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Modelling the term premium: Cochrane-Piazzesi measure
Živa Mitar, Bojan Basrak
Magistrsko delo
Oznake: term premium;yield structure;multiple linear regression;ordinary least squares;Cochrane-Piazzesi measure;autocorrelation;
Modelling the term premium : Cochrane-Piazzesi measure
Leto: 2015 Vir: Fakulteta za matematiko in fiziko (UL FMF)
Predicting Bitcoinʼs volatility
Jan Pristovnik, Ljupčo Todorovski, Bojan Basrak
Magistrsko delo
Oznake: volatility;forecasting;time series;cryptocurrencies;time-series analysis;machine learning;recurrent neural networks;LSTM;
The master's thesis addresses analyzing and modeling the volatility of Bitcoin, the cryptocurrency with the largest marketcap. Volatility is a statistical measure of the dispersion of returns. We approximated it with realized volatility calculated on intra-daily log returns. We defined two baseline ...
Leto: 2022 Vir: Fakulteta za matematiko in fiziko (UL FMF)
Št. zadetkov: 2
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