Sökning: "Emmanuel Latim Okumu"

Hittade 3 uppsatser innehållade orden Emmanuel Latim Okumu.

  1. 1. Non-linear prediction in the presence of macroeconomic regimes

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Emmanuel Latim Okumu; [2016]
    Nyckelord :Markov Switching; Regime Switching; Smooth-transition; Time-varying parameters; Threshold model;

    Sammanfattning : This paper studies the predictive performance and in-sample dynamics of three regime switching models for Swedish macroeconomic time series. The models discussed are threshold autoregressive (TAR), Markov switching autoregressive (MSM-AR), and smooth-transition autoregressive (STAR) regime switching models. LÄS MER

  3. 2. Does Implied Volatility Predict Realized Volatility? : An Examination of Market Expectations

    Kandidat-uppsats, Nationalekonomiska institutionen

    Författare :Oscar Nilsson; Emmanuel Latim Okumu; [2014]
    Nyckelord :Implied volatility; index options; Black-Scholes; market efficiency;

    Sammanfattning : The informational content of implied volatility and its prediction power is evaluated for time horizons of one month. The study covers the period of November 2007 to November 2013 for the two indices S&P500 and OMXS30. The findings are put in relation to the corresponding results for past realized volatility. LÄS MER

  4. 3. On Statistical Arbitrage: Cointegration and Vector Error-Correction in the Energy Sector

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Oscar Nilsson; Emmanuel Latim Okumu; [2014]
    Nyckelord :Mean-reversion; VAR; VECM; Impulse Response; Cointegration;

    Sammanfattning : This paper provides methods to select pairs potentially profitable within the frame of statistical arbitrage. We employ a cointegration approach on pairwise combinations of five large energy companies listed on the New York Stock Exchange for the period 27th September 2012 to 22nd April 2014. LÄS MER