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Showing result 1 - 5 of 8 essays matching the above criteria.

  1. 1. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Otto Colbin; Yugam Sharma; [2023]
    Keywords : Value-at-Risk VaR ; Expected Shortfall ES ; Nonparametric estimation methods; Parametric estimation methods; Crude oil.; Business and Economics;

    Abstract : Practitioners primarily utilise nonparametric methods when estimating Value-at- Risk (VaR) and Expected Shortfall (ES) for computing capital requirements. However, various researchers assert that there are issues with those estimates, particularly amidst periods of market turmoil. READ MORE

  3. 2. The Effects of Macroeconomic Factors on the Shares of Automotive Manufacturers in the USA, Asia, and Europe in the Short and Long Run

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Filip Dyankov; [2022]
    Keywords : macroeconomic factors; stock returns; VAR; ARDL; Business and Economics;

    Abstract : This study aims to broaden the remits of the relatively scant hitherto literature focused on the impact of the changes in macroeconomic indicators on automotive stock returns. Since a considerable fraction of previous empirical research covered multiple industries, historical results may not be directly transferable for the purposes of the analysis of the automotive industry. READ MORE

  4. 3. The Price and Volatility Dynamics in the Swedish-Norwegian Renewable Electricity Certificate MarketA Study of Spillover Effects and Regulatory changes

    University essay from Linköpings universitet/Nationalekonomi

    Author : Philip Finell; Maria Hiller; [2016]
    Keywords : Renewable Electricity Certificates; REC; GARCH; CCF; Spillover Effects; Structural Breaks; Equity Markets; Brent Crude Oil;

    Abstract : The market for renewable electricity certificates (REC) is the primary support system for renewable energy in Sweden and Norway. Regulatory uncertainty and equity markets have previously been proven to impact the volatility of the REC spot contract. READ MORE

  5. 4. Crude Volatility - Investigation of the HAR-RV model and Implied volatility in Brent Crude Futures

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Niklas Lindeke; [2015]
    Keywords : Volatility; Brent Crude; Oil; HAR-RV; Implied Volatility; Business and Economics;

    Abstract : This thesis investigates the relationship between the quantitative volatility model HAR-RV and the qualitative volatility implied in the option pricing formula. Using OLS regression with Newey-West to estimate the HAR model, strong predictive characteristics where obtained, as well as observing a very high informational relationship between the two model. READ MORE

  6. 5. Reality Check for the Value-at-Risk Estimates of the Energy Commodities

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Dingquan Miao; [2014]
    Keywords : Energy commodities; Value-at-Risk VaR ; Historical Simulation HS ; Historical simulation with ARMA forecasting HSAF ; Volatility weighted historical simulation VWHS ; Business and Economics;

    Abstract : The fluctuations of the price in the energy market affect the households, firms and the government intuitions. We can perceive the information of the energy market from daily economic news. The entire society is concerned for the events that affect the energy market and the changing prices of the energy resources. READ MORE