Sökning: "GARCH"

Visar resultat 1 - 5 av 260 uppsatser innehållade ordet GARCH.

  1. 1. Volatilitetsprognoser för OMXS30 : Utvärdering av ARCH/GARCH-modeller till prognostisering av volatilitet för OMXS30 med realiserad volatilitet som referenspunkt

    Kandidat-uppsats, Örebro universitet/Handelshögskolan vid Örebro Universitet; Örebro universitet/Handelshögskolan vid Örebro Universitet

    Författare :Alexander Breznik; Truls Malmberg; [2018]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

  2. 2. Wind Power and the Electricity Wholesale Price Volatility : -An empirical study of the effect of wind power on the Swedish energy market

    Master-uppsats, Umeå universitet/Nationalekonomi

    Författare :Tobias Lusth; [2018]
    Nyckelord :;

    Sammanfattning : The objective of this thesis is to estimate the effect of an increasing wind power sector in Sweden on the electricity wholesale price volatility. Previous studies on other energy markets have found a positive correlation but the Swedish market is interesting due to its large hydropower capacity. LÄS MER

  3. 3. The Effect of ESG Performance on Share Price Volatility

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Författare :Robin Jari Mattias Jakobsson; Leo Lundberg; [2018]
    Nyckelord :ESG; CSR; corporate social responsibility; total risk; financial risk; idiosyncratic risk; volatility.;

    Sammanfattning : Environmental, Social, and Governance (ESG) investing is growing rapidly. Previous research in the area, has mostly been centered around ESG/CSR and its link to corporate financial performance, cost of capital and idiosyncratic risk. LÄS MER

  4. 4. Anomaly Detection for Portfolio Risk Management : An evaluation of econometric and machine learning based approaches to detecting anomalous behaviour in portfolio risk measures

    Master-uppsats, KTH/Nationalekonomi

    Författare :Simon Westerlind; [2018]
    Nyckelord :Anomaly detection; Outlier Detection; Portfolio management; Risk management; Value-at-Risk; HTM; EWMA; ARIMA; LSTM; GARCH; Anomalidetektering; Avvikelsedetektering; Portföljhantering; Riskhantering; Valueat-Risk; HTM; EWMA; ARIMA; LSTM; GARCH;

    Sammanfattning : Financial institutions manage numerous portfolios whose risk must be managed continuously, and the large amounts of data that has to be processed renders this a considerable effort. As such, a system that autonomously detects anomalies in the risk measures of financial portfolios, would be of great value. LÄS MER

  5. 5. Bank stock return sensitivity to changes in interest rate level and volatility

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO); Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Filip Bengtsson; Alfred Persson; [2018]
    Nyckelord :Banks; stock return; interest rates; volatility; GARCH-M;

    Sammanfattning : This paper examines how the level and volatility of interest rates affect the stock return of banks using a GARCH-M model. Data is collected for Swedish and Danish banks stock return and interest rates on monthly basis for the period January 2000 to April 2018. LÄS MER

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