Sökning: "GSCI"

Visar resultat 1 - 5 av 7 uppsatser innehållade ordet GSCI.

  1. 1. Momentum Strategies in Commodity Futures Market: A Quantitative study

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi

    Författare :Jino Badinson; Alfred Gunnarsson; [2023]
    Nyckelord :Momentum Effect; Contrarian Effect; Investment Strategy; Commodity Futures; Efficient Market Hypothesis; Behavioral Finance Theory;

    Sammanfattning : This study employs a quantitative approach to investigate the momentum phenomenon in the commodity futures market. The study captures the phenomenon using two momentum indicators, namely, MACD and RSI, and extends the scope of indicator utilization to both joint and single usage. LÄS MER

  3. 2. A study incorporating skewness in Expected Shortfall Estimation

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Sreeja Madhavi Prajeesh; [2021]
    Nyckelord :Value at Risk; Expected shortfall; normal distribution; student t-distribution; skewed student t-distribution.; Business and Economics;

    Sammanfattning : Expected Shortfall has become a prominent risk measure after the global financial crisis which hit the economy in 2007. This master thesis examines whether Expected Shortfall (ES) estimation gives better estimates when we incorporate skewness and the impact during turbulent versus tranquil period. LÄS MER

  4. 3. Expected Shortfall Estimation

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Kristina Boehm; [2019]
    Nyckelord :normal; skewed; t-distribution; Expected Shortfall; Value at Risk; Business and Economics;

    Sammanfattning : This thesis evaluates the performance of Expected Shortfall estimation with normal, student-t and skewed distributions. It is stylized fact that student-t distribution generally outperforms normal distribution. LÄS MER

  5. 4. Swedish Equity Sectors Risk Management with Commodities : Revisiting dynamic conditional correlations and hedge ratios

    Magister-uppsats, Linköpings universitet/Nationalekonomi

    Författare :Daniel Engström; Niklas Gustafsson; [2017]
    Nyckelord :Hedging; hedge; commodities; futures; hedge ratio; conditional correlation; DCC; GO-GARCH; DCC-GARCH; GARCH; Dynamic conditional correlation; oil; GSCI; copper; gold; safe haven; optimal hedge ratio; finance; economics; markets; risk; risk management; hedge effectiveness; Risk; riskhantering; råvaror; terminer; futures; hedging; hedge; GARCH;

    Sammanfattning : The purpose of this study is to investigate changes in dynamic conditional correlations between Swedish equity sector indices and commodities using oil, gold, copper and a general commodity index. Additionally the purpose is to evaluate which of the two methods, DCC- GARCH or GO-GARCH that is more efficient in estimating correlation for hedge ratio calculation. LÄS MER

  7. 5. Portfolio Optimization with Commodities - Sub-Sector and Business Cycle Analysis

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

    Författare :Kristina Filiptchuk; Henrik Lindholm; [2011]
    Nyckelord :Commodities; Portfolio Optimization; Sub-sectors; Business Cycles; Diversification;

    Sammanfattning : Commodities have traditionally been viewed as good diversifiers in a portfolio of stocks and bonds. However, recent literature has challenged the alleged benefits of commodities and created a need for further research in this field. LÄS MER