Sökning: "volatility feedback"
Visar resultat 1 - 5 av 8 uppsatser innehållade orden volatility feedback.
1. Chasing Your Own Tail: The Market Stability Impact of Leveraged and Inverse Exchange-Traded FundsC-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
Sammanfattning : This thesis explores the market stability impact of the positive feedback mechanism of leveraged and inverse exchange-traded funds' (LETFs) rebalancing trades. We explore potential market stability effects by analysing intraday minute-by-minute data for underlying stocks in the OMXS30 and aggregate rebalancing flows for LETFs tracking the index. LÄS MER
2. DATA-DRIVEN DYNAMIC CAPABILITIES An exploration into digital transformation and business strategy building entailed by a dynamic capabilities viewKandidat-uppsats, Malmö universitet/Fakulteten för teknik och samhälle (TS); Malmö universitet/Fakulteten för teknik och samhälle (TS)
Sammanfattning : The pervasive nature of technological advancements has increased the complexity, and thus the environmental volatility that span well across the borders of industries and na-tions. It could be argued that the need for firms to demonstrate dynamic capabilities are greater than ever before. LÄS MER
- Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen
Sammanfattning : This paper estimates and simulates a New-Keynesian small-scale DSGE macro model. The model consists of the hybrid forms of the Phillips curve and the IS curve, and is closed with a Taylor-type feedback rule allowing partial adjustment of the monetary policy instrument. LÄS MER
- Master-uppsats, KTH/Matematisk statistik
Sammanfattning : This thesis present a Stochastic Volatility in Mean (SVM) model which is estimated using sequential Monte Carlo methods. The SVM model was first introduced by Koopman and provides an opportunity to study the intertemporal relationship between stock returns and their volatility through inclusion of volatility itself as an explanatory variable in the mean-equation. LÄS MER
5. Optimal portfolio allocation by the martingale method in an incomplete and partially observable marketMaster-uppsats, KTH/Matematisk statistik
Sammanfattning : In this thesis, we consider an agent who wants to maximize his expected utility of his terminal wealth with respect to the power utility by the martingale method. The assets that the agent can allocate his capital to are assumed to follow a stochastic differential equation and exhibits stochastic volatility. LÄS MER