Blar i Student papers på emneord "quantitative techniques"
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Back to Basis: Recent Evidence on Arbitrage Strategies and Interest Rate Derivatives
(Master thesis, 2019)We examine near-arbitrage strategies in the market for interest rate derivatives. Using futures and forward rate agreements, we construct replication portfolios that match cash flows of vanilla interest rate swaps. ... -
Comovement in the Norwegian Stock Market
(Master thesis, 2019)We present the first comprehensive study of excess comovement in the Norwegian stock market, and find that stocks on the OBX index in Norway comove more than their fundamentals would suggest. The comovement is increasing ... -
Predictability of Stock Returns: An application of presentvalue state-space models to the German Stock Market
(Master thesis, 2019)In my thesis, I introduce a state-space representation of the present-value model to analyze predictability in the aggregated German stock market. The proposed model uses the information contained in annualized price-dividend ...