Visar resultat 1 - 5 av 252 uppsatser innehållade ordet GARCH.
1. Wind Power and the Electricity Wholesale Price Volatility : -An empirical study of the effect of wind power on the Swedish energy marketMaster-uppsats, Umeå universitet/Nationalekonomi
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
- Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi
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
- Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO); Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)
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
4. Volatility of copper prices and the effect of real interest rate changes : does the theory of storage explain the volatility of copper spot and futures prices?Master-uppsats, SLU/Dept. of Economics
Sammanfattning : The purpose of this thesis is to determine if the predictions of the theory of storage can explain the volatility of copper prices during the past two decades. The theory predicts that decreasing interest rates should reduce the volatility of commodity prices by encouraging the smoothing of short-run price swings caused by temporary shocks to supply and demand. LÄS MER
5. Predicting Stock Index Volatility Using Artificial Neural Networks: An empirical study of the OMXS30, FTSE100 & S&P/ASX200Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen
Sammanfattning : In this thesis I study the performances of artificial neural networks (ANNs) and three various ARCH-type models to predict weekly volatility of the Swedish (OMXS30), the British (FTSE100) and the Australian (S&P/ASX200) major stock indices. The three various ARCH-type models are the GARCH(1,1), the EGARCH(1,1) and the TGARCH(1,1). LÄS MER
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