Essays about: "long-run volatility effects"

Showing result 1 - 5 of 7 essays containing the words long-run volatility effects.

1. 1. Explaining the dynamics of exchange rate volatility

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Jacob Tjerneld; Hampus Lööw; [2022]
   Keywords : Exchange Rates; Volatility; GARCH; Heteroskedasticity; Time Series Analysis.; Business and Economics;

   Abstract : This research examines the volatility of the Swedish krona in regards to the Euro and US-dollar exchange rate, using both daily and monthly data ranging from the beginning of 2000 until 2022. Using this time span allows us to update previous literature on exchange rate volatility, and also incorporates recent economic events such as the great financial crisis of 2008, the 2020 covid-pandemic and the geopolitical uncertainty in Europe following Russia's invasion of Ukraine. READ MORE

3. 2. Hints of Sustainable Development in the Philippines: Genuine Savings 1902-2018

   University essay from Lunds universitet/Ekonomisk-historiska institutionen

   Author : Mary Lerma Ann Limjoco; [2021]
   Keywords : Economic History; Environment; Development; Green Growth; Sustainability; Genuine Savings; Adjusted Net Savings; Philippines; Sustainable Development; Business and Economics;

   Abstract : The Philippines is one of the most affected countries by climate change. Income levels do not say much about its national wealth as it leaves out depreciation and excludes other necessary types of capital but are still mainly used to report a country’s economic standing regardless of its sustainability. READ MORE

4. 3. Determinants of Exchange Rate Risks in the Automotive Industry

   University essay from Göteborgs universitet/Graduate School

   Author : Daria Pilat; [2016-10-14]
   Keywords : determinants of foreign currency exposure; currency risk hedging; automotive industry;

   Abstract : The thesis details the analysis of foreign currency exposure determinants based on 21 companies in the automotive industry. The analysis confirms theoretical suggestions that the automotive industry is prone to foreign currency exposure and risks being influenced by competition intensity, functional currency, export ratio, geographic distribution of sales and production networks and operational flexibility. READ MORE

5. 4. The Financial Effects of Going Public on Football Clubs

   University essay from Högskolan i Jönköping/IHH, Economics, Finance and Statistics

   Author : Gareth Low; Fredrik Karlsson; [2015]
   Keywords : IPO; Underperformance; Cumulative Abnormal Returns; Alpha; Football;

   Abstract : In this thesis we analyze the financial performance of Football clubs following an initial public offering (IPO). We conduct several analyses using time series stock data with a focus on finding evidence of long-run underperformance and IPO over/underpricing. To this end, we estimate cumulative abnormal returns (CAR) and Jensen’s Alpha. READ MORE

6. 5. The Relative Performance of Conditional Volatility Models - An Empirical Evaluation on the Nordic Equity Markets

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Kristoffer Blomqvist; [2014]
   Keywords : Volatility components; forecasting; long-run volatility effects; explanatory power; conditional volatility; Business and Economics;

   Abstract : By regressing volatility series of equity returns on macroeconomic variables using data from the Nordic countries, three conditional volatility models are evaluated on their ability to capture effects of long-run volatility shocks. In addition, the same models' short-run forecasting performance is tested by employing a rolling window approach. READ MORE