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Found 4 essays matching the above criteria.

  1. 1. Cryptocurrency Spillover Effect on Non-Fungible Token Pricing

    University essay from

    Author : Josefine Matshede; Niklas Leschiner; [2022-08-18]
    Keywords : NFT; Cryptocurrency; Bitcoin; Ether; Spillover Index; Wavelet; GARCH;

    Abstract : The thesis is designated to understand if the pricing of Non-Fungible Tokens (NFTs) is affected by the volatility present in the cryptocurrency market. NFTs are digital assets such as art, music, videos, and virtual property, that are encoded with blockchain-traded rights and have in the recent one a half year seen a large increase in prices and popularity amongst investors. READ MORE

  3. 2. 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

  4. 3. DYNAMIC PORTFOLIO STRATEGY - USING A MULTIVARIATE GARCH MODEL

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Stefan Svärd; [2014]
    Keywords : EGARCH; DCC; Multivariate GARCH model; GARCH-M; OMXS30; Active Portfolio Management; Business and Economics;

    Abstract : This paper examines if it is possible to achieve a higher cumulative and risk adjusted return through an active portfolio strategy compared to a passive portfolio strategy. This is done through a mean-variance framework in which the variance is forecasted using two different models. READ MORE

  5. 4. Stock Market Integration of the European Emerging Markets: Rolling Window and Dynamic Conditional Correlation Approaches

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Olena Kashyna; Kateryna Sotnyk; [2010]
    Keywords : market integration; equity correlations; DCC-GARCH; Central and Eastern European countries; stock markets; international diversification; Business and Economics;

    Abstract : This essay investigates the extent to which the four emerging Central Eastern European stock markets of the Czech Republic, Hungary, Poland and Ukraine have become integrated with the developed market of the European Union over the sample period from 1997 to 2010. Rolling-window correlation and a more advanced, dynamic conditional correlation approach with GARCH and EGARCH specifications are utilized to measure the level of integration. READ MORE