Essays about: "Cross-quantilogram"

Found 4 essays containing the word Cross-quantilogram.

  1. 1. Green Finance and its Relation to Asset Classes : Analyzing the dependency structure with a DCC-GARCH and a cross-quantilogram approach

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Mona Ebadian; Linda Ivarsson; [2021]
    Keywords : ;

    Abstract : In this master thesis, we present the first empirical study that investigates the correlation- and dependence structure of green finance with major asset classes such as cryptocurrency, commodities, equity and currency on a global level. Over the years, green finance and sustainability questions have become more and more central in the literature. READ MORE

  3. 2. Dependence Structures between Commodity Futures and Corresponding Producer Indices across Varying Market Conditions : A cross-quantilogram approach

    University essay from Linköpings universitet/Nationalekonomi

    Author : Elin Borg; Ilya Kits; [2020]
    Keywords : Commodity futures contracts; Commodity producer index; Cross-quantilogram; Dependence structures; Spillovers; Tail dependence;

    Abstract : This thesis examines the dependence structures between commodity futures and corresponding commodity producer equity indices in bearish, bullish and normal market conditions. We study commodity futures and producer indices in the energy, precious metals, gold and agriculture commodity markets using daily return data that ranges from 16 December 2005 to 28 June 2019. READ MORE

  4. 3. Green Investments Under Uncertainty : - A cross-quantilogram approach

    University essay from Linköpings universitet/Nationalekonomi

    Author : Elsa Boyer de la Giroday; David Stenvall; [2019]
    Keywords : Green bonds; Renewable energy; Cross-quantilogram; Tail-dependence; Uncertainty;

    Abstract : In this study, we analyze the quantile dependence for green bond returns and renewable energy stock returns with three major asset classes: corporate bonds, stocks and oil. Furthermore, we control the dependence structure for technology, uncertainties as well as lag structures and time-varying effects. READ MORE

  5. 4. The influence that a common currency and market conditions have on economic integration : A cross-quantilogram and DCC-EGARCH approach

    University essay from Linköpings universitet/Nationalekonomi

    Author : Sebastian Lindman; Tom Tuvhag; [2018]
    Keywords : Economic integration; Business cycle synchronization; Correlation; Market condition; DCC- EGARCH; Cross-quantilogram;

    Abstract : Countries participating in a common currency area increase their integration within the area. This paper investigates the impact common currency areas have for economic integration with economies of different characteristic outside the area. Results for a common currency group compares to a sovereign currency group. READ MORE