Sökning: "Volatility Impulse Response Function"

Hittade 3 uppsatser innehållade orden Volatility Impulse Response Function.

  1. 1. Volatility spillover between electricity, carbon emissions and green certificates: A Nordic case study

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Kajsa Ganhammar; [2020]
    Nyckelord :volatility spillover; green certificates; carbon pricing; electricity; VIRF; Business and Economics;

    Sammanfattning : This study investigates volatility spillover between the prices of electricity at Nord Pool, carbon emission allowances in the EU Emissions Trading System (EU ETS) and tradable green certificates (TGC) in the Swedish-Norwegian TGC market. ETS and TGC schemes are market-based policies with the overlapping goals of mitigating greenhouse gas emissions and stimulating sustainable energy investments. LÄS MER

  3. 2. On the Sources of the Great Moderation in Italy - A Time Varying VAR Approach

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Giovanni Sciacovelli; [2018]
    Nyckelord :Bayesian Estimation; Great Moderation; Italy; Time Varying Parameters; Vector Autoregression Analysis;

    Sammanfattning : The Great Moderation, a long-lasting period of reduced fluctuations in key macroeconomic variables, has attracted the attention of many scholars because of the positive outcomes associated with low volatility. The aim of these studies has mainly been to identify the ultimate source of this phenomenon. LÄS MER

  4. 3. Volatility Spillovers between Stock and Bond Returns: Evidence from Nordic Countries

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Olof Thorstensson; [2018]
    Nyckelord :Volatility spillover; stocks; bonds; BEKK; Volatility Impulse Response Function; Business and Economics;

    Sammanfattning : This paper uses a bivariate BEKK model to estimate volatility spillover effects between stock and bond markets for the Nordic countries Sweden, Denmark, Finland and Norway. Daily log returns between the years 2001 and 2018 are analyzed. LÄS MER