Sökning: "Risk spillovers"

Visar resultat 1 - 5 av 9 uppsatser innehållade orden Risk spillovers.

  1. 1. Rare Earth Metals' Resiliency and Volatility Spillover Effects : A Critical Supply Assessment for Western Technologies From a Risk Management Perspective

    Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Farzam Ebrahimi; Samuel Elm; [2023]
    Nyckelord :Rare Earth Metals; Interconnectedness; Conditional Volatility; Risk Management; Value at Risk; Event Study;

    Sammanfattning : This paper explores the relationship between Chinese rare earth metals (REMs) and the industries in the U.S and Europe that heavily rely on them. LÄS MER

  3. 2. Does US-China Trade War Cause Decoupling on Agricultural Trading? Evidence from Spillovers in Soybean Meal Futures Markets

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi; Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Yuwei Pei; Zhangya Zhou; [2020]
    Nyckelord :Trade war; Soybean meal; Price transmission; Risk spillover;

    Sammanfattning : This thesis is designed to study the impacts of the US-China trade war on the agricultural trading between the two countries. Through the empirical research on the price and risk spillover effects, the evidence from the soybean meal futures markets are found out. LÄS MER

  4. 3. Risk Spillovers between BRICS Stock Markets, US Stock Market, Gold and Oil: A portfolio management approach

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Sofia Fors; Carl Billing; [2020]
    Nyckelord :BRICS; DCC-GJR-GARCH; risk spillovers; financial contagion; portfolio selection; Business and Economics;

    Sammanfattning : This study investigates the correlation between the US stock market, oil prices, gold prices and the stock markets of five emerging markets: Brazil, Russia, India, China and South Africa (BRICS), in order to explore the risk spillovers and the financial contagion between the markets. A DCC-GJR-GARCH model is applied to daily data of returns from January 2000 to April 2020 and considers both a full sample analysis along with a three-pronged subsample analysis. LÄS MER

  5. 4. The Role of Uncertainty in the Scandinavian Banking Sector

    Master-uppsats, Linköpings universitet/Nationalekonomi

    Författare :Viktor Forsström; Karl Lind; [2019]
    Nyckelord :Scandinavian banking sector; Uncertainty; Spillovers; Contagion; Connectedness; Network analysis; Quantile regression;

    Sammanfattning : In this thesis we analyse the impact of uncertainty shocks in the Scandinavian banking sector. We apply the spillover approach developed by Diebold and Yilmaz (2009; 2012; 2014), followed by network analysis. Furthermore, the dynamics of uncertainty shocks are examined by applying a quantile regression approach. LÄS MER

  7. 5. Dependence structure and risk spillovers between real estate and stock markets: An application of VMD based time-varying copula approach

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Ran Tao; Xin Yuan; [2018]
    Nyckelord :Time varying copula; Variational mode decomposition; Risk spillovers; CoVaR; delta CoVaR;

    Sammanfattning : In this thesis, we combine copulas with the variational mode decomposition (VMD) method to explore the dependence structure between real estate and stock market in three countries, namely China, U.S. and Australia. LÄS MER