Visar resultat 1 - 5 av 240 uppsatser innehållade ordet GARCH.
- D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
Sammanfattning : This thesis studies the value of implied volatility estimates for portfolio allocation under the modern portfolio theory (MPT) framework introduced by Markowitz and compares the pricing performances of several common option pricing models. The thesis consists of two parts. LÄS MER
2. Does real estate deliver diversification when needed the most? - A dynamic conditional correlation study of REITs in a mixed-asset portfolioMaster-uppsats, Göteborgs universitet/Graduate School
Sammanfattning : MSc in Finance.... LÄS MER
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
- Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik
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
- Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen
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
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