Sökning: "target volatility"

Visar resultat 1 - 5 av 21 uppsatser innehållade orden target volatility.

  1. 1. The Science Based Targets initiative: Its impact on the financial results and the determinants to joing

    Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)

    Författare :Beatriz Pineda Pérez; [2023]
    Nyckelord :Science Based Targets initiative; Financial impact; Difference-in-Differences; Greenhouse Gas Emissions; Science Based Targets initiativ; Ekonomisk påverkan; Difference-in-Differences; Greenhouse Gas Emissions.;

    Sammanfattning : We are currently experiencing a climate crisis. The planet’s temperature is rising considerably due to the emission of greenhouse gases generated by human activities. This situation poses a challenge for everyone, including companies. Private sector actors are taking actions to mitigate the consequences of climate change, such as global warming. LÄS MER

  3. 2. Dissecting Inflation: The effects of inflation volatility on economic growth

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Eric Hansen; Joel Cheung; [2022]
    Nyckelord :Economic Growth; Inflation; Inflation volatility; Price Stability; Business and Economics;

    Sammanfattning : Price stability has become an increasingly important target of policy makers. However, the debate on the effects of inflation and economic growth is by no means settled. LÄS MER

  4. 3. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Simon Wahlberg; [2022]
    Nyckelord :RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

    Sammanfattning : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. LÄS MER

  5. 4. Volatility Managing Strategy - A Strategy for Mitigating Risk and Stabilizing Risk-adjusted Return

    Master-uppsats, KTH/Matematisk statistik

    Författare :Sara Barwary; Hanna Lind; [2021]
    Nyckelord :ARCH; EGARCH; GARCH; GJR-GARCH; Return; Risk; Volatility; Volatility Managing Strategy; ARCH; EGARCH; GARCH; GJR-GARCH; Avkastning; Risk; Volatilitet; Volatilitetshanterande strategi;

    Sammanfattning : Volatility managing strategies have gained attention over the last few years due to theiralleged ability to increase portfolio return and mitigate risk. This thesis examines the performance and risk of a portfolio using such a strategy on the Swedish equity market. The strategy is dependent on the forecasting of volatility. LÄS MER

  7. 5. Reference Point Prices in Mergers and Acquisitions and the Influence of Information Asymmetry: Evidence From the UK

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

    Författare :Axel Olofsson Lauri; [2020]
    Nyckelord :Anchoring; Reference points; Information asymmetry; Mergers and acquisitions; 52-week high;

    Sammanfattning : This thesis examines the role of past peaks in target share prices as reference points in mergers and acquisitions in the UK, with a focus on target 52-week high share prices. The results indicate that there is a positive, non-linear relationship between past peak share prices and offer prices. LÄS MER