Sökning: "asymmetric volatility"

Visar resultat 1 - 5 av 50 uppsatser innehållade orden asymmetric volatility.

  1. 1. A Behavioural Explanation for Asymmetric Volatility Puzzle: Evidence from European Volatility Index.

    Master-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Mohammad Aljaid; [2023]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

  3. 2. An investigation of Sustainable Assets, Equitiesand the Bond market during the Globalpandemic, COVID-19

    Kandidat-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Vincent Rahm; Frej de la Rosa; [2022]
    Nyckelord :Conventional bonds; COVID-19; DCC-GARCH; ESG; Green bond; S P500; Portfolio optimization; volatility; MSCI; Sustainable investments; US 10yr; Treasuries; Equities;

    Sammanfattning : ESG investing has been a hot topic during several years and there have been numerousstudies examining the relationship between sustainable assets and non-sustainable assetsincluding green bonds, social bonds, environmental bonds, ESG-bonds and ESG indices;conventional bonds, S&P 500, common stocks and non-ESG indices. During negative marketshocks several ESG stocks and indices have been shown to outperform common stocks andindices. LÄS MER

  4. 3. Symmetry or Asymmetry: A model comparison between different ARCH-class volatility models using Bitcoin returns

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Hannes Wiklund; [2022]
    Nyckelord :GARCH; Model Confidence Set; Bitcoin; Volatility Forecasting; Business and Economics;

    Sammanfattning : This thesis will in turn evaluate the forecast performance of different ARCH-type models' forecast ability using Bitcoin returns from 01-04-2015 to 01-04-2022. More specifically, it is of interest to see if a simple GARCH(1,1) model can outperform more sophisticated models that incorporate the asymmetry in volatility. LÄS MER

  5. 4. The Impact of Mergers & Acquisitions on Credit- and Investment risk. : -Evidence from Sweden

    Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Casper Dahlberg; Max Lundberg; [2022]
    Nyckelord :Mergers Acquisitions; M A; Credit Risk; Investment Risk; Default Risk; The Institutional Imperative; Merton’s Distance-to-Default model; Merton’s DD; Value-at-Risk; VaR; Tail risk.;

    Sammanfattning : We examine the impact of Mergers & Acquisitions on credit- and investment risk using a sample of 402 acquisitions by 215 Swedish firms from 2000 to 2020. We find significant evidence that, on average, M&A increases the credit risk and inversely decreases the investment risk of the acquiring firm. LÄS MER

  7. 5. Asymmetrisk volatilitet - hur påvisas det i aktiemarknadens olika sektorer? : En sektorjämförelse mellan åren 2012–2022

    Magister-uppsats, Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

    Författare :Linus Alentun; Patrik Egléus; [2022]
    Nyckelord :volatilitet; marknad; aktier;

    Sammanfattning : Abstract Title: Asymmetric volatility – how is it demonstrated in the various sectors of the stock market? Authors: Linus Alentun and Patrik Egléus Supervisor: Katarina Eriksson Background: Asymmetric volatility is a phenomenon that can occur in various financial assets. This can be defined by the fact that volatility and lagged return have a negative correlation in the stock market. LÄS MER