Sökning: "Richard Eidestedt"
Hittade 2 uppsatser innehållade orden Richard Eidestedt.
- D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
Sammanfattning : This paper aims to investigate the crashes of time series momentum and to explore a systematic approach that mitigates the crashes of this strategy. Similar to cross-sectional momentum, time series momentum is also prone to severe drawdowns subsequent of a market decline when market volatility is high, contemporaneous with market reversals. LÄS MER
- Kandidat-uppsats, Uppsala universitet/Statistiska institutionen; Uppsala universitet/Statistiska institutionen
Sammanfattning : This paper examines the forecast accuracy of an unrestricted Vector Autoregressive (VAR) model for GDP, relative to a comparable Vector Error Correction (VEC) model that recognizes that the data is characterized by co-integration. In addition, an alternative forecast method, Intercept Correction (IC), is considered for further comparison. LÄS MER