Browsing SAM - Master i Økonomi og administrasjon – siviløkonom by Subject "Finans"
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Performance of Option Trading Strategies: Evidence for Individual Stocks and the OBX During 2005-2015
(Master thesis, 2017)In this paper, we examine risk and return characteristics of some of the more popular option trading strategies such as: Covered calls, Covered combinations, Protective puts, Straddles, Strangles and Butterfly spreads. ... -
Volatility forecasting with Twitter message volume - Improving forecasting ability of the Heterogenous Autoregressive model of Realized Volatility
(Master thesis, 2020)We test the predictive power of Twitter message volume on realized volatility in a panel of 22 companies from S&P 100. The relationship is tested using OLS regression, with Newey-West standard errors. The forecasting ability ...