Sökning: "Vector Autoregression"

Visar resultat 1 - 5 av 61 uppsatser innehållade orden Vector Autoregression.

  1. 1. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Simon Wahlberg; [2022]
    Nyckelord :RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

    Sammanfattning : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. LÄS MER

  2. 2. Anomaly Detection on Embedded Sensor Processing Platform

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Yichen Cao; [2021]
    Nyckelord :Anomaly Detection; ARIMA; STL; LSTM; VAR; Avvikelsedetektion; ARIMA; STL; LSTM; VAR;

    Sammanfattning : Embedded platforms are often used as a sensor data processing node to collect data and transmit the data to the remote server. Due to the poor performance and power limitation, data processing was often left to the remote server. LÄS MER

  3. 3. Quantitative Easing and Bubble Formation in Real-Estate : A study of the relationship between novel monetary policies and speculative bubbles in the Swedish real-estate market

    Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Axel Öhlund; Anna Domnina; [2021]
    Nyckelord :Large-scale asset purchasing program; Quantitative easing; Vector Autoregression; Riksbanken; Housing Bubble; Speculative Bubbles; Unconventional Monetary Policy;

    Sammanfattning : This thesis aims to study how much of price appreciations on the Swedish real-estate market in recent times have been fundamentally warranted, as well as if the unconventional monetary policies implemented by the Swedish central bank have had any interaction with these price escalations. The methodology employed to research this is divided into two parts. LÄS MER

  4. 4. Vart är kronan på väg? : Utmaningen med växelkursprognoser - en jämförelse av prognosmodeller

    Kandidat-uppsats, Uppsala universitet/Nationalekonomiska institutionen; Uppsala universitet/Nationalekonomiska institutionen

    Författare :Magnus Dahlberg; Gombrii Anders; [2021]
    Nyckelord :Vector Autoregression; Vector Error Correction; Forecasting; Random Walk; Exchange Rate; VAR-modell; VEC-modell; Prognos; Slumpvandring; Växelkurs;

    Sammanfattning : Riksbanken har under senaste åren blivit kritiserade för deras bristande prognoser av svenska valutakurser. I denna uppsats undersöks det om slumpvandring (RW) är den mest framgångsrika prognosmodellen eller om alternativa ekonometriska prognosmodeller (AR, VAR och VECM) kan estimera framtida växelkurser mer korrekt på kort sikt, ett kvartal fram, och medellång sikt, fyra kvartal fram. LÄS MER

  5. 5. Nowcasting U.S. Inflation: The Role of Online Retail Prices

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Edvin Ahlander; Eric Axdorph; [2021]
    Nyckelord :Inflation; Nowcasting; Mixed-Frequency Models; Online Retail Prices;

    Sammanfattning : We examine whether high-frequency online retail price data contributes to more accurate nowcasts of the U.S. inflation rate, as given by the monthly change in the Consumer Price Index, when other commonly considered variables for predicting inflation already have been taken into account. LÄS MER