Sökning: "Copula- GARCH"

Visar resultat 1 - 5 av 15 uppsatser innehållade orden Copula- GARCH.

1. 1. Exchange Rate and Equity Market Dependence under Shifts in Volatility Expectations

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Vilhelm Samuelsson; [2023]
   Nyckelord :Exchange rates; Equity markets; Volatility; ARMA-GARCH; Copula; Exchange rate determination; Safe-haven; Portfolio rebalancing; Return chasing; Mathematics and Statistics;

   Sammanfattning : Exchange rate movements have important implications for both policy makers and investors, as they can have large effects on the real economy and the return on investments. Lately, their relation to capital flows have attracted growing interest due to the failure of macroeconomic fundamentals to explain them. LÄS MER

3. 2. Copula approach to fitting bivariate time series

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Jun Wang; [2023]
   Nyckelord :VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

   Sammanfattning : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. LÄS MER

4. 3. Improving term structure measurements by incorporating steps in a multiple yield curve framework

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Gustav Villwock; Clara Rydholm; [2022]
   Nyckelord :Finance; Interest rates; Term structure measurement; Monte Carlo; Financial mathematics; Yield curve; Policy rates; Multiple yield curve framework; Stochastic programming; Risk factor modeling; Hedging; Performance attribution; Principle component analysis; GARCH; Maximum likelihood estimation; Copula;

   Sammanfattning : By issuing interest rate derivative contracts, market makers such as large banks are exposed to undesired risk. There are several methods for banks to hedge themselves against this type of risk; one such method is the stochastic programming model developed by Blomvall and Hagenbjörk (2022). LÄS MER

5. 4. EMPIRICAL ANALYSIS OF DEPENDENCE STRUCTURES AND SPILLOVER EFFECTS ACROSS STOCK MARKETS: A STUDY OF RELATIONSHIP BETWEEN VIETNAM AND ITS MAJOR TRADING PARTNERS

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :My Phung; [2021-06-30]
   Nyckelord :stock markets; dependence structure; spillover effect; copula model; VAR-BEKK-GARCH model;

   Sammanfattning : This thesis studies dependence structures and spillover effects between the Vietnamese stock market and the American, Japanese, and European equity markets over the period from 2005 to 2020. For this purpose, I use copula-based models to investigate the dependence structure and asymmetric VAR-BEKK-GARCH frameworks to further define spillover effects. LÄS MER

7. 5. Modelling Dependency Structure with Application in Financial Markets: Copula-GARCH(1,1) Approach

   Master-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)

   Författare :Than Trang; [2021]
   Nyckelord :Copula-GARCH 1; 1 ;

   Sammanfattning : The main objective of this thesis is to examine the dependency structure among different agricultural and energy commodity markets in the United States. For achieving this goal, the paper makes use of the Copula-GARCH(1,1) model to study the financial return volatility and the co-movement between pair of commodities including corn, soybean and gasoline over the pre-COVID 19 pandemic period (from 01-01-2018 to 01-01-2020) and the ongoing COVID 19 pandemic period (from 01-01-2020 to 01-04-2021). LÄS MER