Essays about: "Exchange rate volatility"

Showing result 21 - 25 of 80 essays containing the words Exchange rate volatility.

  1. 21. Volatility of copper prices and the effect of real interest rate changes : does the theory of storage explain the volatility of copper spot and futures prices?

    University essay from SLU/Dept. of Economics

    Author : Moa Duvhammar; [2018]
    Keywords : theory of storage; copper price volatility; futures curve; conditional variance; GARCH;

    Abstract : The purpose of this thesis is to determine if the predictions of the theory of storage can explain the volatility of copper prices during the past two decades. The theory predicts that decreasing interest rates should reduce the volatility of commodity prices by encouraging the smoothing of short-run price swings caused by temporary shocks to supply and demand. READ MORE

  3. 22. Hedging Foreign Exchange Exposure in Private Equity Using Financial Derivatives

    University essay from KTH/Matematisk statistik

    Author : Filip Kwetczer; Carl Åkerlind; [2018]
    Keywords : Private Equity; Foreign Exchange Exposure; Hedging; Black-Scholes Model; Financial Derivatives; Private Equity; Valutaexponering; Hedging; Black-Scholes Modell; Finansiella Derivat;

    Abstract : This thesis sets out to examine if and how private equity funds should hedge foreign exchange exposure. To our knowledge the field of foreign exchange hedging within private equity, from the private equity firms’ point of view, is vastly unexplored scientifically. READ MORE

  4. 23. The Effects of Economic Variables on Swedish Stock Market Volatility A GARCH-MIDAS Approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sebastian Kejlberg; [2018]
    Keywords : GARCH; MIDAS; stock market; volatility; macroeconomic; OMXSB; Sweden; Business and Economics;

    Abstract : This thesis applies the GARCH-MIDAS model to investigate the effects of macroeconomic variables, sentimental indicators, and financial variables on Swedish stock market volatility for the period January 2002 to December 2016. The GARCH-MIDAS framework allows the incorporation of data at different frequencies into the same model and decomposes volatility into two components. READ MORE

  5. 24. Structural Modelling of Credit Spreads on the European Bond Market: An Empirical Study

    University essay from Lunds universitet/Matematisk statistik

    Author : Marcus Zethraeus; Magnus Roos; [2017]
    Keywords : Structural models; Merton model; Black Cox model; European corporate bond spreads; Mathematics and Statistics;

    Abstract : This thesis empirically tests the explanatory power of structural models on the European corporate bond market. Using new evaluation methods, including LASSO and gradient boosting regression, we can provide an in-depth assessment of the models’ shortcomings. READ MORE

  6. 25. Comparing the predictability of the next day stock trend between high volatile and low volatile stocks using a feedforward neural network

    University essay from KTH/Skolan för datavetenskap och kommunikation (CSC)

    Author : Jonathan Gyllenram; Fredrik Gisslém; [2017]
    Keywords : ;

    Abstract : An ongoing debate is whether it is possible to predict future price movements for stocks by analysing the historical stock data. Accord- ing to the Effective Market Hypothesis and the Random Walk Theory this should not be possible and according to the Non Random Walk Theory it should be possible. READ MORE