Essays about: "Price Volatility"

Showing result 1 - 5 of 319 essays containing the words Price Volatility.

  1. 1. Beyond the Crisis: A Safe Haven Analysis : Empirical Insights into the Divergence of Gold and Bonds for Portfolio Hedging

    University essay from Umeå universitet/Företagsekonomi

    Author : Anthony Baugi; Eugene Zhang; [2024]
    Keywords : Gold; Bonds; Safe Haven; Hedging; US Treasury; Volatility; Covid; Portfolio Theory; Asset Dynamics; Fiscal Policy; Monetary Policy; Financial Crisis; Asset Management; Risk Management; Portfolio Risk;

    Abstract : Purpose: This thesis investigates the relationship concerning traditional safe haven assets, gold and US 10-year treasury bonds during periods of market instability, specifically during the economic concerns raised by the COVID-19 pandemic. It assesses the hedging and safe haven properties of these assets and their dynamic nature throughout two periods of unconventional monetary and fiscal policy measures by the Federal Reserve & US Congress respectively. READ MORE

  3. 2. Forecasting Volatility of Electricity Intraday Log Returns with Generalized Autoregressive Score Models

    University essay from Göteborgs universitet/Graduate School

    Author : Gustav Veres; Philip Ahlfridh; [2023-06-29]
    Keywords : ;

    Abstract : We forecast volatility of electricity intraday log returns with Generalized Autoregressive Score (GAS) models. We extend our GAS models with variables representing the difference between the public’s expectation of weather and energy load and the actual outcome using a restricted ARMA(4,4) model. READ MORE

  4. 3. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor

    University essay from KTH/Matematik (Avd.)

    Author : Benjamin Neander; Victor Mattson; [2023]
    Keywords : Zero-coupon bond; Vasicek model; Two-factor interest rate model; Stochastic volatility.; Nollkupongobligation; Vasicek model; Räntemodell med två faktorer; Stokastisk volatilitet.;

    Abstract : Empirical evidence indicates that the volatility in asset prices is not constant, but varies over time. However, many simple models for asset pricing rest on an assumption of constancy. READ MORE

  5. 4. On Predicting Price Volatility from Limit Order Books

    University essay from Uppsala universitet/Matematiska institutionen

    Author : Reza Dadfar; [2023]
    Keywords : General Compound Hawkes Process; Limit Order Book LOB ; High- Frequency Trading; Price Volatility; Markov Chain.;

    Abstract : Accurate forecasting of stock price movements is crucial for optimizing trade execution and mitigating risk in automated trading environments, especially when leveraging Limit Order Book (LOB) data. However, developing predictive models from LOB data presents substantial challenges due to its inherent complexities and high-frequency nature. READ MORE

  6. 5. Biobased iron pellet production : Assessment of the availability and sustainability of biomass as fuel for iron ore pellet production in LKAB

    University essay from Mittuniversitetet/Institutionen för naturvetenskap, design och hållbar utveckling (2023-)

    Author : Magnus Kemi; [2023]
    Keywords : bio-energy; biomass; coal; greenhouse gas emissions; industrial residues; LCA; LKAB; logging residues; iron ore; pellets; sinters; willow; sustainability;

    Abstract : Iron production accounts for substantial shares of global coal use and GHG emissions. LKAB is Europe’s largest iron company and Sweden’s fourth-largest emitter of GHGs. To reduce its emissions, LKAB might implement biomass in iron ore pelletisation. READ MORE