Sökning: "volatility prediction model"

Visar resultat 1 - 5 av 21 uppsatser innehållade orden volatility prediction model.

  1. 1. Capital structure's influence on volatility on in times of financial distress : An investigation on capital structure as a volatility influencer before, during and after the European debt crisis on the Stockholm Stock Exchange

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Författare :Oscar Joos; Johanna Öhlin; [2017]
    Nyckelord :volatility; capital structure; stock market; stock returns; Europe; debt crisis; financial crisis; multiple regression models; volatility within different industries; volatility prediction model; Sweden; Swedish stock market.;

    Sammanfattning : The financial crisisand the European debt crisis wreaked havoc on many European economies and stock markets. Previous studies have shown that crises are associated with high debt and linked with lower growth. LÄS MER

  2. 2. Predicting Corporate Credit Ratings: A Comparative Study Between Ordered Probit, Neural Network and Random Forest

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Daniel Larsson; Filip Wikander; [2017]
    Nyckelord :Credit ratings; Machine learning; Ordered probit; Random Forest; Neural network;

    Sammanfattning : This thesis compares the prediction accuracy for corporate credit ratings between three different models. The two first models, a traditional statistical model called ordered probit and a machine learning model called artificial neural network has been used with success before. LÄS MER

  3. 3. On Optimal Sample-Frequency and Model-Averaging Selection When Predicting Realized Volatility

    Master-uppsats, Stockholms universitet/Nationalekonomiska institutionen

    Författare :Joakim Gartmark; [2017]
    Nyckelord :;

    Sammanfattning : Predicting volatility of financial assets based on realized volatility has grown popular in the literature due to its strong prediction power. Theoretically, realized volatility has the advantage of being free from measurement error since it accounts for intraday variation that occurs on high frequencies in financial assets. LÄS MER

  4. 4. Strategies for High Frequency FX Trading - The choice of bucket size

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Malin Lunsjö; Malin Riddarström; [2017]
    Nyckelord :Highfrequency; FXtrading; Shiftedgeometricdistribution; MonteCarlo; Time Series Analysis; EWMA; Bucket size; TWAP.; Mathematics and Statistics;

    Sammanfattning : This thesis aims at developing and evaluating a model for high frequency foreign exchange data, that beats the TWAP benchmark the majority of the time. This is done by dividing the total order time into smaller time buckets and trading a smaller quantity of the total order volume in each bucket. LÄS MER

  5. 5. On Stochastic Volatility Models as an Alternative to GARCH Type Models

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Oscar Nilsson; [2016]
    Nyckelord :Stochastic Volatility; Heavy tails; GARCH; Markov Chain Monte Carlo;

    Sammanfattning : For the purpose of modelling and prediction of volatility, the family of Stochastic Volatility (SV) models is an alternative to the extensively used ARCH type models. SV models differ in their assumption that volatility itself follows a latent stochastic process. LÄS MER

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