Sökning: "Vektorautoregression"

Hittade 3 uppsatser innehållade ordet Vektorautoregression.

  1. 1. PC Regression, Vector Autoregression, and Recurrent Neural Networks: How do they compare when predicting stock index returns for building efficient portfolios?

    Master-uppsats, KTH/Optimeringslära och systemteori; KTH/Optimeringslära och systemteori

    Författare :David Hallberg; Erik Renström; [2019]
    Nyckelord :PC Regression; Vektorautoregression; och Återkopplande Neurala Nätverk: En jämförelse mellan deras förmåga att prognostisera aktieindexavkastning för att konstruera effektiva portföljer; Huvudkomponentregression; vektorautoregression; LSTM; återkopplande neurala nätverk; portföljteori; portföljoptimering; maskininlärning; makroekonomi; finans; aktieavkastning; aktieindex;

    Sammanfattning : This thesis examines the statistical and economic performance of modeling and predicting equity index returns by application of various statistical models on a set of macroeconomic and financial variables. By combining linear principal component regression, vector autoregressive models, and LSTM neural networks, the authors find that while a majority of the models display high statistical significance, virtually none of them successfully outperform classic portfolio theory on efficient markets in terms of risk-adjusted returns. LÄS MER

  2. 2. Assessing the Effect of the Riksbank Repo Rate on National Output and Price Level in Sweden : Focusing on Employment and Housing Prices

    Kandidat-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Christofer Borén; Felix Ewert; [2018]
    Nyckelord :Monetary Policy; Policy Rate; Inflation; Employment; Housing Prices; Vector Autoregression; Impulse Response Function; Penningpolitik; Styrränta; Inflation; Sysselsättning; Bostadspriser; Vektorautoregression; Impuls-Responsfunktion;

    Sammanfattning : There is no single commonly adapted model that explains the influence that various monetary policy instruments carry for the economy. During 2011-2017, the Swedish inflation rate has remained below the 2 percent target which has led the Riksbank to take measures aimed at stimulating the inflation. LÄS MER

  3. 3. Association Mining and Prediction of SystemPerformance Attributes in a large-scale ITinfrastructure

    Master-uppsats, KTH/Skolan för datavetenskap och kommunikation (CSC)

    Författare :LENNART LIBERG; [2013]
    Nyckelord :;

    Sammanfattning : The master thesis seeks to establish relationships between eleven system performance metrics in a large-scale IT infrastructure, and to predict their future behavior. The rst task was performed using multiple linear regression, with one of the eleven metrics being taken as a dependant variable measuring total system performance. LÄS MER