Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 261 for “"out-of-sample"”.
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Assessing out-of-sample hedging performance with commodity futures
This thesis investigates the out-of-sample performance of minimum-variance and unconditional hedging strategies in the corn futures market from 2002 to 2019. The out-of-sample performance is captured by new measures of hedging effectiveness that are fundamentally tied to basis and net price. The …
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Hog Profit Margin Hedging: A Long-term Out-of-sample Evaluation
This thesis is a long-term evaluation of the profit margin hedging strategy suggested by Kenyon and Clay. To implement this strategy an expected profit margin is estimated based on the amount of pork, corn price, and soybean meal price. The profit margin that can be 'locked in' by the futures …
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Classification using out of sample testing of neural networks and Siamese-like neural network for handwritten characters
… where Machine Learning Algorithms in the field of Image Processing is being developed at a rapid pace, a developer needs to have a better insight into all the algorithms to choose one among them for their application. When an algorithm is published, the developers of the algorithm compare their …
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Detecting macroeconomic impacts on agricultural prices and export sales: a time series forecasting approach
The effect of movements in the real exchange rate on agricultural prices and agricultural export sales is assessed based on the principle of Granger causality. An out-of-sample forecasting procedure is used to conduct tests for Granger causality from the exchange rate to agricultural prices and …
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Evaluating yield models for crop insurance rating
… However, there still exists much debate about how to represent the underlying crop yield distributions. Using farm-level corn and soybean yields from 1972-2008, this study examines in-sample goodness-of-fit measures of both the whole distribution and the insurance tail to compare a set of …
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Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis
… that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia for estimation and forecasting. We find that …
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Use of modern machine learning techniques to predict the occurrence and outcome of corporate takeover events
The objective of this project is to use machine learning to predict the occurrence of corporate takeovers. The findings show that random forest yields the best predictions out-of-sample based on the area under the curve (AUC) metric. As such, 8 independent variables are considered statistically …
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The time-variation in style effects in the UK stock market
… extends most previous studies on static version of style effects in the overall period to their time-varying properties in the dynamic macroeconomic conditions and market states in the UK Stock Market. It deals with four research questions on style effects in the UK Stock Market in four empirical …
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Forecasting the Yield Curve of Government Bonds: A Comparative Study
… the modeling and forecasting the term structure of interest rates. Despite its impressive performance in in-sample fitting yield curves, little research has focused on the out-of-sample forecast of yield curves using the Kalman filter. The goal of this thesis is to develop a unified dynamic model …
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Determining whether active investment, using a combination of investment styles, out-performs passive investment
The objective of this research paper was to examine the possibility of active investment out-performing the passive investment by using a combination-based investment style for an extensive period. The combination-based style included financial-ratio-based style, market-based style and …
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NPL forecasting under a fourier residual modified model: An empirical analysis of an unsecured consumer credit provider in South Africa
… in accurately identifying the determinants of domestic NPLs has led to a review of time series forecasting techniques. This dissertation explores whether a forecasting model combining a traditional time series approach with a Fourier series residual modification technique performs well in …
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Essays on Quantitative Risk Management
… reinforce the importance as well as challenges of risk management. This thesis explores several core concepts of quantitative risk management and provides further insight. We start with rating migration risk and propose a Mixture of Markov Chains (MMC) model to account for stochastic business …
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Hedge Fund Performance and Derivative Hedging
<p>This dissertation is comprised of three essays which focus on hedge fund performance and derivative hedging. The first essay uses ETF returns as proxies for tradable risk factors in hedge fund performance evaluation and identifies contemporaneously relevant risk factors from the entire universe …
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Essays on empirical asset pricing
This dissertation consists of three chapters. Chapter 1 shows that, for active mutual funds, historical in-sample alpha is a poor predictor of out-of-sample alpha. However, by focusing on a subset of skilled managers who are able to generate positive alpha via profitable bets on firm specific risks …
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Does Google Search Data Aid In Predicting Unemployment?
… initial claims for unemployment, a lagged value of unemployment, and an autoregressive component. This paper looks to improve upon existing models by adding Google search data to traditional models using initial claims or replacing initial claims with Google searches. One hypothesis is that …
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Forecasting diesel fuel prices
… considerable diesel fuel to meet producer output objectives. An ability to anticipate fuel price movements may allow producers, farm managers, and fuel distributors to better plan their transactions to reduce costs or to hedge against price change. Despite potential gains from understanding …
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Do CAPM anomaly variables provide real-time tradable opportunities on the JSE
This study applies the recursive out-of-sample methodology of Cooper et al. (2005) to determine whether CAPM anomaly variables provide real-time tradable opportunities on the Johannesburg Stock Exchange (JSE). The three predictor variables selected on the basis of the South African literature …
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