Sökning: "Henrik Fulgentiusson"

Hittade 4 uppsatser innehållade orden Henrik Fulgentiusson.

  1. 1. Push it to the limit - Testing the usefulness of Extreme Value Theory in electricity markets

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Henrik Fulgentiusson; [2012]
    Nyckelord :Electricity; Extreme Value Theory; Peaks Over Threshold; Block Maxima; Value at Risk.; Business and Economics;

    Sammanfattning : We set out to investigate whether the methodologies used in extreme value analysis are applicable in estimating Value at Risk (VaR) for the spot price returns of the European Energy Exchange (EEX). An initial inspection of hourly data reveals a volatile behaviour where returns of extreme proportions occur frequently. LÄS MER

  3. 2. Momentum - Trendspotting in the Swedish Stock Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Henrik Fulgentiusson; Mykhaylo Kobelyats'Kyy; [2011]
    Nyckelord :Momentum; Market Efficiency; Fama and French; Carhart.; Business and Economics;

    Sammanfattning : We set out to investigate the presence of momentum in the Swedish stock market in an attempt to distinguish whether the market displays the weak- and the semi-strong form of efficiency. Adopting a strategy similar to that of Jegadeesh and Titman (1993) and (2001), where past winners are bought and past loser are sold, we are able to show that momentum indeed is present, earning approximately 1 percent per month at a medium-term investment horizon. LÄS MER

  4. 3. Keeping it real or keeping it... wrong?

    Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Susanne Rayner; Henrik Fulgentiusson; Pirkko Väänänen; [2010]
    Nyckelord :Produktplacering; co-branding; hiphop; ekvivalenskedjor; diskursteori.; Management of enterprises; Företagsledning; management; Business and Economics;

    Sammanfattning : Med studien vill vi överbrygga ett gap i existerande studier kring produktplacering i hiphop-videos som för tillfället främst ter sig vara av kvantitativ karaktär. Vi vill med den här uppsatsen studera hur varumärkesidentiteter sammanfaller i musikvideos genom en analys av de explicita exponeringarna med koppling till ekvivalenskedjor. LÄS MER

  5. 4. To return or not return - Trend spotting in the Swedish market

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Henrik Fulgentiusson; Lenny Erlesand; [2010]
    Nyckelord :economic policy; economic systems; economic theory; econometrics; Economics; efficient market hypothesis EMH ; contrarian strategy; momentum; Random Walk; mean reversion; Sharpe Ratio; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : The following essays checks whether the Swedish stock market (represented by OMXS30) supports the weak efficiency of the EMH by observing whether the stocks contain a unit root and whether one can use trading strategies to create abnormal profits. The AR(1) model of the stock prices have a unit root coefficient very close to 1, thus they are trend stationary but have a very long memory. LÄS MER