Sökning: "Dynamic conditional correlation"

Visar resultat 1 - 5 av 17 uppsatser innehållade orden Dynamic conditional correlation.

  1. 1. 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

  3. 2. 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

  4. 3. 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

  5. 4. Developments in Systemic Risk since the Global Financial Crisis: Assessment of Eurozone and US Systemically Important Banks based on Marginal Expected Shortfall

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Richard Schmidt; [2018]
    Nyckelord :Systemic Risk; Systemically Important Banks; Marginal Expected Shortfall; Dynamic Conditional Correlation; GARCH; Business and Economics;

    Sammanfattning : Present essay investigates if the systemic riskiness of Eurozone and US systemically important banks decreased subsequently to the Global Financial Crisis of 2007/2008. For each of these institutions, time series of the analytical systemic risk measure MES are estimated based on public information. LÄS MER

  7. 5. Does real estate deliver diversification when needed the most? - A dynamic conditional correlation study of REITs in a mixed-asset portfolio

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Mathilda Keino; Malin Svensson; [2017-07-26]
    Nyckelord :REIT; Real Estate Investment Trusts; DCC-GARCH; dynamic conditional correlation; diversification; portfolio theory;

    Sammanfattning : Real estate has traditionally been favored in a mixed-asset portfolio due to its risk-return characteristics and diversification benefits. The recent global financial crisis challenged this perception of advantages attributed to real estate. LÄS MER