Sökning: "volatility feedback"

Visar resultat 6 - 8 av 8 uppsatser innehållade orden volatility feedback.

  1. 6. RELATIONSHIP BETWEEN SOVEREIGN CREDIT DEFAULT SWAP AND STOCK MARKETS- The Case of East Asia     

    Master-uppsats, Företagsekonomi; Handelshögskolan vid Umeå universitet (USBE)

    Författare :Serkalem Tilahun Basazinew; Aliaksandra Vashkevich; [2013]
    Nyckelord :sovereign credit risk; credit default swap; stock index; Merton model; price discovery; capital structure arbitrage; emerging market.;

    Sammanfattning : When adjusted to sovereign entities, the structural credit risk model assumes a negative (positive) relationship between sovereign CDS spreads and stock prices (volatilities). In theory both markets are supposed to incorporate new information simultaneously. LÄS MER

  3. 7. Leverage and Volatility

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ola Knut Eric Lithman; [2010]
    Nyckelord :Leverage; volatility; asymmetric volatility; leverage effect; leverage hypothesis; volatility feedback; VAR; PVAR; risk premium; GARCH; APARCH; Conditional CAPM; volatility decomposition; Business and Economics;

    Sammanfattning : This paper attempts to contribute to existing knowledge through an explicit threefold purpose. Initially, the importance of leverage in explaining equity return volatility is determined through two fixed effects panel data estimations. LÄS MER

  4. 8. Leverage Effects on the Swedish stock market

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Gustav Lindström; [2007]
    Nyckelord :Stock market; volatility; leverage effect; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : The leverage effect is one of two main hypotheses explaining the negative relationship between volatility of returns and return on equity. It states that a decrease in leverage, due for example to rising stock prices, increases the amount of equity which carries the firm volatility and thus decreases the volatility on rates of return. LÄS MER