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Icke-parametrisk modellering av svenska räntebärande instrument
Stockholm University, Faculty of Social Sciences, School of Business.
Stockholm University, Faculty of Social Sciences, School of Business.
Stockholm University, Faculty of Social Sciences, School of Business.
2001 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [sv]

In this thesis we study two different methods for comparing the forecasting efficiency of a prediction model. In the study we use a nearest neighbour model to predict interest rate movements on the Swedish market. A common way to evaluate time series models is to use a residual measure. However, according to Ramaswamy (1998), a more relevant measure is total return on investment over the investment horizon, given that the purpose is to maximize the return. Therefore, the main issue here is to choose the most relevant measure when evaluating different time series models.

Place, publisher, year, edition, pages
2001.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-2391OAI: oai:DiVA.org:su-2391DiVA: diva2:191360
Uppsok
samhälle/juridik
Available from: 2007-01-05 Created: 2007-01-05

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