed using multiple linear regression, with one of the eleven metrics being taken as a dependant variable measuring total system performance. READ MORE