Essays about: "Volatility of Volatility"

Showing result 1 - 5 of 1115 essays containing the words Volatility of Volatility.

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. Network Connectedness in Financial Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Andrea Marcolini; [2024]
   Keywords : Systemic risk modeling; US REITs connectedness; S P 500 connectedness; Returns and realized volatilities prediction;

   Abstract : This paper is a collection of two different theses discussing the prediction of the returns and volatilities of the S&P 500 constituents and of US Real Estate Investment Trusts (REITs) by analyzing their centrality within the financial market network. Both empirical works summarize the relevant financial and network literature, demonstrating how modeling stock connectedness within financial markets makes it possible to create returns and volatility predictors, improving investors' portfolio allocations and achieved investment Sharpe ratios. READ MORE

4. 3. 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

5. 4. 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

6. 5. Power Play: The influence of energy prices on ESG Stocks’ performance during the Energy Crisis A quantitative study performed on the Swedish stock market

   University essay from Göteborgs universitet/Företagsekonomiska institutionen

   Author : Daniella Milojkovic; Jennifer Häggander; [2023-08-25]
   Keywords : ;

   Abstract : This research paper is focused on the impact of the European energy crisis on ESG (Environmental, Social, and Governance) stocks. The paper aims to examine the extent to which the performance of stocks with high ESG scores has been affected by energy prices and volatility during the energy crisis. READ MORE