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Visar resultat 11 - 15 av 50 uppsatser som matchar ovanstående sökkriterier.

  1. 11. FEDERAL FUNDS RATE ON BITCOIN VOLATILITY : Using the symmetric GARCH and asymmetric EGARCH models

    Kandidat-uppsats, Umeå universitet/Nationalekonomi

    Författare :Elias Atmander; [2021]
    Nyckelord :;

    Sammanfattning : This thesis examines the volatility of Bitcoin during four years from 2014-04-01 until 2020-04-01. The main objective of the thesis was to answer the research question: “Is the return volatility of Bitcoin affected by interest rate change announcements by the FOMC?” and given Bitcoin’s decentralized characteristics, the hypothesis to this was that Bitcoin should not be affected by such changes. LÄS MER

  3. 12. Dependence Structures between Commodity Futures and Corresponding Producer Indices across Varying Market Conditions : A cross-quantilogram approach

    Master-uppsats, Linköpings universitet/Nationalekonomi

    Författare :Elin Borg; Ilya Kits; [2020]
    Nyckelord :Commodity futures contracts; Commodity producer index; Cross-quantilogram; Dependence structures; Spillovers; Tail dependence;

    Sammanfattning : This thesis examines the dependence structures between commodity futures and corresponding commodity producer equity indices in bearish, bullish and normal market conditions. We study commodity futures and producer indices in the energy, precious metals, gold and agriculture commodity markets using daily return data that ranges from 16 December 2005 to 28 June 2019. LÄS MER

  4. 13. Does Noise Trader Risk Repel Arbitrageurs? Evidence from Chinese A-H Share Premia

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

    Författare :Qing Zhu; Haihui Li; [2020]
    Nyckelord :noise trader risk; A-H premia; volatility; investor sentiment; limits to arbitrage;

    Sammanfattning : What causes the Chinese A-H share premia puzzle? A-shares enjoy a premium over corresponding H-shares on average by 125%, despite the same rights and dividends. The existing hypotheses such as differential risk, differential demand, liquidity, and asymmetric information cannot successfully account for the great magnitude of inflated A-share prices and are also inconsistent with our sample from 2014-2019. LÄS MER

  5. 14. Modeling asymmetry in volatility response - non-Gaussian innovations approach

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Ludvig Göransson; [2020]
    Nyckelord :ARCH; GARCH; APARCH; Asymmetric GARCH; non-Gaussian innovations; Laplace distribution; Leverage effect; Stylized facts; Volatility process.; Mathematics and Statistics;

    Sammanfattning : This thesis is an explorative note on the non-Gaussian innovations of the volatility process. More specifically, the thesis investigates if the decomposition of the Standard Classical Laplace (SCL) distribution to a difference of two exponential is a valid alternative to modelling the asymmetric volatility processes, taking volatility clustering, the leverage effect and asymmetric response in volatility into account. LÄS MER

  7. 15. Direkta och indirekta effekter av noter : För aktörer på en aktiemarknad

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

    Författare :Jimmy Huang; Tim Larsson; [2020]
    Nyckelord :Accounting notes; forecast precision; stock liquidity; stock volatility; financial analysts; equity market; context; amount of information; Noter; prognosprecision; aktielikviditet; aktievolatilitet; finansiella analytiker; aktiemarknad; kontext; informationsmängd;

    Sammanfattning : Abstract Title: Direct and indirect effect of notes – for actors in a stock market Background: Notes make up a significant part of the company´s annual report, but does this information have any major impact? On one side, notes should lead to less information asymmetry, which positively affects the stock market and financial analysts forecasting precision as well as this relationship depends on different contexts. The question is also asked if all information presented in the notes is too extensive, which creates information overload for financial analysts. LÄS MER