Sökning: "asymmetric volatility"

Visar resultat 16 - 20 av 50 uppsatser innehållade orden asymmetric volatility.

1. 16. Defensiv investeringsstrategi - Funkar det i praktiken? En undersökning om defensiva sektorer på nordiska börsen och en analys kring olika sektorers Beta under börsnedgångar

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Johan Cisneros; [2019]
   Nyckelord :Alpha. Beta. Cyklikalitet. Defensiv Sektor. Index. Oelastisk Efterfrågan. Peak. Trough. Standardavvikelse. Yieldkurva.; Business and Economics;

   Sammanfattning : Uppsatsen har analyserat prestationen och volatiliteten av 9 nordiska sektorindex under börsnedgångar. Resultaten användes därefter för att bekräfta vare sig en sektor beter sig defensivt eller cykliskt i förhållande till ett lämpligt jämförelseindex. Defensiva/Cykliska sektorer är definierade som en sektor med ett beta under/över 1. LÄS MER

3. 17. The Leverage Effect - Uncovering the true nature of U.S. asymmetric volatility

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Christoffer Dahlvid; Per Granberg; [2017]
   Nyckelord :Leverage effect; asymmetric volatlity; firm specific variables; volatility; GJR-GARCH; EGARCH; panel data; Business and Economics;

   Sammanfattning : The topic of this thesis is the leverage effect i.e. asymmetric volatility. The leverage effect describes the negative relationship between asset value and volatility. LÄS MER

4. 18. Determinants of Exchange Rate Risks in the Automotive Industry

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Daria Pilat; [2016-10-14]
   Nyckelord :determinants of foreign currency exposure; currency risk hedging; automotive industry;

   Sammanfattning : The thesis details the analysis of foreign currency exposure determinants based on 21 companies in the automotive industry. The analysis confirms theoretical suggestions that the automotive industry is prone to foreign currency exposure and risks being influenced by competition intensity, functional currency, export ratio, geographic distribution of sales and production networks and operational flexibility. LÄS MER

5. 19. A Swedish Model-Free Implied Volatility Index constructed from OMXS30 options

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Eric Öström; [2016-05-23]
   Nyckelord :;

   Sammanfattning : In this paper I construct a model-free implied volatility index, SVIX, from OMXS30 options based on a variance replication technique, independent of any option pricing model. The SVIX index exhibits several stylized properties of volatility indices such as long memory components, mean reversion and volatility clustering. LÄS MER

7. 20. The Impact of Oil Price Shocks on Stock Returns of European Industries

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

   Författare :Jonas Von Werder; Yue Lin; [2016]
   Nyckelord :vector autoregressive model; oil prices; oil price volatility; asymmetric oil price effects; financial crisis;

   Sammanfattning : Using a VAR approach, we investigate the sensitivity of European industry returns to linear oil price changes and oil price volatility for a period from January 1995 until December 2015. We show that the response to a change in the price of oil is varying across industries and across the sample period. LÄS MER