Search for dissertations about: "Tomas Sjögren"

Showing result 1 - 5 of 10 swedish dissertations containing the words Tomas Sjögren.

  2. 1. Two Essays in Optimal Taxation

    Author : Spencer Bastani; Sören Blomquist; Luca Micheletto; Tomas Sjögren; Uppsala universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; Nationalekonomi; Economics; Nationalekonomi;

    Abstract : .... READ MORE

  4. 2. Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations

    Author : Yuna Liu; Tomas Sjögren; Jörgen Hellström; Mikael Bask; Umeå universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Time-varying return predictability; Tests for jumps; International financial markets; Market structure; Common trading platform; Integration; Time-varying correlation; C-GARCH; Trust; Portfolio Diversification; Stock Market Participation; nationalekonomi; Economics;

    Abstract : This thesis consists of four self-contained papers related to the change of market structure and the quality of equity market.In Paper [I] we found, by using of a Flexible Dynamic Component Correlations (FDCC) model, that the creation of a common cross-border stock trading platform has increased the long-run trends in conditional correlations between foreign and domestic stock market returns. READ MORE

  5. 3. Essays on Income Taxation and Wealth Inequality

    Author : Jacob Lundberg; Håkan Selin; Spencer Bastani; Helena Svaleryd; Tomas Sjögren; Uppsala universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; public economics; income taxation; wealth inequality; Laffer curve; redistribution; microsimulation; Economics; Nationalekonomi;

    Abstract : This thesis is concerned with inequality, redistribution and taxation, in particular the taxation of labour income and the distribution of wealth. Most of the analysis is focused on Sweden. The thesis consists of four self-contained essays.Essay 1: “Analyzing tax reforms using the Swedish Labour Income Microsimulation Model”. READ MORE

  6. 4. On the returns of trend-following trading strategies

    Author : Christian Lundström; Tomas Sjögren; Jussi Nikkinen; Umeå universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bootstrap; Commodity Trading Advisor funds; Contraction-Expansion principle; Crude oil futures; Futures trading; Opening Range Breakout strategies; S P 500 futures; Technical analysis; Time series momentum; Time-varying market inefficiency; nationalekonomi; Economics;

    Abstract : Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) strategy. A trader that trades on the ORB strategy seeks to identify large intraday price movements and trades only when the price moves beyond some predetermined threshold. READ MORE

  7. 5. On the profitability of momentum strategies and optimal leverage rules

    Author : Christian Lundström Tjurhufvud; Tomas Sjögren; Sami Vähämaa; Umeå universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bootstrap; Exchange Traded Products; Kelly criterion; Money management; Opening Range Breakout Strategies; Optimal fraction criterion; Time series momentum; Economics; nationalekonomi;

    Abstract : This thesis consists of an introductory part and five self-contained papers related to the profitability of momentum strategies and optimal leverage rules.Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) day trading strategy. READ MORE