Sökning: "forecasting variance"

Visar resultat 11 - 15 av 49 uppsatser innehållade orden forecasting variance.

1. 11. Analysis of floodplain population dynamics in the USA from 1790 to 2010​

   Master-uppsats, KTH/Hållbar utveckling, miljövetenskap och teknik

   Författare :Firoza Akhter; [2020]
   Nyckelord :Floodplain; levee; flood damage; flood insurance; population dynamics; population growth rate;

   Sammanfattning : Floodplain is an important location for the economic and social development of society throughout history, although it afflicted by different disasters like floods and bank erosion from time to time. Population dynamics and distribution trends have important effects on the landscape and society. LÄS MER

3. 12. Emission Allowances in the European Union Emissions Trading System

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

   Författare :Franziska Manke; [2020]
   Nyckelord :Emission Allowances; EU ETS; Volatility; GARCH; Cointegration;

   Sammanfattning : The first part of the thesis analyses the short term behavior of daily emission allowance (EUA) log returns with a focus on volatility dynamics in the recent market environment. In this part, I present a historical overview of the European Union Emission Trading System (EU ETS), analyze the stylized facts of the time series, employ appropriate time series models, and assess model in-sample and out-of-sample performance. LÄS MER

4. 13. Election Forecasting in a Multiparty System

   Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Författare :Stefan Lindborg; [2019-01-31]
   Nyckelord :Election forecasting; Polling; Multiparty systems; Dynamic Linear Models; DLM; Kalman filtering; Swedish elections;

   Sammanfattning : This bachelor thesis in statistics covers the subject of election forecasting in a multiparty system, using polling data, that is data collected to measure party support, and dynamic linear models (DLMs) with Kalman filtering. In terms of decision-making the outcome of an election can be thought of as an uncertainty. LÄS MER

5. 14. Portfolio Optimization : A DCC-GARCH forecast with implied volatility

   Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

   Författare :Sam Bigdeli; Filip Bengtsson; [2019]
   Nyckelord :DCC-GARCH; Portfolio Optimization; Certainty Equivalence Tangency; CET; Global Minimum Variance; GMV; Minimum Conditional Value-at-Risk; MinCVaR; Implied volatility index; VIX;

   Sammanfattning : This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1. LÄS MER

7. 15. A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET

   Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

   Författare :Tim Andersson-Säll; Johan Lindskog; [2019]
   Nyckelord :Multivariate GARCH; Conditional Correlations; Forecasting; Time-varying covariance matrices; Exchange rate returns; Variance-Covariance matrix;

   Sammanfattning : This thesis has treated the subject of DCC-GARCH model’s forecasting ability and Value-at- Risk applications on the Scandinavian foreign exchange market. The estimated models were based on daily opening foreign exchange spot rates in the period of 2004-2013, which captured the information in the financial crisis of 2008 and Eurozone crisis in the early 2010s. LÄS MER