Sökning: "Out-of-sample analysis"
Visar resultat 1 - 5 av 55 uppsatser innehållade orden Out-of-sample analysis.
1. CAViaR and Cross-sectional quantile regression models to assess risk in S&P500 sectors
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : The aim of this thesis is to investigate the performance of different models used in risk management to identify and control risks that may negatively impact company operations due to unpredictable events. More specifically, the object of this paper is the discussion of a cross-sectional quantile regression model (CSQR) and the CAViaR model, which is a time series quantile regression model. LÄS MER
2. In the Core of the Storm: Revisiting Inflation Hedging Properties Within and Across Asset Classes
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : The recent surge in inflation has reignited discussions on hedging inflation risks, forming the focal point of this study. In our paper we consider conventional asset classes from 1968 to 2023 as well as alternative assets from 2020 to 2023 and find that no asset class provides a statistically significant hedge against core inflation shocks, while commodities and currencies can hedge headline and energy inflation risk. LÄS MER
3. Forecasting gold returns using principal component analysis from a large number of predictors
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionenSammanfattning : Gold is known in the financial world to be an important asset in unstable periods, especially as a hedge against inflation. If the gold price can be forecasted, it will be possible to strategically invest in gold rather than acquire it as a last-minute hedge against economic downturns. LÄS MER
4. Portfolio Performance Analysis: Combining Cryptocurrencies with Traditional Assets
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : This paper investigates the role of cryptocurrencies in enhancing the performance of portfolios constructed with traditional assets. Therefore, my thesis wants to ascertain if investors should consider adding cryptocurrencies to their investment portfolios. The sample period covers almost seven years of daily data. LÄS MER
5. Forecasting gold returns using principal component analysis from a large number of predictors
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Gold is known in the financial world to be an important asset in unstable periods, especially as a hedge against inflation. If the gold price can be forecasted, it will be possible to strategically invest in gold rather than acquire it as a last-minute hedge against economic downturns. LÄS MER