Essays about: "Generalized Autoregressive Heteroskedasticity GARCH"

Showing result 1 - 5 of 8 essays containing the words Generalized Autoregressive Heteroskedasticity GARCH.

  1. 1. 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

  2. 2. Managing Risk with Energy Commodities using Value-at-Risk and Extreme Value Theory

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Alexander Noshkov; Zafer Demirtas; [2017]
    Keywords : Energy Commodities; Value-at-Risk VaR ; Extreme Value Theory EVT ; Peaks over Threshold POT ; Volatility Weighted Historical Simulation VWHS ; GARCH; EGARCH; TGARCH; Business and Economics;

    Abstract : Today’s society requires an endless supply of energy resources to keep functioning properly. The fluctuations in the prices of energy commodities are always a concern as it affects not only investors, but regular households as well. READ MORE

  3. 3. An empirical study of the Value-at-Risk of the renewable energy market and the impact of the oil price

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Euan Anderson; [2015]
    Keywords : Two-sided Kupiec test; Student-t distribution; Normal distribution; Threshold GARCH TGARCH ; Oil; Generalized Autoregressive Heteroskedasticity GARCH ; Exponentially weighted moving average EWMA ; Volatility weighted historical simulation VWHS ; Basic historical simulation BHS ; rolling-window; Value-at-Risk VaR ; Renewable energy; Business and Economics;

    Abstract : Renewable energy is gaining increasing importance in the generation of power due to the finite existence of fossil fuels and concerns about climate change. As its demand grows financial interest from investors’ increases, thus it is important to find the most effective way of quantifying the risk of the renewable energy market. READ MORE

  4. 4. Evaluating Credit Default Swap spreads using the CreditGrades model - A study on European non-financial firms

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jakob Melin; Stamatoula Pappa; [2015]
    Keywords : GARCH; trading strategies.; CreditGrades Model; credit default swap CDS ; credit risk; Business and Economics;

    Abstract : In our paper, we analyse Credit Default Swaps (CDSs) for 67 European non-financial companies between December 2004 and December 2014, focusing on the five-year maturity corporate CDS spreads. The period of analysis is divided into three sub-periods; before the financial crisis, during the global financial crisis and the European sovereign debt crisis. READ MORE

  5. 5. Virtual Power Plant Auctions in the Western Denmark Electricity Market: An Econometric Analysis

    University essay from Göteborgs universitet/Graduate School

    Author : Benjamin Fram; [2014-07-22]
    Keywords : ;

    Abstract : In July 2006, two of Denmark’s largest energy companies, Elsam A/S and DONG A/S, merged to form DONG Energy A/S. In the years directly leading up to this merger, Elsam had been accused of abusing its dominant position in the Western Danish spot market for wholesale electricity (DK1) by charging unreasonably high power prices. READ MORE