Sökning: "Bonds ARCH"
Visar resultat 1 - 5 av 6 uppsatser innehållade orden Bonds ARCH.
1. Beyond the Crisis: A Safe Haven Analysis : Empirical Insights into the Divergence of Gold and Bonds for Portfolio Hedging
Kandidat-uppsats, Umeå universitet/FöretagsekonomiSammanfattning : Purpose: This thesis investigates the relationship concerning traditional safe haven assets, gold and US 10-year treasury bonds during periods of market instability, specifically during the economic concerns raised by the COVID-19 pandemic. It assesses the hedging and safe haven properties of these assets and their dynamic nature throughout two periods of unconventional monetary and fiscal policy measures by the Federal Reserve & US Congress respectively. LÄS MER
2. Volatility Modelling in the Swedish and US Fixed Income Market : A comparative study of GARCH, ARCH, E-GARCH and GJR-GARCH Models on Government Bonds
Kandidat-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakultetenSammanfattning : Volatility is an important variable in financial markets, risk management and making investment decisions. Different volatility models are beneficial tools to use when predicting future volatility. The purpose of this study is to compare the accuracy of various volatility models, including ARCH, GARCH and extensions of the GARCH framework. LÄS MER
3. A test of GARCH models onCoCo bonds
Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)Sammanfattning : This research investigates to what extent the ARCH model and the GARCH model forecasts one-day-ahead out-of-sample daily volatility (conditional variance) in European AT1 CoCo bonds compared to the Random Walk model. The research also investigates how different orders of ARCH and GARCH models affect the forecasting accuracy. LÄS MER
4. Så glimrande var aldrig guldet : Kvantitativ undersökning om guldets värde bevaras eller ökar vid börsnedgång i Sverige under covid-19
Kandidat-uppsats, Södertörns högskola/NationalekonomiSammanfattning : When the financial markets start to shake investors start looking for a safe asset for protection. When people talk about a safe asset, they for the most part refer to gold. But is that really the case? There are few studies about gold as a safe haven however they do not concern the Swedish financial market. LÄS MER
5. Gold - A Safe Haven : A quantitative research of gold and its role as a safe haven in Sweden
Kandidat-uppsats, Södertörns högskola/NationalekonomiSammanfattning : During stormy weathers ships searched for safe havens to stay until the storm had subsided. In much similarity to these ships, investors on the financial markets search for safe assets when the markets start to shake. What could be considered a safe asset seems to be a never-ending discussion but many points out gold as one. LÄS MER