Sökning: "DCC-GARCH hedge"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden DCC-GARCH hedge.

1. 1. Establishing the nature of Bitcoin : A DCC-GARCH analysis

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi

   Författare :Amanda Ekstrand; Mateusz Musial; [2022]
   Nyckelord :;

   Sammanfattning : Since its start in 2008 up until the date of this study, Bitcoin has steadily gained considerablyin popularity. However, the digital cryptocurrency still seems to be surrounded by asubstantial amount of mystery as to whether it deserves a spot in anyone's portfolio. LÄS MER

3. 2. The Rise of Cryptocurrencies as an Investment Hedge. The Shift from Traditional Investment Hedges: Can Cryptocurrencies Replace Bonds as an Investment Hedge?

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Nichawan Thamrongsak; Mia Varis; [2021]
   Nyckelord :Cryptocurrency; Hedging; DCC-GARCH; US Treasury Yields; S P 500; MSCI World Index; Business and Economics;

   Sammanfattning : This thesis uses a dynamic conditional correlation (DCC) model to investigate the correlation between major cryptocurrencies, US government bonds and the S&P 500 and MSCI World indices in order to establish the hedge, safe haven and diversifier properties of cryptocurrencies. While US Treasuries have exhibited negative correlation and hedging properties against equity risk for decades, recent extreme market conditions have caused investors to look for alternative asset classes for hedging. LÄS MER

4. 3. Decentraliserat portföljval : Kryptotillgångar som diversifiering vid portföljoptimering

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

   Författare :Marcus Jämte; Philip Rettig; [2021]
   Nyckelord :Bitcoin; Ethereum; Cryptocurrency; Crypto; Diversification; Portfolio; Korrelation; Decentralized; Finance; Bitcoin; Ethereum; Kryptovalutor; Krypto; Diversifiering; Portfölj; Korrelation; Decentraliserad; Finans;

   Sammanfattning : Kryptomarknaden och decentraliserad finans har under det senaste året med sin höga avkastning dragit till sig mycket uppmärksamhet. Decentraliserade tillgångar blir alltmer attraktiva för investerare och i denna uppsats är undersöks kryptotillgångars egenskaper som hedge eller diversifiering i en portfölj. LÄS MER

5. 4. Co-movements between Renewable Energy, Oil & Gas, and Technology in Europe: Implications for Investment Decisions

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Olof Thorstensson; [2019]
   Nyckelord :Renewable energy; European stocks; GARCH; conditional correlations; Business and Economics;

   Sammanfattning : In this study, the relationship between the returns of stock indices for renewable energy, oil & gas and technology is analysed in a European context with the use of a DCC GARCH model. Results show that conditional correlations peaked during four years following the 2008 financial crisis but has since then reverted to pre-crisis levels. LÄS MER

7. 5. Swedish Equity Sectors Risk Management with Commodities : Revisiting dynamic conditional correlations and hedge ratios

   Magister-uppsats, Linköpings universitet/Nationalekonomi

   Författare :Daniel Engström; Niklas Gustafsson; [2017]
   Nyckelord :Hedging; hedge; commodities; futures; hedge ratio; conditional correlation; DCC; GO-GARCH; DCC-GARCH; GARCH; Dynamic conditional correlation; oil; GSCI; copper; gold; safe haven; optimal hedge ratio; finance; economics; markets; risk; risk management; hedge effectiveness; Risk; riskhantering; råvaror; terminer; futures; hedging; hedge; GARCH;

   Sammanfattning : The purpose of this study is to investigate changes in dynamic conditional correlations between Swedish equity sector indices and commodities using oil, gold, copper and a general commodity index. Additionally the purpose is to evaluate which of the two methods, DCC- GARCH or GO-GARCH that is more efficient in estimating correlation for hedge ratio calculation. LÄS MER