Sökning: "Futures Contracts"

Visar resultat 21 - 25 av 60 uppsatser innehållade orden Futures Contracts.

  1. 21. Evaluating the Risk Premium in the Cross-Section of Commodity Futures

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Oliwer Berglund; Martin Rabe Gundersen; [2018]
    Nyckelord :Commodity Futures; Risk Premium; Asset Pricing Models; Fama-MacBeth; Specific Factors.; Business and Economics;

    Sammanfattning : Departing from the increased interest in and beneficial characteristics of investments in commodity futures evident in the literature. This paper evaluates the existence of factors that may explain the cross-section of commodity futures through macro, equity and commodity specific factors. LÄS MER

  3. 22. Comparing fast- and slow-acting features for short-term price predictions

    Master-uppsats, KTH/Matematisk statistik

    Författare :Erik Pärlstrand; [2017]
    Nyckelord :;

    Sammanfattning : This thesis compares two groups of features for short-term price predictions of futures contracts; fast- and slow-acting features. The fast-acting group are based on limit order book derived features and technical indicators that reacts to changes in price quickly. LÄS MER

  4. 23. Is there a Future in Real Estate? : Incorporate Futures Contracts within the Swiss Real Estate Market

    Master-uppsats, KTH/Fastigheter och byggande

    Författare :Ofelia Isberg; [2017]
    Nyckelord :Derivatives; Exchange; Futures Contracts; Hedging; Speculating; Real Estate; Derivat; Exchange; Futures Contracts; Hedging; Spekulation; Fastigheter;

    Sammanfattning : In the past decades, real estate has turned into something more than just a home, it has become an investment. The interest to invest in the real estate market has increased from investors but also from private persons where the demand not only is to find a living but also perceived as an investment to make a profit or reinvest in the future. LÄS MER

  5. 24. Parametric Value-at-Risk in Leptokurtic Distributions

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Lulu Valevie; Patrik Essunger; [2016]
    Nyckelord :Value-at-Risk; Leptokurtic; Student s t-distribution; Currencies; Commodities;

    Sammanfattning : Value-at-risk offers a quick estimate of the market risk exposure inherent in an asset or portfolio. A wide range of value-at-risk methods exist, which differ slightly in the estimation procedures and their assumptions. LÄS MER

  7. 25. Risk Management for Swedish Farmers - An empirical study on hedge ratios for Swedish wheat

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Pierre Andersson; [2016]
    Nyckelord :Dynamic hedge ratio; Wheat futures; GARCH; BEKK; VECH; Business and Economics;

    Sammanfattning : The paper investigates data on purchasing price of wheat from Swedish grain buyer Lantmännen and MATIF future contracts on milling wheat in an attempt to replicate the conditions for a Swedish farmer trying to manage his risk on wheat by trading future contracts on the MATIF exchange. Two static linear regressions and four dynamic GARCH models are employed on a sample of 1679 daily returns and 339 weekly returns ranging from 2009-07-01 to 2016-01-11. LÄS MER