Essays about: "Equity volatility"
Showing result 6 - 10 of 149 essays containing the words Equity volatility.
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6. There Is Nothing Certain But The Uncertain
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Risk and risk aversion are crucial concepts in finance. Models in finance typically assume a known probability distribution of returns, which does often not hold in reality. This papers aims to measure the uncertainty surrounding the probability distribution in equity markets and to evaluate if such uncertainty is priced. READ MORE
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7. Capturing time variation within systemic risk estimation
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Systemic risk can be defined as the risk to the whole financial system. Financial institutions may contribute more or less to this risk, and measuring the systemic risk contributions of institutions is of central importance for regulators. READ MORE
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8. Revisiting the Idiosyncratic Volatility Puzzle and MAX Effect in European Equity Markets
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In light of traditional financial theory's argument that firm-specific risk should not impact future returns, the findings of the Idiosyncratic Volatility (IVOL) puzzle, as well as the Maximum Daily Returns (MAX) effect, have sparked a vibrant academic debate. Using data from January, 1993, to December, 2022, this paper presents European aggregate and country-level evidence at the intersection between the two asset pricing anomalies. READ MORE
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9. Rare Earth Metals' Resiliency and Volatility Spillover Effects : A Critical Supply Assessment for Western Technologies From a Risk Management Perspective
University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakultetenAbstract : This paper explores the relationship between Chinese rare earth metals (REMs) and the industries in the U.S and Europe that heavily rely on them. READ MORE
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10. Parameter Stability in Additive Normal Tempered Stable Processes for Equity Derivatives
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : This thesis focuses on the parameter stability of additive normal tempered stable processes when calibrating a volatility surface. The studied processes arise as a generalization of Lévy normal tempered stable processes, and their main characteristic are their time-dependent parameters. READ MORE