Sökning: "conditional correlations"

Visar resultat 1 - 5 av 21 uppsatser innehållade orden conditional correlations.

  1. 1. Investigating the Connection between Behavioural Diversity and Mutation Operators in Software Testing

    Master-uppsats, Göteborgs universitet/Institutionen för data- och informationsteknik

    Författare :Abdullahil Baki Md Ruhunnabi; Tahmina Aziz Tahrin; [2022-10-10]
    Nyckelord :software engineering; mutation testing; behavioural diversity; mutation operators; subsumed mutants; clustering;

    Sammanfattning : [Context and Motivation] Mutation testing supports testers by assessing the quality of a test suite by automatically introducing systematically generated faults in the software and testing if the test cases fail the mutated source code. Despite offering insights on test behaviour, the costs associated with mutation testing are very high, since mutation tools require multiple test runs on various altered versions of the source code. LÄS MER

  3. 2. Portfolio Diversification with Commodities : From a Swedish Perspective

    Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Simon Derenkow; Max Walméus; [2022]
    Nyckelord :Commodities; DCC-GARCH; OMXSPI; Inflation; Correlation; Diversification; Modern Portfolio Theory;

    Sammanfattning : This paper investigates the diversification characteristics of commodities in relation to the Swedish equity index OMXSPI. Much of the previous literature concludes that gold and oil possess diversification or hedging properties against the US equity markets. LÄS MER

  4. 3. GARCH and GAS: Comparison of volatility models for Bitcoin in different exchanges

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Mohammad Rashidi Ranjbar; [2020-07-08]
    Nyckelord :Bitcoin; Volatility Modelling; GAS; GARCH; Realized GARCH; Coinbase; Bitfinex; Bitstamp;

    Sammanfattning : Different characteristics of cryptocurrencies have been investigated by a number of studies. In this study, I focus on conditional volatility of Bitcoin in three exchanges which are Coinbase, Bitfinex and Bitstamp. LÄS MER

  5. 4. Sambandet mellan arbetsrelaterade psykosociala faktorer, sömnkvalitet, symptom på utbrändhet och arbetsfömåga : En kvantitativ tvärsnittsstudie i arbetsrelaterad hälsa inom flygbranschen

    Master-uppsats, Högskolan i Halmstad/Akademin för hälsa och välfärd

    Författare :Desirée Lyrheden; [2020]
    Nyckelord :Arbetsförmåga; flygbranschen; psykosocial arbetsmiljö; sömnkvalitet; utbrändhet;

    Sammanfattning : En hög psykosocial arbetsbelastning och relationell orättvisa kan medföra sömnstörningar, utbrändhet och en nedsatt arbetsförmåga. Arbetsförmågan påverkas av både arbetsrelaterade faktorer och hälsan enligt den teoretiska modellen Work Ability House. LÄS MER

  7. 5. A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Tim Andersson-Säll; Johan Lindskog; [2019]
    Nyckelord :Multivariate GARCH; Conditional Correlations; Forecasting; Time-varying covariance matrices; Exchange rate returns; Variance-Covariance matrix;

    Sammanfattning : 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. LÄS MER