Essays about: "Risk spillovers"
Showing result 1 - 5 of 9 essays containing the words Risk spillovers.
-
1. 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
-
2. Does US-China Trade War Cause Decoupling on Agricultural Trading? Evidence from Spillovers in Soybean Meal Futures Markets
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi; Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This thesis is designed to study the impacts of the US-China trade war on the agricultural trading between the two countries. Through the empirical research on the price and risk spillover effects, the evidence from the soybean meal futures markets are found out. READ MORE
-
3. Risk Spillovers between BRICS Stock Markets, US Stock Market, Gold and Oil: A portfolio management approach
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This study investigates the correlation between the US stock market, oil prices, gold prices and the stock markets of five emerging markets: Brazil, Russia, India, China and South Africa (BRICS), in order to explore the risk spillovers and the financial contagion between the markets. A DCC-GJR-GARCH model is applied to daily data of returns from January 2000 to April 2020 and considers both a full sample analysis along with a three-pronged subsample analysis. READ MORE
-
4. The Role of Uncertainty in the Scandinavian Banking Sector
University essay from Linköpings universitet/NationalekonomiAbstract : In this thesis we analyse the impact of uncertainty shocks in the Scandinavian banking sector. We apply the spillover approach developed by Diebold and Yilmaz (2009; 2012; 2014), followed by network analysis. Furthermore, the dynamics of uncertainty shocks are examined by applying a quantile regression approach. READ MORE
-
5. Dependence structure and risk spillovers between real estate and stock markets: An application of VMD based time-varying copula approach
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In this thesis, we combine copulas with the variational mode decomposition (VMD) method to explore the dependence structure between real estate and stock market in three countries, namely China, U.S. and Australia. READ MORE