Sökning: "liu volatility spillover"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden liu volatility spillover.

1. 1. Rare Earth Metals' Resiliency and Volatility Spillover Effects : A Critical Supply Assessment for Western Technologies From a Risk Management Perspective

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

   Författare :Farzam Ebrahimi; Samuel Elm; [2023]
   Nyckelord :Rare Earth Metals; Interconnectedness; Conditional Volatility; Risk Management; Value at Risk; Event Study;

   Sammanfattning : This paper explores the relationship between Chinese rare earth metals (REMs) and the industries in the U.S and Europe that heavily rely on them. LÄS MER

3. 2. How do ESG assets relate to the financial market? : A Diebold-Yilmaz spillover approach to sustainable finance

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

   Författare :Shobair Moosawi; Ludvig Segerhammar; [2022]
   Nyckelord :AR 1 -GARCH p; q ; Commodity; ESG; Equity; Return; Spillover; Sustainability; Sustainable finance; Volatility;

   Sammanfattning : The purpose of this master’s thesis is to investigate to what extent ESG assets and traditional benchmarks affect one another. Since sustainable investment is a growing segment of the financial market, investors need to be informed about how it may affect their portfolios, and by extension if it can be used for portfolio diversification. LÄS MER

4. 3. Is the Phillips Curve Valid for ASEAN? : A Time-Varying Approach

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

   Författare :Simon Wilfer; Philip Wikström; [2021]
   Nyckelord :ASEAN; Phillips Curve; Inflation Dynamics; ARMA-GARCH; Time-Varying; Financial Integration; Spillover; Monetary Policy;

   Sammanfattning : The primary purpose of this thesis was to investigate if the modern Phillips Curve is valid for ASEAN five (Indonesia, Malaysia, Thailand, Singapore and Philippines) countries using a time-varying approach in the form of an ARMA-GARCH model. The method enables us to investigate how the inflation volatility reacts to economic shocks and if its history can predict the conditional variance of inflation. LÄS MER

5. 4. 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

7. 5. Information Diffusion and Safe Havens : Multi-scale Network Dynamics in the Biotech Markets

   Master-uppsats, Linköpings universitet/Nationalekonomi

   Författare :Lovisa Youssef; Tijana Zelic; [2019]
   Nyckelord :biotech; time-frequency dynamics; connectedness; spillover; systematic risk; safe haven;

   Sammanfattning : This paper analyzes the return connectedness between the biotechnology sector and other financial assets for 1 January 2000 to 31 December 2018, using an empirical approach from both time- and frequency-domain. The results reveal that the connectedness between the biotechnology sector and other financial assets are decreasing with time, entailing high diversification opportunities in the long-run. LÄS MER