Essays about: "Equity volatility"

Showing result 1 - 5 of 106 essays containing the words Equity volatility.

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

    University essay from Linköpings universitet/Nationalekonomi; 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

  2. 2. Sustainable Bonds and Beyond: A Sustainable Alternative for Portfolio Diversification : An empirical study of sustainable bonds and existing asset classes from a volatility and correlation perspective in Sweden

    University essay from Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Author : Tung Bui Ba; Javier Jo; [2020]
    Keywords : Responsible Investment; Sustainable Bonds; Swedish Market; Modern Portfolio Theory; Diversification; Volatility; Correlation; Hedging;

    Abstract : Increasing awareness of sustainable issues is just one of the ways how modern society has evolved. Due to the growing challenges faced by climate change and societal issues, our world has grown to be more innovative in the fight and support towards initiatives that will contribute to the long-term of the world we live in. READ MORE

  3. 3. Do dark pools affect asset price volatility? A Study of the US Equity Market.

    University essay from

    Author : Sara Andersson; Josefin Johansson; [2019-07-08]
    Keywords : Dark pools; Asset price volatility; US equity market; Alternative trading systems; Dark trading;

    Abstract : Recent years there has been an increased usage of dark pools followed by a rise in interest to study the field. During 2018, 14% of the US equity trading was made in dark pools. It is therefore highly relevant to consider dark pools effect on market qualities such as asset price volatility. READ MORE

  4. 4. Modeling the evolution of market uncertainty- Hedge Fund returns and Volatility of Aggregate Volatility within a dynamic perspective

    University essay from Göteborgs universitet/Graduate School

    Author : Annalisa Caros; [2019-07-02]
    Keywords : ;

    Abstract : MSc in Finance.... READ MORE

  5. 5. A Utility Approach: Strategy Analysis and Optimization

    University essay from Lunds universitet/Matematisk statistik

    Author : Magnús Ólafur Sigurdsson; [2019]
    Keywords : Utility optimization; Portfolio analysis; Dynamic programming; Bellman equation.; Technology and Engineering;

    Abstract : Utility theory and Monte Carlo simulations are used to calculate optimal allocation for long term as well as, risk averse investors with a portfolio consisting of one risky asset and one risk-free bank account. The problems solved in this thesis are divided into two types, static and dynamic. READ MORE