Essays about: "Spillover index"

Showing result 6 - 10 of 22 essays containing the words Spillover index.

1. 6. How do ESG assets relate to the financial market? : A Diebold-Yilmaz spillover approach to sustainable finance

   University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Author : Shobair Moosawi; Ludvig Segerhammar; [2022]
   Keywords : AR 1 -GARCH p; q ; Commodity; ESG; Equity; Return; Spillover; Sustainability; Sustainable finance; Volatility;

   Abstract : The purpose of this master’s thesis is to investigate to what extent ESG assets and traditional benchmarks affect one another. Since sustainable investment is a growing segment of the financial market, investors need to be informed about how it may affect their portfolios, and by extension if it can be used for portfolio diversification. READ MORE

3. 7. Spillover Effects Between the Nordic Energy Markets

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Alexander Morgan; Magne Ottersgård; [2021]
   Keywords : Spillover Effects; Nordic Energy Markets; Correlation; Hedging; Oil; Renewable Energy; Market Index;

   Abstract : During the last decade there has been an increase in renewable energy companies. At the same time, propositions have been put forward worldwide in order to restrict the possibilities for expansion for energy companies with their focus on oil and gas. READ MORE

4. 8. Is the Phillips Curve Valid for ASEAN? : A Time-Varying Approach

   University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Author : Simon Wilfer; Philip Wikström; [2021]
   Keywords : ASEAN; Phillips Curve; Inflation Dynamics; ARMA-GARCH; Time-Varying; Financial Integration; Spillover; Monetary Policy;

   Abstract : The primary purpose of this thesis was to investigate if the modern Phillips Curve is valid for ASEAN five (Indonesia, Malaysia, Thailand, Singapore and Philippines) countries using a time-varying approach in the form of an ARMA-GARCH model. The method enables us to investigate how the inflation volatility reacts to economic shocks and if its history can predict the conditional variance of inflation. READ MORE

5. 9. The impact of Digital Inclusive Finance on Green Total Factor Productivity under the conditions of Regional Development, a Chinese case based on a spatial perspective

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Xiao Zhang; [2021]
   Keywords : Green Total Factor Productivity; Digital Inclusive Finance; Regional Development Index; Spatial Autocorrelation; Spatial Dubin Model; Spatial Heterogeneity; Business and Economics;

   Abstract : As a country with a high proportion of population and land area in the world, China is in a stage of changing its economic development direction, from the previous extensive economic growth to the intensive economic growth. At the same time, due to the limited total amount of resources and limited environmental bearing capacity on the earth, certain constraints are found in terms of amount and structure, which makes the contradictions existing in resources, environment and development of China become prominent. READ MORE

6. 10. Dependence Structures between Commodity Futures and Corresponding Producer Indices across Varying Market Conditions : A cross-quantilogram approach

   University essay from Linköpings universitet/Nationalekonomi

   Author : Elin Borg; Ilya Kits; [2020]
   Keywords : Commodity futures contracts; Commodity producer index; Cross-quantilogram; Dependence structures; Spillovers; Tail dependence;

   Abstract : This thesis examines the dependence structures between commodity futures and corresponding commodity producer equity indices in bearish, bullish and normal market conditions. We study commodity futures and producer indices in the energy, precious metals, gold and agriculture commodity markets using daily return data that ranges from 16 December 2005 to 28 June 2019. READ MORE