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Visar resultat 1 - 5 av 14 uppsatser som matchar ovanstående sökkriterier.

  1. 1. On modelling OMXS30 stocks - comparison between ARMA models and neural networks

    Master-uppsats, Uppsala universitet/Matematiska institutionen

    Författare :Irina Zarankina; [2023]
    Nyckelord :ARMA; ARIMA; LSTM; time series; statistics;

    Sammanfattning : This thesis compares the results of the performance of the statistical Autoregressive integrated moving average (ARIMA) model and the neural network Long short-term model (LSTM) on a data set, which represents a market index. Both models are used to predict monthly, daily, and minute close prices of the OMX Stockholm 30 Index. LÄS MER

  3. 2. Rare Earth Metals' Resiliency and Volatility Spillover Effects : A Critical Supply Assessment for Western Technologies From a Risk Management Perspective

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

    Författare :Farzam Ebrahimi; Samuel Elm; [2023]
    Nyckelord :Rare Earth Metals; Interconnectedness; Conditional Volatility; Risk Management; Value at Risk; Event Study;

    Sammanfattning : This paper explores the relationship between Chinese rare earth metals (REMs) and the industries in the U.S and Europe that heavily rely on them. LÄS MER

  4. 3. Short-term forecasting Swedish annual real GDP growth using SARIMA models : A study in forecasting current year Swedish annual real GDP growth using SARIMA models with the Box-Jenkins methodology as a general framework

    Kandidat-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Mark Becker; [2023]
    Nyckelord :SARIMA; ARIMA; ARMA; Box-Jenkins; Real GDP; MAE;

    Sammanfattning : Simulated current year annual real GDP growth forecasts for 2015-2021 are made using a chosen SARIMA model, with the Box-Jenkins methodology as a general modelling framework. The forecasts are compared to the actual outcomes and the Absolute Errors (AE) and the Mean Absolute Errors (MAE) are calculated for each year. LÄS MER

  5. 4. A heteroscedastic volatility model with Fama and French risk factors for portfolio returns in Japan

    Kandidat-uppsats, Stockholms universitet/Statistiska institutionen

    Författare :Edvin Wallin; Timothy Chapman; [2021]
    Nyckelord :Heteroscedasticity; GARCH 1; 1 ; ARMA p; q ; Skewed student s t-distribution; Regression; Fama and French Five-factor model;

    Sammanfattning : 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. 5. Forecasts of PMI

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Julia Karlsson; Moa Sjöström; [2020]
    Nyckelord :;

    Sammanfattning : Purchasing Mangers' Index (PMI) is an index published by the Institute for Supply Management. The index is based on a monthly survey answered by hundreds of purchasing managers in the manufacturing business all over the United States. LÄS MER