Sökning: "Brent Crude oil"

Visar resultat 1 - 5 av 11 uppsatser innehållade orden Brent Crude oil.

  1. 1. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Otto Colbin; Yugam Sharma; [2023]
    Nyckelord :Value-at-Risk VaR ; Expected Shortfall ES ; Nonparametric estimation methods; Parametric estimation methods; Crude oil.; Business and Economics;

    Sammanfattning : Practitioners primarily utilise nonparametric methods when estimating Value-at- Risk (VaR) and Expected Shortfall (ES) for computing capital requirements. However, various researchers assert that there are issues with those estimates, particularly amidst periods of market turmoil. LÄS MER

  3. 2. The Effects of Macroeconomic Factors on the Shares of Automotive Manufacturers in the USA, Asia, and Europe in the Short and Long Run

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Filip Dyankov; [2022]
    Nyckelord :macroeconomic factors; stock returns; VAR; ARDL; Business and Economics;

    Sammanfattning : This study aims to broaden the remits of the relatively scant hitherto literature focused on the impact of the changes in macroeconomic indicators on automotive stock returns. Since a considerable fraction of previous empirical research covered multiple industries, historical results may not be directly transferable for the purposes of the analysis of the automotive industry. LÄS MER

  4. 3. Vilka samband råder mellan real växelkurs och olika sektorer av svensk utrikeshandel?

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Björn Olsson; [2017]
    Nyckelord :Export; import; real växelkurs; Marshall-Lerner villkoret; J-kurva; Business and Economics;

    Sammanfattning : This paper seeks to investigate the effects of the real exchange rate on the Swedish trade balance. By investigating for the elasticities of demand from the real exchange rate on Swedish exports and imports this paper seeks to present a more detailed and specific estimate than previous studies on the trade balance. LÄS MER

  5. 4. The Price and Volatility Dynamics in the Swedish-Norwegian Renewable Electricity Certificate MarketA Study of Spillover Effects and Regulatory changes

    Master-uppsats, Linköpings universitet/Nationalekonomi

    Författare :Philip Finell; Maria Hiller; [2016]
    Nyckelord :Renewable Electricity Certificates; REC; GARCH; CCF; Spillover Effects; Structural Breaks; Equity Markets; Brent Crude Oil;

    Sammanfattning : The market for renewable electricity certificates (REC) is the primary support system for renewable energy in Sweden and Norway. Regulatory uncertainty and equity markets have previously been proven to impact the volatility of the REC spot contract. LÄS MER

  7. 5. Crude Volatility - Investigation of the HAR-RV model and Implied volatility in Brent Crude Futures

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Niklas Lindeke; [2015]
    Nyckelord :Volatility; Brent Crude; Oil; HAR-RV; Implied Volatility; Business and Economics;

    Sammanfattning : This thesis investigates the relationship between the quantitative volatility model HAR-RV and the qualitative volatility implied in the option pricing formula. Using OLS regression with Newey-West to estimate the HAR model, strong predictive characteristics where obtained, as well as observing a very high informational relationship between the two model. LÄS MER