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Alternate Models For Forecasting Hedge Fund Returns, Michael A. Holden
Alternate Models For Forecasting Hedge Fund Returns, Michael A. Holden
Senior Honors Projects
Alternate Models for Forecasting Hedge Fund Returns
Michael Holden
Faculty Sponsor: Gordon Dash, Finance and Decision Sciences
Investors have always wanted to improve the efficiency of modeling realized volatility to maximize directional trading returns and substantially improve profitability. As proposed, this honors project will provide evidence from hedge fund returns that a Radial-Basis Function (RBF) artificial neural network (ANN), specifically the Kajiji-4 RBF-ANN dominates other forecast methods in producing one-period ahead change-of-direction when forecasting the expected returns of various hedge fund indexes.
I began this project by collecting historical economic data in monthly increments to serve as the dependent variables. …
Bond Volatility Transmissions Between United States And European Markets, Seth Kulman
Bond Volatility Transmissions Between United States And European Markets, Seth Kulman
Senior Honors Projects
Bond Volatility Transmissions Between United States and European Markets
Seth Kulman
Faculty Sponsor: Gordon Dash, Finance and Decision Sciences
Recent events have illustrated the degree of connection between the world’s economies. Economic events occurring in one country are felt in countless others, most vividly demonstrated by the onset of a worldwide recession following the financial collapse in the United States. Volatility no longer stays contained within one local economy.
The purpose of this study is to examine volatility spillovers between the United States and European bond markets. To identify volatility effects in a given country, we will be using a …