Sökning: "Dominice Goodwin"

Hittade 2 uppsatser innehållade orden Dominice Goodwin.

1. 1. Schwartz-Smith Two-Factor Model in the Copper Market: before and after the New Market Dynamics

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Dominice Goodwin; [2013]
   Nyckelord :Schwartz-Smith Two-Factor Model; Copper; Term Structure Model; Business and Economics;

   Sammanfattning : This thesis offers a study on the performance of the short-term/long-term model by Schwartz and Smith (2000) in the copper futures market for the period 1993-07-21 to 2013-03-05. The model's performance is evaluated in terms of its ability to model the term structure of copper futures prices, and is for this purpose compared to two one-factor benchmark models, an Orstein-Uhlenbeck process and a geometric Brownian motion process. LÄS MER

3. 2. Modeling and Forecasting Volatility in Copper Price Returns with GARCH Models

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Dominice Goodwin; [2012]
   Nyckelord :GARCH 1; 1 ; GJR-GARCH 1; QGARCH 1; forecasting volatility; Copper; Business and Economics;

   Sammanfattning : This thesis offers a study on how well the standard GARCH(1,1) model, the GJR-GARCH(1,1) model and the QGARCH(1,1) model, were able to model (in-sample) and forecast (out-of-sample) the volatility of copper spot price returns in four equally large subsamples within the period July 21, 1993 to 22 Mars, 2012. The results shows that the GARCH models' ability to model the conditional variance (in-sample) was highly satisfactory for the three subsamples in which there was found significant presence of ARCH effects. LÄS MER