Essays about: "Natalia Lelis"

Found 2 essays containing the words Natalia Lelis.

1. 1. Portfolio Pricing with Measures of Conditional Skewness and Kurtosis

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Natalia Lelis; [2011]
   Keywords : Asset Pricing; CAPM; Time-varying Moments; Conditional Skewness; Conditional Kurtosis; Business and Economics;

   Abstract : On the ground of a highly dynamic economic environment, the necessity for time-varying risk measures emerged. Inclusion of higher-order conditional moments in asset pricing models is a very common topic in recent research articles. READ MORE

3. 2. Oil Volatility Spillovers to the US and EU industries

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Natalia Lelis; Leyla Pirhadi; [2011]
   Keywords : Volatility Spillovers; Oil Prices; Industries; Business and Economics;

   Abstract : This essay examines the volatility spillover effects from oil price shocks across different US and EU industries, using a GJR-GARCH(1,1) model. We conclude that the European industries are much more sensitive to oil and stock market shocks compared to their US counterparts. READ MORE