Sökning: "long-horizon"
Visar resultat 1 - 5 av 11 uppsatser innehållade ordet long-horizon.
1. Imputation and Generation of Multidimensional Market Data
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : Market risk is one of the most prevailing risks to which financial institutions are exposed. The most popular approach in quantifying market risk is through Value at Risk. Organisations and regulators often require a long historical horizon of the affecting financial variables to estimate the risk exposures. LÄS MER
2. Uncovered Interest Parity and the Financial Crisis of 2007 : An econometric study of the robustness of the uncovered interest parity over different time periods, with varying economic stability.
Kandidat-uppsats, Högskolan i Jönköping/IHH, NationalekonomiSammanfattning : The current intellectual climate regarding economics seems to be at an agreement regarding the theory of uncovered interest parity and its unreliability within real life application. The purpose of this thesis is to test how the theory holds over periods with varying economic stability, both using a short- and long-horizon test in order to establish the usefulness of uncovered interest parity as a predictor for exchange rate movements. LÄS MER
3. Importance of daily data in long horizon inflation forecasting - a MIDAS approach
Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistikSammanfattning : We examine the accuracy of forecast models for the monthly Euro area inflation, focusing on the MIDAS approach. We compare two mixed frequency models with four low frequency models, using fourteen mixed frequency variables sampled at daily or monthly frequency. LÄS MER
4. Interpreting the Repurchase Signal
Magister-uppsats, Lunds universitet/Företagsekonomiska institutionenSammanfattning : The purpose of this study is to examine the potential of improving the interpretation of signals of undervaluation inherent to share repurchases, by accounting for insider trading, level of insider and cash holdings. The goal is to contribute to decreased information asymmetry and increased efficiency in capital markets. LÄS MER
5. A small open economy’s view on interest rate differential’s relation to the nominal exchange rate
Kandidat-uppsats, Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)Sammanfattning : The characteristics of interest rate differentials’ relationships with the change in nominal exchange rates are here investigated from the small open economy Sweden’s pointof view. We assume rational expectations and risk neutrality. However, these are solelysufficient but not necessary conditions. LÄS MER