Essays about: "Equity indices"

Showing result 31 - 35 of 78 essays containing the words Equity indices.

  1. 31. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Arvid Nybrant; Henrik Rundberg; [2018]
    Keywords : VaR; GARCH; Volatility Forecasting; Backtesting; Conditional Heteroscedasticity;

    Abstract : Value at Risk has over the last couple of decades become one of the most widely used measures of market risk. Several methods to compute this measure have been suggested. READ MORE

  3. 32. SWEDISH MUTUAL EQUITY FUND PERFORMANCE - A COMPARATIVE STUDY OF SWEDISH FUNDS INVESTING IN SWEDEN & THE U.S.

    University essay from

    Author : Filip Jilsén; Mattias Juhlin; [2017-07-03]
    Keywords : Performance Evaluation; Mutual Equity funds; Actively Managed Funds; Risk-Adjustment Return; Sharpe Ratio; Treynor Ratio; Carhart Four-Factor Model; Swedish Fund Performance; U.S. Fund Performance;

    Abstract : The purpose of this thesis is to investigate the performance of Swedish mutual equity funds that primarily invest in either the Swedish or the U.S. market. Complementing prior research, we emphasis the relative performance differences between two markets and compare different portfolios with domestic indices. READ MORE

  4. 33. CATASTROPHE BONDS - An investment analysis of their performance and diversification benefits

    University essay from

    Author : Viktor Karlsson; Emelie Karnebäck; [2017-07-03]
    Keywords : ;

    Abstract : This thesis employs total return indices to investigate if catastrophe bonds are zero-beta assets and how they have performed compared to other assets. We conduct time series regressions and conclude that catastrophe bond returns are correlated with both the return of the equity- and the high yield corporate bond market during the subprime financial crisis, but find no significant correlation after the crisis. READ MORE

  5. 34. Swedish Equity Sectors Risk Management with Commodities : Revisiting dynamic conditional correlations and hedge ratios

    University essay from Linköpings universitet/Nationalekonomi

    Author : Daniel Engström; Niklas Gustafsson; [2017]
    Keywords : Hedging; hedge; commodities; futures; hedge ratio; conditional correlation; DCC; GO-GARCH; DCC-GARCH; GARCH; Dynamic conditional correlation; oil; GSCI; copper; gold; safe haven; optimal hedge ratio; finance; economics; markets; risk; risk management; hedge effectiveness; Risk; riskhantering; råvaror; terminer; futures; hedging; hedge; GARCH;

    Abstract : The purpose of this study is to investigate changes in dynamic conditional correlations between Swedish equity sector indices and commodities using oil, gold, copper and a general commodity index. Additionally the purpose is to evaluate which of the two methods, DCC- GARCH or GO-GARCH that is more efficient in estimating correlation for hedge ratio calculation. READ MORE

  6. 35. Algorithmic Trading in CDS and Equity Indices Using Statistical Arbitrage

    University essay from Lunds universitet/Matematisk statistik

    Author : Melker Samuelsson; Tobias Ek; [2017]
    Keywords : Algorithmic Trading; CDS indices; Equity futures; Markov Regime Switch ing Models; Cointegration; Mathematics and Statistics;

    Abstract : Historical data shows a strong relationship between hourly changes in CDS index iTraxx Main and equity futures EURO STOXX 50. We hypothesize that the relatively stable relationship should allow us to trade the two markets. READ MORE