Essays about: "Bivariate Diagonal BEKK"
Found 2 essays containing the words Bivariate Diagonal BEKK.
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1. Volatility forecasting for cryptocurrencies under a heavy-tailed distribution
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In the recent years, cryptocurrencies have gained popularity and have experienced high price volatility. This essay pretends to examine how the multivariate GARCH models predict the volatility of these digital currencies and what implications exist if we consider the correlations among them to forecast their volatility. READ MORE
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2. Dynamic Hedge Rations on Currency Futures
University essay from Göteborgs universitet/Graduate SchoolAbstract : In the globalized economy many businesses are exposed to the foreign exchange risk in their daily trading activities. Exchange traded futures contracts are one of the instruments that are designed specifically to hedge such risk. READ MORE