Sökning: "VAR-GARCH"

Hittade 1 uppsats innehållade ordet VAR-GARCH.

  1. 1. Safe Haven Assets - A long-term and short-term analysis of commodities, currencies and bonds

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

    Författare :Daniel Hniopek; Ilya Kiselev; [2015]
    Nyckelord :Safe Haven Assets; VAR-GARCH; Stock Market Shocks; Contractions; Bear Markets;

    Sammanfattning : This paper examines a broad range of assets including commodities, currencies and bonds, to test whether they could be classified as safe haven assets, that is, assets which are uncorrelated or negatively correlated with stocks during crisis periods. Using two different methodologies - a VAR-GARCH study focusing on the correlation between the tested assets and stocks, and a negative shock analysis focusing on the performance before and after shocks to the stock market - we find evidence of potential safe haven assets in all tested asset classes. LÄS MER