Essays about: "Volatilitet."
Showing result 1 - 5 of 98 essays containing the word Volatilitet..
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1. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor
University essay from KTH/Matematik (Avd.)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
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2. CROSS-SECTIONAL AND TIME SERIES MOMENTUM RETURNS EVIDENCE FROM THE SWEDISH STOCK MARKET
University essay from KTH/Matematisk statistikAbstract : The study investigates the presence of the momentum effect in the Swedish stock market by utilizing both cross-sectional introduced by Jegadeesh and Titman (1993) and time-series momentum introduced by Moskowtozt et al. (2011). The period of analysis is between 1998 to 2022. READ MORE
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3. Volatility Modelling in the Swedish and US Fixed Income Market : A comparative study of GARCH, ARCH, E-GARCH and GJR-GARCH Models on Government Bonds
University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakultetenAbstract : Volatility is an important variable in financial markets, risk management and making investment decisions. Different volatility models are beneficial tools to use when predicting future volatility. The purpose of this study is to compare the accuracy of various volatility models, including ARCH, GARCH and extensions of the GARCH framework. READ MORE
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4. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability
University essay from KTH/Matematik (Avd.)Abstract : This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. READ MORE
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5. Board diversity, an unsolvable problem? : A comprehensive study about Swedish and Danish listed companies on how board diversification affects a performance measure.
University essay from Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)Abstract : On the surface, Sweden and Denmark are two similar countries, but behind the closed boardroom doors, things look different. These two countries have chosen different approaches to achieving their goals and the diversification within the boards differs markedly. READ MORE