Sökning: "Julian Marvin Ulmer"

Hittade 2 uppsatser innehållade orden Julian Marvin Ulmer.

  1. 1. Volatility Timing using Machine Learning - An Application to a Signal Based Portfolio

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Filippa Lövgren; Julian Marvin Ulmer; [2022]
    Nyckelord :Machine Learning; Support Vector Machines; VIX; Volatility Timing; Portfolio Construction; Business and Economics;

    Sammanfattning : Recent events such as the covid-19 pandemic and the Russian-Ukrainian war have led to a tremendous increase in volatility, making financial markets riskier for investors. To see whether investors can counteract or profit from such risk, we develop a volatility timed trading strategy. LÄS MER

  3. 2. Volatility and Risk – FIGARCH Modelling of Cryptocurrencies

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Julian Marvin Ulmer; Langkun Chen; [2021]
    Nyckelord :Cryptocurrencies; Conditional volatility; FIGARCH model; Monetary policy; Stressed expected shortfall; Business and Economics;

    Sammanfattning : .... LÄS MER