Sökning: "Ludvig Göransson"

Hittade 3 uppsatser innehållade orden Ludvig Göransson.

1. 1. Modeling asymmetry in volatility response - non-Gaussian innovations approach

   Magister-uppsats, Lunds universitet/Statistiska institutionen

   Författare :Ludvig Göransson; [2020]
   Nyckelord :ARCH; GARCH; APARCH; Asymmetric GARCH; non-Gaussian innovations; Laplace distribution; Leverage effect; Stylized facts; Volatility process.; Mathematics and Statistics;

   Sammanfattning : This thesis is an explorative note on the non-Gaussian innovations of the volatility process. More specifically, the thesis investigates if the decomposition of the Standard Classical Laplace (SCL) distribution to a difference of two exponential is a valid alternative to modelling the asymmetric volatility processes, taking volatility clustering, the leverage effect and asymmetric response in volatility into account. LÄS MER

3. 2. MODELING CAPITAL ASSET RETURNS ON THE SWEDISH STOCK MARKET - An evaluation of Fama French’s Five Factor Model against its predecessors

   Kandidat-uppsats, Lunds universitet/Statistiska institutionen

   Författare :Kristoffer Bergram; Ludvig Göransson; [2019]
   Nyckelord :asset pricing modeling; time series regression; statistics; Fama French Five Factor model; Carhart Four Factor model; Fama French Three Factor model; Swedish stock market; portfolio theory; behavioral economics; Mathematics and Statistics; Business and Economics;

   Sammanfattning : This thesis compared the explanatory rate of three asset pricing models related to excess returns on the Swedish stock market. A more granular evaluation of each model’s factors was also conducted. A random sample of 90 companies was drawn from the Stockholm Stock Exchange (N = 371) using a Blomberg terminal. LÄS MER

4. 3. An Evaluation of Asset Pricing Models in the Swedish Context - Is Carharts Four-Factor Model more suitable than its predecessors for explaining the Swedish stock exchange?

   Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Författare :Ludvig Göransson; Iordan Palma Tzakov; [2018-02-20]
   Nyckelord :Capital Asset Pricing Model; Fama French Three-Factor Model; Carhart Four-Factor Model; Swedish stock exchange; r-square-adjusted;

   Sammanfattning : This thesis investigates the explanatory power of the Capital Asset Pricing Model, the Fama French Three-Factor Model and the Carhart Four-Factor Model on the Stockholm Stock Exchange over the period 2012-2016. The purpose is to examine whether or not the Carhart Four-Factor Model explains excess return variability better than the Capital Asset Pricing Model and the Fama French Three-Factor Model. LÄS MER