Sökning: "Ellinor Gyldberg"
Hittade 2 uppsatser innehållade orden Ellinor Gyldberg.
1. Evaluating the potential profitability of alpha trading
Master-uppsats, Uppsala universitet/Nationalekonomiska institutionenSammanfattning : The purpose of this thesis is to test whether an active trading strategy using historical alpha values (a measure of risk-adjusted excess returns) for stocks can be used to achieve positive risk-adjusted profits. To do so, data on stocks in the Dow Jones Industrial Average and the Standard & Poor’s 500 Index from 1997 to 2018 are used to estimate the market model, using GARCH and TGARCH. LÄS MER
2. Type 1 error rate and significance levels when using GARCH-type models
Kandidat-uppsats, Uppsala universitet/Statistiska institutionenSammanfattning : The purpose of this thesis is to test whether the probability of falsely rejecting a true null hypothesis of a model intercept being equal to zero is consistent with the chosen significance level when modelling the variance of the error term using GARCH (1,1), TGARCH (1,1) or IGARCH (1,1) models. We test this by estimating “Jensen’s alpha” to evaluate alpha trading, using a Monte Carlo simulation based on historical data from the Standard & Poor’s 500 Index and stocks in the Dow Jones Industrial Average Index. LÄS MER
