Sökning: "heteroscedasticity"
Visar resultat 6 - 10 av 40 uppsatser innehållade ordet heteroscedasticity.
6. A heteroscedastic volatility model with Fama and French risk factors for portfolio returns in Japan
Kandidat-uppsats, Stockholms universitet/Statistiska institutionenSammanfattning : This thesis has used the Fama and French five-factor model (FF5M) and proposed an alternative model. The proposed model is named the Fama and French five-factor heteroscedastic student's model (FF5HSM). The model utilises an ARMA model for the returns with the FF5M factors incorporated and a GARCH(1,1) model for the volatility. LÄS MER
7. Business analytics tools for data collection and analysis of COVID-19
Master-uppsats, Linköpings universitet/Statistik och maskininlärningSammanfattning : The pandemic that struck the entire world 2020 caused by the SARS-CoV-2 (COVID-19) virus, will have an enormous interest for statistical and economical analytics for a long time. While the pandemic of 2020 is not the first that struck the entire world, it is the first pandemic in history where the data were gathered to this extent. LÄS MER
8. Calendar Anomalies in the Nordic Stock Markets : A quantitative study of the Sell in May effect, January effect & Monthly Anomalies
Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)Sammanfattning : This study has applied a geographical perspective with the ambition of evaluating the presence of the Sell in May effect, January effect and monthly anomalies in the Nordic stock markets. In extension the study examines the relationship between corporate size and the returns of calendar anomalies. LÄS MER
9. VALUE-AT-RISK ESTIMATION USING GARCH MODELS FOR THE CHINESE MAINLAND STOCK MARKET
Master-uppsats, Uppsala universitet/Statistiska institutionenSammanfattning : With the acceleration of economic globalization, the immature Chinese mainland stock market is gradually associated with the stock markets of other countries. This paper predict the return rate of Chinese mainland stock market using several models from GARCH family, test the predictability by calculating Value-at-Risk, also capture the dynamic correlation between other fifive countries or region and mainland China by DCC-GARCH model. LÄS MER
10. Sustainability and senior executive compensation : A study of the relationship between sustainability and senior executive compensation in the Nordics
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/FöretagsekonomiSammanfattning : The focus on sustainability has become more noticeable during recent years. This is especially evident in the Nordics, were Sweden, Norway, Denmark and Finland tops the sustainability rankings. Moreover, several studies have been conducted surrounding the topic of the sustainability measuring ESG-scores and their relation to financial performance. LÄS MER