Essays about: "Asymmetric volatility"
Showing result 1 - 5 of 45 essays containing the words Asymmetric volatility.
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1. A Behavioural Explanation for Asymmetric Volatility Puzzle: Evidence from European Volatility Index.
University essay from Uppsala universitet/Nationalekonomiska institutionenAbstract : .... READ MORE
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2. An investigation of Sustainable Assets, Equitiesand the Bond market during the Globalpandemic, COVID-19
University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakultetenAbstract : ESG investing has been a hot topic during several years and there have been numerousstudies examining the relationship between sustainable assets and non-sustainable assetsincluding green bonds, social bonds, environmental bonds, ESG-bonds and ESG indices;conventional bonds, S&P 500, common stocks and non-ESG indices. During negative marketshocks several ESG stocks and indices have been shown to outperform common stocks andindices. READ MORE
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3. Symmetry or Asymmetry: A model comparison between different ARCH-class volatility models using Bitcoin returns
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis will in turn evaluate the forecast performance of different ARCH-type models' forecast ability using Bitcoin returns from 01-04-2015 to 01-04-2022. More specifically, it is of interest to see if a simple GARCH(1,1) model can outperform more sophisticated models that incorporate the asymmetry in volatility. READ MORE
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4. The Impact of Mergers & Acquisitions on Credit- and Investment risk. : -Evidence from Sweden
University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)Abstract : We examine the impact of Mergers & Acquisitions on credit- and investment risk using a sample of 402 acquisitions by 215 Swedish firms from 2000 to 2020. We find significant evidence that, on average, M&A increases the credit risk and inversely decreases the investment risk of the acquiring firm. READ MORE
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5. Comparison of impact on stock market volatility by COVID-19 and the 2008 financial crisis
University essay from Umeå universitet/NationalekonomiAbstract : The aim of this thesis is to analyse the volatility of 11 sectorial stock return data of S&P 500 Index during the 2008 global financial crisis and the recent COVID-19 global pandemic. S&P 500 is a large stock market index that tracks the performance of 500 companies that are some of the largest in the world. READ MORE