Sökning: "Brent Crude"
Visar resultat 1 - 5 av 11 uppsatser innehållade orden Brent Crude.
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 institutionenSammanfattning : 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
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 institutionenSammanfattning : 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
3. Vilka samband råder mellan real växelkurs och olika sektorer av svensk utrikeshandel?
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : 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
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/NationalekonomiSammanfattning : 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
5. Crude Volatility - Investigation of the HAR-RV model and Implied volatility in Brent Crude Futures
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : 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