Serial Dependence and Portfolio Performance in the Swedish Stock Market
This paper studies the possibility to exploit linear dependence in stock returns of the Swedish OMX 30 index. The main model studied in the paper is a Vector autoregressive (VAR) model. Ten years of data from the OMX 30 index is used, consisting of 27 stocks for the period 2006-2015 which is transformed into daily, weekly and monthly returns. First the significance of the models is tested and it i