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Found 2 essays matching the above criteria.

1. 1. Volatility forecasting for cryptocurrencies under a heavy-tailed distribution

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Diego Mauricio Vargas Pico; Alina Bylkova; [2019]
   Keywords : Cryptocurrency; Bivariate Diagonal BEKK; Bivariate Diagonal VECH; MGARCH; Volatility; Business and Economics;

   Abstract : 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

3. 2. Dynamic Hedge Rations on Currency Futures

   University essay from Göteborgs universitet/Graduate School

   Author : Bartosz Czekierda; Wei Zhang; [2010-06-16]
   Keywords : ;

   Abstract : 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