Sökning: "BEKK GARCH"

Visar resultat 11 - 15 av 23 uppsatser innehållade orden BEKK GARCH.

  1. 11. Svenska kronan, en potentiell safe haven? : En undersökning om den svenska kronans karaktär efter den finansiella krisen

    Kandidat-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Johan Hunter Oja; Dennis Lindholm; [2014]
    Nyckelord :Safe haven; Valuta; MGARCH; BEKK; Krona;

    Sammanfattning : Tack vare Sveriges bibehållet starka inhemska ekonomi i kölvattnet av finanskrisen 2008-2010 har en diskussion angående svenska kronans eventuella övergång från en procyklisk tillgång till en säker tillgång förts. Samtidigt har det inom populärvetenskap och bland yrkesmän även uttryckts åsikter mot detta påstående. LÄS MER

  3. 12. Empirical Research on Information Transmission in the Hang Seng Index Markets: Evidence from Index Futures, Flagship Index and Finance Index

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Lang Qin; Yang Zhou; [2013]
    Nyckelord :Hang Seng Index Futures market; Volatility Spillovers; Financial Crisis; BEKK model; Business and Economics;

    Sammanfattning : This paper investigates the price discovery mechanism in the Hang Seng Index markets. The analysis is based on the cross-market volatility spillover effects by using the daily sets of Hang Seng Index (HSI), Hang Seng Finance Index (HSFIN), and Hang Seng Index futures (HSCIS00). LÄS MER

  4. 13. Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application

    Kandidat-uppsats, Nationalekonomiska institutionen; Statistiska institutionen

    Författare :Joel Hartman; Jan Sedlak; [2013]
    Nyckelord :multivariate GARCH; exchange rates; conditional correlation; forecasting; Value-at-Risk;

    Sammanfattning : The generalization from the univariate volatility model into a multivariate approach opens up a variety of modeling possibilities. This study aims to examine the performance of the two multivariate GARCH models BEKK and DCC, applied on ten years exchange rates data. LÄS MER

  5. 14. Estimation of Time-Varying Hedge Ratios for Coffee

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Alejandro Esteban Lombana Betancourt; Lena Al Azzawi; [2013]
    Nyckelord :Hedge ratio; basis risk; GARCH; BEKK; VECH; futures contracts; coffee; Business and Economics;

    Sammanfattning : This paper will gain better insights of how to calculate the hedge ratio to reduce the basis risk and protect against the price volatility, which is caused by the mismatch between the spot and future prices. This will be done by calculating the time-varying hedge ratio for the Colombian mild Arabica coffee, using two BGARCH models, the diagonal BEKK and diagonal VECH. LÄS MER

  7. 15. Relationship between Gold and Stock Returns: Empirical evidence from BRICs

    Master-uppsats, Handelshögskolan vid Umeå universitet (USBE)

    Författare :Umesh Kumar Jaiswal; Victoria Voronina; [2012]
    Nyckelord :Gold; Stock; BRICs; Economic sector; correlation; spillover effect; VAR; BEKK GARCH;

    Sammanfattning : The purpose of this study was to investigate the relationship between gold and stock returns with evidence from BRIC countries during 2001-2010. The importance of this topic is caused by instability in the world economy and stock markets, and due to this instability, there is a growing interest in gold from investors and the current bull market of gold. LÄS MER