Sökning: "GARCH"

Visar resultat 1 - 5 av 252 uppsatser innehållade ordet GARCH.

  1. 1. 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

  2. 2. 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

  3. 3. 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

  4. 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

    Författare :Moa Duvhammar; [2018]
    Nyckelord :theory of storage; copper price volatility; futures curve; conditional variance; GARCH;

    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. 5. Predicting Stock Index Volatility Using Artificial Neural Networks: An empirical study of the OMXS30, FTSE100 & S&P/ASX200

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ola Johnsson; [2018]
    Nyckelord :artificial neural networks; volatility; ARCH-type models; Business and Economics;

    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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