Sökning: "GARCH"
Visar resultat 21 - 25 av 397 uppsatser innehållade ordet GARCH.
21. The Impact of Financial Crises and Natural Disasters on the US Catastrophe Bond Market
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Catastrophe (CAT) bonds bring the needs of (re)insurance companies and investors together: They insure against natural disasters by transferring risk to the capital market while at the same time promising high returns and a certain detachment from financial markets. Being an alternative investment class that has been on the rise only in recent years, academic research on CAT bonds is comparatively limited. LÄS MER
22. Portfolio Diversification with Commodities : From a Swedish Perspective
Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakultetenSammanfattning : 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
23. An investigation of Sustainable Assets, Equitiesand the Bond market during the Globalpandemic, COVID-19
Kandidat-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakultetenSammanfattning : ESG investing has been a hot topic during several years and there have been numerousstudies examining the relationship between sustainable assets and non-sustainable assetsincluding green bonds, social bonds, environmental bonds, ESG-bonds and ESG indices;conventional bonds, S&P 500, common stocks and non-ESG indices. During negative marketshocks several ESG stocks and indices have been shown to outperform common stocks andindices. LÄS MER
24. Volatility & The Black Swan : Investigation of Univariate ARCH-models, HARRV and Implied Volatility in Nasdaq100 amid Covid19
Master-uppsats, Uppsala universitet/Nationalekonomiska institutionenSammanfattning : Covid19 hit the world’s financial markets by surprise in March 2020 and ensuing volatility marked an end to the prior low-volatility environment. This Black Swan engendered numerous publications establishing how the equity market responded to the exogenous shock. LÄS MER
25. Symmetry or Asymmetry: A model comparison between different ARCH-class volatility models using Bitcoin returns
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This thesis will in turn evaluate the forecast performance of different ARCH-type models' forecast ability using Bitcoin returns from 01-04-2015 to 01-04-2022. More specifically, it is of interest to see if a simple GARCH(1,1) model can outperform more sophisticated models that incorporate the asymmetry in volatility. LÄS MER