Essays about: "VOLATILITY thesis"

Showing result 1 - 5 of 443 essays containing the words VOLATILITY thesis.

1. 1. Beyond the Crisis: A Safe Haven Analysis : Empirical Insights into the Divergence of Gold and Bonds for Portfolio Hedging

   University essay from Umeå universitet/Företagsekonomi

   Author : Anthony Baugi; Eugene Zhang; [2024]
   Keywords : Gold; Bonds; Safe Haven; Hedging; US Treasury; Volatility; Covid; Portfolio Theory; Asset Dynamics; Fiscal Policy; Monetary Policy; Financial Crisis; Asset Management; Risk Management; Portfolio Risk;

   Abstract : Purpose: This thesis investigates the relationship concerning traditional safe haven assets, gold and US 10-year treasury bonds during periods of market instability, specifically during the economic concerns raised by the COVID-19 pandemic. It assesses the hedging and safe haven properties of these assets and their dynamic nature throughout two periods of unconventional monetary and fiscal policy measures by the Federal Reserve & US Congress respectively. READ MORE

3. 2. Board Diversity's effect on Stock Volatility An empirical study on the Swedish market

   University essay from

   Author : Simon Risberg; Sanna Tegenfeldt; [2023-09-15]
   Keywords : ;

   Abstract : In recent years, group diversity has become a prevalent topic of discussion with regard to benefits and drawbacks. This thesis examines the impact of board diversity on stock volatility using data on board directors in Swedish companies over a ten-year period. READ MORE

4. 3. Momentum Factor in Swedish Industries A Comprehensive Study during 2016-2022, with Emphasis on the COVID-19 Period

   University essay from Göteborgs universitet/Företagsekonomiska institutionen

   Author : Alex Holm; Ellioth Tilly; Thomas Eklind; [2023-09-01]
   Keywords : Momentum strategies; Volatility; Excess return; Jensen s Alpha; Covid -19. 1;

   Abstract : The momentum strategy is a widely recognized investment approach that aims to generate abnormal returns by buying past winners and selling past losers. The purpose of this thesis is to investigate if the momentum strategy is applicable at Swedish industries and see if there are any differences between a longer and shorter holding and ranking period. READ MORE

5. 4. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor

   University essay from KTH/Matematik (Avd.)

   Author : Benjamin Neander; Victor Mattson; [2023]
   Keywords : Zero-coupon bond; Vasicek model; Two-factor interest rate model; Stochastic volatility.; Nollkupongobligation; Vasicek model; Räntemodell med två faktorer; Stokastisk volatilitet.;

   Abstract : Empirical evidence indicates that the volatility in asset prices is not constant, but varies over time. However, many simple models for asset pricing rest on an assumption of constancy. READ MORE

6. 5. On Predicting Price Volatility from Limit Order Books

   University essay from Uppsala universitet/Matematiska institutionen

   Author : Reza Dadfar; [2023]
   Keywords : General Compound Hawkes Process; Limit Order Book LOB ; High- Frequency Trading; Price Volatility; Markov Chain.;

   Abstract : Accurate forecasting of stock price movements is crucial for optimizing trade execution and mitigating risk in automated trading environments, especially when leveraging Limit Order Book (LOB) data. However, developing predictive models from LOB data presents substantial challenges due to its inherent complexities and high-frequency nature. READ MORE