Sökning: "GARCH"

Visar resultat 1 - 5 av 238 uppsatser innehållade ordet GARCH.

  1. 1. Does real estate deliver diversification when needed the most? - A dynamic conditional correlation study of REITs in a mixed-asset portfolio

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Mathilda Keino; Malin Svensson; [2017-07-26]
    Nyckelord :REIT; Real Estate Investment Trusts; DCC-GARCH; dynamic conditional correlation; diversification; portfolio theory;

    Sammanfattning : MSc in Finance.... LÄS MER

  2. 2. An Empirical Evaluation of the Return and Risk Neutrality of Market Neutral Hedge Funds

    Kandidat-uppsats,

    Författare :Ludwig Skogman; Sebastian Zettergren; [2017-06-30]
    Nyckelord :Hedge Funds; Hedging; Market Neautrality; GARCH; Financial instability;

    Sammanfattning : Market neutral is a widely-used investment style for hedge funds. By analysing a data set consisting of 7913 hedge funds, we assess their historical ability to stay neutral towards the U.S. equity market in terms of return and return volatility. LÄS MER

  3. 3. MIDAS and GARCH; A comparison of predictive ability using real world data

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Robin Särnå; [2017-06-26]
    Nyckelord :MIDAS; GARCH; high frequency data;

    Sammanfattning : I compare GARCH and MIDAS one-day-ahead forecasts of volatility using high frequency data from the CRSP U.S. Mega Cap Index. The MIDAS models are estimated using high frequency data sampled at 5, 15 and 30 minute intervals and estimated using both exponential Almon and beta lag distributions with two shape parameters. LÄS MER

  4. 4. Price relations in energy and agricultural markets: The case of Malaysian biodiesel and palm oil

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Lena Sophia Müller; [2017]
    Nyckelord :Social Sciences;

    Sammanfattning : This thesis analyses price relations in Malaysian energy and agricultural markets. In partic- ular interactions among prices for biodiesel, palm oil and crude oil were studied. The levels of the series are modeled by a standard vector autoregression set-up in combination with an impulse response analysis. LÄS MER

  5. 5. The Leverage Effect - Uncovering the true nature of U.S. asymmetric volatility

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Christoffer Dahlvid; Per Granberg; [2017]
    Nyckelord :Leverage effect; asymmetric volatlity; firm specific variables; volatility; GJR-GARCH; EGARCH; panel data; Business and Economics;

    Sammanfattning : The topic of this thesis is the leverage effect i.e. asymmetric volatility. The leverage effect describes the negative relationship between asset value and volatility. LÄS MER

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