Sökning: "Volatility regimes"

Visar resultat 1 - 5 av 19 uppsatser innehållade orden Volatility regimes.

  1. 1. Exchange Rate Regimes and Trade in the Western Balkans

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Clara Falkenek; [2023]
    Nyckelord :Exchange Rate Regimes; Euro; Western Balkans; Gravity Model; Trade; Business and Economics;

    Sammanfattning : The choice of exchange rate regime is believed to affect countries’ trade levels. Currency unions and currency pegs reduce exchange rate volatility and create greater price transparency in foreign trade compared to a flexible exchange rate regime. LÄS MER

  3. 2. Volatility Forecasting with Artificial Neural Networks: Can we trust them?

    Master-uppsats, Stockholms universitet/Finansiering

    Författare :Carl Oscar Dannström; Axel Broang; [2022]
    Nyckelord :;

    Sammanfattning : This thesis investigates how two types of artificial neural network models (ANN), feedforwardneural networks (FNN) and long short-term memory (LSTM), used for realized volatility (RV) forecasting, perform during high and low volatility regimes in comparison to the heterogeneousautoregressive (HAR) model. This is done for 23 stocks, constituents of the Swedish index OMXS30, between the 8th of February 2010 and the 31st of January 2022 using ten exogenous and three endogenous input variables. LÄS MER

  4. 3. Volatility Timing using Machine Learning - An Application to a Signal Based Portfolio

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Filippa Lövgren; Julian Marvin Ulmer; [2022]
    Nyckelord :Machine Learning; Support Vector Machines; VIX; Volatility Timing; Portfolio Construction; Business and Economics;

    Sammanfattning : Recent events such as the covid-19 pandemic and the Russian-Ukrainian war have led to a tremendous increase in volatility, making financial markets riskier for investors. To see whether investors can counteract or profit from such risk, we develop a volatility timed trading strategy. LÄS MER

  5. 4. Performance of Stochastic Volatility and GARCH Models in Different Market Regimes

    Kandidat-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Felix Viitanen; Erik Lundgren; [2022]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : Reliable methods for estimating financial return volatility are crucial in many areas of trading and investing. Two such frameworks, the GARCH and SV, have been of particular interest to academics and practitioners alike. The GARCH model describes the variance of the current innovation as a function of the actual sizes of the previous innovations. LÄS MER

  7. 5. A Non-linear Analysis of Cointegration in South-East Asian Equity Markets

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

    Författare :Massimiliano Severi; [2021]
    Nyckelord :Cointegration; South-East Asian stock markets; Time series comovements; Markov-switching models; Regime-shifting models;

    Sammanfattning : This paper investigates the presence of cointegration among the main stock markets in South-East Asia, namely those of Hong Kong, Singapore, Malaysia and Thailand. Part 1 of the thesis studies the relationship using Markov-switching models, while Part 2 uses regime-shifting models with one structural break. LÄS MER