Sökning: "Out-of-sample tests"

Visar resultat 1 - 5 av 14 avhandlingar innehållade orden Out-of-sample tests.

1. 1. Essays on the Scandinavian Stock Markets

   Författare :Jonas Söderberg; Ghazi Shukur; Carsten Tanggaard; Växjö universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Scandinavian stock markets; Liquidity; Market microstructure theory; Liquidity spillover; Vector autoregression analysis; Forecasting; Out-of-sample tests; Copulas; Risk management; Economics; Nationalekonomi; Economics; Nationalekonomi;

   Sammanfattning : This thesis consists of three self-contained empirical essays related to the stock markets in Denmark, Norway, and Sweden.In Essay I, the time-series dynamics of liquidity on the Scandinavian stock exchanges between January 1993 and June 2005 are studied with liquidity indices. LÄS MER

3. 2. Empirical tests of exchange rate and stock return models

   Författare :Anna Lindahl; Göteborgs universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Foreign exchange order flow; Microstructure; Stock return predictability;

   Sammanfattning : Abstracts to ”Empirical tests of exchange rate and stock return models” Order flow in the Foreign Exchange Market Price discovery in foreign exchange markets is explored using Swedish data including trades from both the customer and the interdealer market. The data set represents a majority of all executed trades in the EURSEK exchange rate over a four-year time period. LÄS MER

4. 3. Empirical Studies in Demography and Macroeconomics

   Författare :Mattias Bruér; Thomas Lindh; David Canning; Uppsala universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; Demography; Nationalekonomi; Economics; Nationalekonomi;

   Sammanfattning : Essay 1 examines the age-structure effects on Swedish inflation both within sample and out-of-sample. Within sample, time-series regressions indicate age structure to have significant explanatory power on Swedish inflation. LÄS MER

5. 4. Time Series and Macroeconomics: Studies in Demography and Monetary Policy

   Författare :Pär Österholm; Thomas Lindh; David Canning; Uppsala universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; Macroeconomics; Time series econometrics; Nationalekonomi; Economics; Nationalekonomi;

   Sammanfattning : Chapter 1 provides a brief introduction to the topics of the thesis and summarises the main results.Chapter 2 studies the econometric properties of the Taylor (1993) rule when applied to U.S., Australian and Swedish data in order to judge its empirical relevance. LÄS MER

7. 5. The theory of Homo comperiens, the firm’s market price, and the implication for a firm’s profitability

   Författare :Joachim Landström; Jan-Erik Gröjer; Dag Smith; Frøystein Gjesdal; Uppsala universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Homo Comperiens; Inefficient Markets; Efficient Markets; Arbitrage; No-Arbitrage; Market Price; Market Value; Intrinsic Value; Residual Income; Residual Earnings; Company Valuation; Firm Valuation; Valuation; Accounting; Financial Accounting; Financial Analysis; Residual Rate-of-Return; Residual Rates-of-Returns; Business studies; Företagsekonomi;

   Sammanfattning : This thesis proposes a theory of inefficient markets that uses limited rational choice as a central trait and I call it the theory of Homo comperiens. The theory limits the alternatives and states that the subjects are aware of and only allow them to have rational preference relations on the limited action set and state set, i.e. LÄS MER