Sökning: "Financial Time Series"

Visar resultat 1 - 5 av 141 uppsatser innehållade orden Financial Time Series.

  1. 1. Preprocessing Data: A Study on Testing Transformations for Stationarity of Financial Data

    Kandidat-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Sara Barwary; Tina Abazari; [2019]
    Nyckelord :Bachelor Thesis; financial outcome; transformations; stationarity; tests of hypothesis; EWMA; Kandidatarbete; finansiell avkastning; transformationer; stationäritet; hyoptestest; EWMA;

    Sammanfattning : In thesis within Industrial Economics and Applied Mathematics in cooperation with Svenska Handelsbanken given transformations was examined in order to assess their ability to make a given time series stationary. In addition, a parameter α belonging to each of the transformation formulas was to be decided. LÄS MER

  2. 2. Times Series Analysis of Calibrated Parameters of Two-factor Stochastic Volatility Model

    Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Renato Rios Benavides; [2019]
    Nyckelord :;

    Sammanfattning : Stochastic volatility models have become essential for financial modelling and forecasting. The present thesis works with a two-factor stochastic volatility model that is reduced to four parameters. LÄS MER

  3. 3. Modeling of non-maturing deposits

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Fredrik Stavrén; Nikita Domin; [2019]
    Nyckelord :Financial mathematics; time series analysis; replicating portfolio; risk management; risk analysis; econometric anaylsis; non-maturing deposits; SARIMA; Random forest regression; EBA; BCBS; Finansiell matematik; tidsserieanalys; replikeringsportfölj; riskhantering; riskanalys; Ekonometrisk analys; Icke-tidsbunden inlåning; ARIMA; SARIMA; SARIMAX; Random Forest Regression; EBA; BCBS;

    Sammanfattning : The interest in modeling non-maturing deposits has skyrocketed ever since thefinancial crisis 2008. Not only from a regulatory and legislative perspective,but also from an investment and funding perspective.Modeling of non-maturing deposits is a very broad subject. LÄS MER

  4. 4. GARCH models applied on Swedish Stock Exchange Indices

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen; Uppsala universitet/Statistiska institutionen

    Författare :Wiktor Blad; Vilim Nedic; [2019]
    Nyckelord :Value-at-Risk; GARCH; GJR-GARCH; EGARCH; student´s t distribution; generalized error distribution; Kupiec´s test; Chrisoffersen´s test; forecast;

    Sammanfattning : In the financial industry, it has been increasingly popular to measure risk. One of the most common quantitative measures for assessing risk is Value-at-Risk (VaR). VaR helps to measure extreme risks that an investor is exposed to. LÄS MER

  5. 5. Segmenting Observed Time Series Using Comovement and Complexity Measures

    Master-uppsats, KTH/Matematisk statistik

    Författare :Lee Norgren; [2019]
    Nyckelord :Time Series; Correlation; Baur Comovement; Kolmogorov Complexity; Tidsserie; Korrelation; Baur Comovement; Kolmogorovkomplexitet;

    Sammanfattning : Society depends on unbiased, efficient and replicable measurement tools to tell us more truthfully what is happening when our senses would otherwise fool us. A new approach is made to consistently detect the start and end of historic recessions as defined by the US Federal Reserve. LÄS MER