Sökning: "GARCH c"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden GARCH c.

  1. 1. Considering Tail Events in Hedge Fund Portfolio Optimization

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Josefin Bladh; Holm Greta; [2021]
    Nyckelord :Portfolio Optimization; Hedge Funds; Tail Events; Mean-CVaR;

    Sammanfattning : The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. LÄS MER

  3. 2. Recurrent Neural Networks for volatility estimation - a comparative study of machine learning and traditional methods for volatility estimation

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

    Författare :Alicia Ohlsson; Maximilian Karlström; [2020]
    Nyckelord :Volatility forecasting; Recurrent Neural Network; GARCH; ARCH; Machine learning;

    Sammanfattning : Financial decisions are largely based on a tradeoff between risk and return. While the definition of risk is not equal to volatility, it is often used as a proxy for it. Hence, volatility forecasting is of great importance and an essential part of asset pricing, portfolio optimization, and risk management. LÄS MER

  4. 3. Constructing a Volatility Risk Premium Using Gaussian Process for Regression

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

    Författare :Fabian Mally; Love Marcus; [2017]
    Nyckelord :Volatility Risk Premium; Gaussian Process; GARCH; Volatility Prediction; Implied Volatility;

    Sammanfattning : In this thesis we investigate the volatility risk premium (VRP) on OMXS30 and S&P 500 and the predictive capabilities of Gaussian Process for regression (GP) on the volatility of those indices. The results are evaluated by comparison with corresponding predictions of a few methods from the GARCH family as well as a naive approach. LÄS MER

  5. 4. Macroeconomic determinants of the time-varying correlation between stock and bond returns: A study of the Swedish market

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

    Författare :Oskar Wilhelmsson; Jakob Mårtensson; [2017]
    Nyckelord :Time-varying correlation; stock-bond correlation; macroeconomic determinants; flight-to-quality; currency value;

    Sammanfattning : This paper investigates how and to what extent realized fundamental macroeconomic factors affect the time-varying correlation between stock and bond returns on the Swedish financial market. We use daily return data of the OMXS30 and Swedish government bonds, and monthly or quarterly data of macroeconomic factors. LÄS MER

  7. 5. Forecast Precision of Value at Risk: An Evaluation of ARCH-Type Models

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

    Författare :Jacob Lindberg; Alexander Matsson; [2016]
    Nyckelord :value at risk; volatility modelling; GARCH models; backtesting; asymmetric effects;

    Sammanfattning : Over the recent years, value at risk has become an industry standard for measuring downside market risk. This thesis aims to give a thorough differentiation between the different types of models used to estimate value at risk. LÄS MER