Sökning: "MGARCH"

Visar resultat 1 - 5 av 12 uppsatser innehållade ordet MGARCH.

  1. 1. Volatility forecasting for cryptocurrencies under a heavy-tailed distribution

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Diego Mauricio Vargas Pico; Alina Bylkova; [2019]
    Nyckelord :Cryptocurrency; Bivariate Diagonal BEKK; Bivariate Diagonal VECH; MGARCH; Volatility; Business and Economics;

    Sammanfattning : In the recent years, cryptocurrencies have gained popularity and have experienced high price volatility. This essay pretends to examine how the multivariate GARCH models predict the volatility of these digital currencies and what implications exist if we consider the correlations among them to forecast their volatility. LÄS MER

  3. 2. The economic relevance of multivariate GARCH models : CCC, DCC, VCC MGARCH(1,1) covariance predictions for the use in global minimum variance portfolios.

    Magister-uppsats, Örebro universitet/Handelshögskolan vid Örebro Universitet

    Författare :Anders Lönnquist; [2018]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

  4. 3. Portfolio selection based on volatility forecasting : DCC MGARCH (1,1) prediction with monthly and weekly portfolio rebalancing

    Master-uppsats, Örebro universitet/Handelshögskolan vid Örebro Universitet

    Författare :Alexander Breznik; Anders Lönnquist; [2017]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

  5. 4. Diversification benefits of investments in emerging markets - A Swedish perspective

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

    Författare :Gustav Berg; Pontus Zetterberg; [2017]
    Nyckelord :Emerging markets; Diversification; Risk; Portfolio Management;

    Sammanfattning : This paper evaluates the possibilities for Swedish investors to diversify their portfolios through investments in emerging market equities. Two different investor profiles are considered, where one seeks to minimize the risk in her portfolio and the other seeks to maximize her risk-adjusted return. LÄS MER

  7. 5. Black-Litterman Portfolio Allocation Stability and Financial Performance with MGARCH-M Derived Views

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jens Norell; Eric Dove; [2016]
    Nyckelord :Financial Econometrics; Black-Litterman; Asset Allocation Stability; MGARCH-M; Business and Economics;

    Sammanfattning : 2 Abstract This paper deploys methodology typically utilized in financial econometrics, namely univariate and multivariate GARCH-M forecasting techniques, as inputs into the Black-Litterman asset allocation process. While previous works have examined the usefulness in deploying select GARCH specifications as a source for the required Black-Litterman views vector, to the best of our knowledge, this is the first such work comparing the effects of select GARCH specification on asset allocation volatility. LÄS MER