Sökning: "GARCH"
Visar resultat 11 - 15 av 397 uppsatser innehållade ordet GARCH.
11. Exploring the Factors Contributing to Bond Yield Spreads : A Garch Approach
Magister-uppsats, Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)Sammanfattning : The goal of this study is to explore which factors contribute to bond yield spreads. To achieve this goal, this study utilizes a variety of GARCH models to find the best-fitting models to describe our data samples of callable, and non-callable bonds. LÄS MER
12. Into the Trading Book: Estimating Expected Shortfall
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : In light of the revised 2019 proposals constituting the Fundamental Review of the Trading Book, which amend the third Basel Accord, expected shortfall is set to replace value at risk as the risk measure dictating banks' capital reserving requirements for exposure to market risk. This paper examines how best to accurately estimate expected shortfall from a regulatory perspective by carrying out an array of non-parametric as well as parametric methods over the recent years of financial instability. LÄS MER
13. Modelling Risk in Real-Life Multi-Asset Portfolios
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : We develop a risk factor model based on data from a large number of portfolios spanning multiple asset classes. The risk factors are selected based on economic theory through an analysis of the asset holdings, as well as statistical tests. LÄS MER
14. Empirical Analysis of Joint Quantile and Expected Shortfall Regression Backtests
Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorikSammanfattning : In this work, we look into the practical applicability of three joint quantile and expected shortfall regression backtests. The strict, auxiliary, and intercept ESR backtests are applied to the historical log returns of the OMX Stockholm 30 market-weight price index. LÄS MER
15. Wind Power and Electricity Price Dynamics : An Empirical Analysis on the Swedish Day-Ahead Market
Kandidat-uppsats, Umeå universitet/NationalekonomiSammanfattning : Facing large-scale electrification, Swedish electricity markets are projected to undergo fundamental changes over the next decades. With climate protection goals in mind, wind-powered electricity will play a crucial role in supplying tomorrow’s electricity to Swedish households and industry. LÄS MER