Sökning: "BEKK GARCH"

Visar resultat 16 - 20 av 23 uppsatser innehållade orden BEKK GARCH.

  1. 16. BEKK-modellens ekonomiska värde i en dynamisk portföljstrategi

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :David Grunditz; [2011]
    Nyckelord :ARCH GARCH; Multivariate GARCH; MGARCH; BEKK; EWMA; volatility timing; Sharpe-ratio; nytta; kvadratisk nytta; ekonomiskt värde; Business and Economics;

    Sammanfattning : Denna uppsats presenterar en utredning av det ekonomiska förhållande mellan två flerdimensionella prediktionsmodeller av typen EWMA och BEKK, som är en flerdimensionell GARCH-modell. Undersökningen görs i en portföljvalskontext där varje modell kopplas till en dynamisk portföljstrategi, som allokerar portföljvikterna utifrån volatility timing. LÄS MER

  3. 17. Bear Periods Amplify Correlation: A GARCH BEKK Approach

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Suleman Rafiq Maniya; Fredrik Magnusson; [2010-06-24]
    Nyckelord :GARCH-BEKK; volatility; covariance; correlation; ARCH; GARCH; emerging markets;

    Sammanfattning : The aim of this paper is to see how correlation changes across time across different indices. We have used a sufficiently large benchmark period of 20 years to have a better understanding as to how correlations1have changed. LÄS MER

  4. 18. Dynamic Hedge Rations on Currency Futures

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Bartosz Czekierda; Wei Zhang; [2010-06-16]
    Nyckelord :;

    Sammanfattning : In the globalized economy many businesses are exposed to the foreign exchange risk in their daily trading activities. Exchange traded futures contracts are one of the instruments that are designed specifically to hedge such risk. LÄS MER

  5. 19. Time-Varying Beta of Scandinavian Industries: The Crisis Experience

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Valeriya Kirdyaeva; Yuliya Prysyazhnyuk; [2010]
    Nyckelord :Time-varying beta; GARCH BEKK model; current financial crisis; volatility; Scandinavian industries; cyclical industries; Management of enterprises; Företagsledning; management; Business and Economics;

    Sammanfattning : Given the influence of the crisis on worldwide financial markets, the aim of this work is to empirically study the effects of the current financial crisis on the time-varying beta of industries in the Scandinavian region. The paper will consider such countries as Norway, Denmark, Finland and Sweden. LÄS MER

  7. 20. Comparison of Multivariate GARCH Models with Application to Zero-Coupon Bond Volatility

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Wenjing Su; Yiyu Huang; [2010]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : The purpose of this thesis is to investigate different formulations of multivariate GARCH models and to apply two of the popular ones – the BEKK- GARCH model and the DCC- GARCH model – in evaluating the volatility of a portfolio of zero-coupon bonds. Multivariate GARCH models are considered as one of the most useful tools for analyzing and forecasting the volatility of time series when volatility fluctuates over time. LÄS MER