Sökning: "DCC GARCH"

Visar resultat 1 - 5 av 39 uppsatser innehållade orden DCC GARCH.

  1. 1. Cryptocurrency Spillover Effect on Non-Fungible Token Pricing

    Kandidat-uppsats,

    Författare :Josefine Matshede; Niklas Leschiner; [2022-08-18]
    Nyckelord :NFT; Cryptocurrency; Bitcoin; Ether; Spillover Index; Wavelet; GARCH;

    Sammanfattning : The thesis is designated to understand if the pricing of Non-Fungible Tokens (NFTs) is affected by the volatility present in the cryptocurrency market. NFTs are digital assets such as art, music, videos, and virtual property, that are encoded with blockchain-traded rights and have in the recent one a half year seen a large increase in prices and popularity amongst investors. LÄS MER

  3. 2. Portfolio Diversification with Commodities : From a Swedish Perspective

    Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Simon Derenkow; Max Walméus; [2022]
    Nyckelord :Commodities; DCC-GARCH; OMXSPI; Inflation; Correlation; Diversification; Modern Portfolio Theory;

    Sammanfattning : This paper investigates the diversification characteristics of commodities in relation to the Swedish equity index OMXSPI. Much of the previous literature concludes that gold and oil possess diversification or hedging properties against the US equity markets. LÄS MER

  4. 3. An investigation of Sustainable Assets, Equitiesand the Bond market during the Globalpandemic, COVID-19

    Kandidat-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Vincent Rahm; Frej de la Rosa; [2022]
    Nyckelord :Conventional bonds; COVID-19; DCC-GARCH; ESG; Green bond; S P500; Portfolio optimization; volatility; MSCI; Sustainable investments; US 10yr; Treasuries; Equities;

    Sammanfattning : ESG investing has been a hot topic during several years and there have been numerousstudies examining the relationship between sustainable assets and non-sustainable assetsincluding green bonds, social bonds, environmental bonds, ESG-bonds and ESG indices;conventional bonds, S&P 500, common stocks and non-ESG indices. During negative marketshocks several ESG stocks and indices have been shown to outperform common stocks andindices. LÄS MER

  5. 4. Investing in Bitcoin and Ethereum during stock market turmoil - a Swedish Perspective. : A study on the hedging, safe-haven, and diversification characteristics of Bitcoin, Ethereum and Gold against the OMX30 during the COVID-19 crisis and Russian invasion of Ukraine.

    Magister-uppsats, Jönköping University/IHH, Företagsekonomi

    Författare :Erik Larsson; Lukas Johansson; [2022]
    Nyckelord :DCC-GARCH; Bitcoin; Ethereum; Gold; Safe-Haven; Hedging; Diversification; COVID-19; Russia; Ukraine;

    Sammanfattning : The world has faced tumultuous times in recent years with the COVID-19 pandemic as well as the Russian invasion of Ukraine causing the stock market to be unusually volatile. During such times investors tend to flee to alternative investment opportunities that are uncorrelated or negatively correlated with the stock market, called safe-haven assets. LÄS MER

  7. 5. On the Value at Risk Forecasting of the Market Risk for Large Portfolios based on Dynamic Factor Models with Multivariate GARCH Specifications

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Axel Eurenius Larsson; [2022]
    Nyckelord :Dynamic factor model; Value at Risk; Forecasting; Conditional Correlation GARCH.;

    Sammanfattning : Market risk is the risk of capital loss due to unexpected changes in market prices. One risk measure used to estimate market risk is Value at Risk (VaR). The common historical simulation methodology of VaR forecasting usually does not capture the time-varying volatilities associated with financial data. LÄS MER