Sökning: "GARCH"

Visar resultat 16 - 20 av 397 uppsatser innehållade ordet GARCH.

1. 16. Copula approach to fitting bivariate time series

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Jun Wang; [2023]
   Nyckelord :VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

   Sammanfattning : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. LÄS MER

3. 17. 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

4. 18. A time series analysis of the impact of the COVID-19 pandemic on container shipping freight rates: An application to the Asia-Europe trade route

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Chen Yuchun; Zhou Shiyu; [2022-08-03]
   Nyckelord :Container shipping; Freight rates; COVID-19; Oil prices; Stock market prices; Time series model; GARCH;

   Sammanfattning : The outbreak of the COVID-19 pandemic caused a sudden disruption to the shipping industry. However, for container shipping, freight rates have reached record highs during the pandemic. Shipping companies realise that understanding the impact of exogenous shocks on freight rate fluctuations to forecast freight rates is critical. LÄS MER

5. 19. Covid-19 och börsvärdets påverkan av volatiliteten

   Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Författare :Jesper Eskelind; [2022-07-06]
   Nyckelord :Votalitet; Covid-19; stockholmsbörsen; GARCH 1.1 ;

   Sammanfattning : Covid-19 has contributed to a major impact on the world economy. Stock markets have tumble and show to be more volatile than usual. In this study, we investigate if the size of a company matter in how volatile they are under and before covid-19. LÄS MER

7. 20. The Relationship Between Idiosyncratic Volatility and Portfolio Return within Swedish Stock Markets.

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Christian Gray; Ricardo Sousa; [2022-06-29]
   Nyckelord :;

   Sammanfattning : Main results suggest there is a statistically and economically significant positive relationship between idiosyncratic volatility and portfolio return within the Swedish stock markets. This relationship is detected despite the low idiosyncratic volatility climate of Sweden. LÄS MER