Sökning: "time-varying parameters"

Visar resultat 16 - 20 av 40 uppsatser innehållade orden time-varying parameters.

  1. 16. Modeling the evolution of market uncertainty- Hedge Fund returns and Volatility of Aggregate Volatility within a dynamic perspective

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Annalisa Caros; [2019-07-02]
    Nyckelord :;

    Sammanfattning : This paper investigates, in a dynamic perspective, whether uncertainty about equity market returns can have implications on hedge fund portfolio decisions over time. Therefore, the thesis wants to ascertain if the risk originated by that uncertainty is an explanatory factor for cross-sectional differences in returns over time. LÄS MER

  3. 17. Online intra-day portfolio optimization using regime based models

    Uppsats för yrkesexamina på avancerad nivå, Lunds universitet/Matematisk statistik

    Författare :Sara Hafström Fremlin; [2019]
    Nyckelord :Multi-period portfolio selection; Model predictive control; Hidden Markov model; Mathematics and Statistics;

    Sammanfattning : In this thesis model predictive control (MPC) is used to dynamically optimize a portfolio where the data is sampled every 5 minutes. Previous research has shown how MPC optimization applied to daily sampled financial data can generate a portfolio that exceeds the value of standard portfolio strategies such as Strategic asset allocation. LÄS MER

  4. 18. IR spectroscopy for vibrational modes : A semi-classical approach based on classical electrodynamicsand modern quantum mechanics

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för fysik och elektroteknik (IFE)

    Författare :Ulf Oreborn; [2018]
    Nyckelord :;

    Sammanfattning : The atoms of a molecule are always restless and are constantly moving in one way or another.Apart from rotations and translations, they may vibrate in many different modes. They may moveradially toward or from each other, so called stretching. This can be done symmetrically or asymmetrically. LÄS MER

  5. 19. On the Sources of the Great Moderation in Italy - A Time Varying VAR Approach

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Giovanni Sciacovelli; [2018]
    Nyckelord :Bayesian Estimation; Great Moderation; Italy; Time Varying Parameters; Vector Autoregression Analysis;

    Sammanfattning : The Great Moderation, a long-lasting period of reduced fluctuations in key macroeconomic variables, has attracted the attention of many scholars because of the positive outcomes associated with low volatility. The aim of these studies has mainly been to identify the ultimate source of this phenomenon. LÄS MER

  7. 20. Developments in Systemic Risk since the Global Financial Crisis: Assessment of Eurozone and US Systemically Important Banks based on Marginal Expected Shortfall

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Richard Schmidt; [2018]
    Nyckelord :Systemic Risk; Systemically Important Banks; Marginal Expected Shortfall; Dynamic Conditional Correlation; GARCH; Business and Economics;

    Sammanfattning : Present essay investigates if the systemic riskiness of Eurozone and US systemically important banks decreased subsequently to the Global Financial Crisis of 2007/2008. For each of these institutions, time series of the analytical systemic risk measure MES are estimated based on public information. LÄS MER