Avancerad sökning

Hittade 2 uppsatser som matchar ovanstående sökkriterier.

1. 1. Risk Managed Time Series Momentum

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Sutian Ming; Richard Eidestedt; [2015]
   Nyckelord :momentum crash; time series momentum; time-varying risk; optionality;

   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

3. 2. Evaluating forecast accuracy for Error Correction constraints and Intercept Correction

   Kandidat-uppsats, Statistiska institutionen

   Författare :Richard Eidestedt; Stefan Ekberg; [2013]
   Nyckelord :Forecast Accuracy; Vector Error Correction; Vector Autoregressive; Co-integration; Intercept Correction and Diebold-Mariano test;

   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