Essays about: "BEKK"

Showing result 1 - 5 of 23 essays containing the word BEKK.

1. 1. The Impact of Financial Crises and Natural Disasters on the US Catastrophe Bond Market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Martina Scaroni; Felicitas Gesa Lore Elisabeth Schulze-Steinen; [2022]
   Keywords : Catastrophe Bond; Atlantic Hurricanes; Natural Disasters; Financial Crisis; Business and Economics;

   Abstract : Catastrophe (CAT) bonds bring the needs of (re)insurance companies and investors together: They insure against natural disasters by transferring risk to the capital market while at the same time promising high returns and a certain detachment from financial markets. Being an alternative investment class that has been on the rise only in recent years, academic research on CAT bonds is comparatively limited. READ MORE

3. 2. The search for safe haven assets in the time of a global pandemic

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Katja Rasic; [2022]
   Keywords : Volatility spillover; diagonal BEKK-GARCH; global pandemic; safe haven; Business and Economics;

   Abstract : The global pandemic has initially negatively influenced the financial markets all over the world. As a consequence, the volatility in the stock markets increased and investors have experienced great monetary losses. READ MORE

4. 3. EMPIRICAL ANALYSIS OF DEPENDENCE STRUCTURES AND SPILLOVER EFFECTS ACROSS STOCK MARKETS: A STUDY OF RELATIONSHIP BETWEEN VIETNAM AND ITS MAJOR TRADING PARTNERS

   University essay from Göteborgs universitet/Graduate School

   Author : My Phung; [2021-06-30]
   Keywords : stock markets; dependence structure; spillover effect; copula model; VAR-BEKK-GARCH model;

   Abstract : This thesis studies dependence structures and spillover effects between the Vietnamese stock market and the American, Japanese, and European equity markets over the period from 2005 to 2020. For this purpose, I use copula-based models to investigate the dependence structure and asymmetric VAR-BEKK-GARCH frameworks to further define spillover effects. READ MORE

5. 4. Bitcoin vs Gold, The Hedge Game - Volatility and Portfolio Analysis of Bitcoin and Gold during Market Distress

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Axel Löveråsen; Erik Tyrsing; [2021]
   Keywords : Bitcoin; Gold; Hedge; Volatility; Portfolio Analysis; Business and Economics;

   Abstract : Over the recent years the interest in cryptocurrencies and Bitcoin has increased significantly. The price of Bitcoin has gone up substantially since the end of 2020 and more individual and institutional investors are incorporating Bitcoin to their portfolio. READ MORE

6. 5. Volatility spillover between electricity, carbon emissions and green certificates: A Nordic case study

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Kajsa Ganhammar; [2020]
   Keywords : volatility spillover; green certificates; carbon pricing; electricity; VIRF; Business and Economics;

   Abstract : This study investigates volatility spillover between the prices of electricity at Nord Pool, carbon emission allowances in the EU Emissions Trading System (EU ETS) and tradable green certificates (TGC) in the Swedish-Norwegian TGC market. ETS and TGC schemes are market-based policies with the overlapping goals of mitigating greenhouse gas emissions and stimulating sustainable energy investments. READ MORE