Essays about: "Volatility Clustering"

Showing result 1 - 5 of 18 essays containing the words Volatility Clustering.

  1. 1. Modeling asymmetry in volatility response - non-Gaussian innovations approach

    University essay from Lunds universitet/Statistiska institutionen

    Author : Ludvig Göransson; [2020]
    Keywords : ARCH; GARCH; APARCH; Asymmetric GARCH; non-Gaussian innovations; Laplace distribution; Leverage effect; Stylized facts; Volatility process.; Mathematics and Statistics;

    Abstract : This thesis is an explorative note on the non-Gaussian innovations of the volatility process. More specifically, the thesis investigates if the decomposition of the Standard Classical Laplace (SCL) distribution to a difference of two exponential is a valid alternative to modelling the asymmetric volatility processes, taking volatility clustering, the leverage effect and asymmetric response in volatility into account. READ MORE

  2. 2. Emission Allowances in the European Union Emissions Trading System

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Franziska Manke; [2020]
    Keywords : Emission Allowances; EU ETS; Volatility; GARCH; Cointegration;

    Abstract : The first part of the thesis analyses the short term behavior of daily emission allowance (EUA) log returns with a focus on volatility dynamics in the recent market environment. In this part, I present a historical overview of the European Union Emission Trading System (EU ETS), analyze the stylized facts of the time series, employ appropriate time series models, and assess model in-sample and out-of-sample performance. READ MORE

  3. 3. Evaluating VaR and ES for commodities - both conventionally and with neural networks

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : David Fang; Måns Eile; [2020]
    Keywords : Value-at-Risk; Expected Shortfall; Commodities; GARCH 1; 1 ; ANN; LSTM; Volatility forecasting; VWHS; Business and Economics;

    Abstract : As commodities are becoming more popular and accessible assets for speculative and hedging purposes, the limited research regarding risk management for said asset-class justifies further contribution to the deficient output. Many previous studies have highlighted the extraordinary high volatility, with non-linear and clustering characteristics associated with commodities. READ MORE

  4. 4. Sustainable Bonds and Beyond: A Sustainable Alternative for Portfolio Diversification : An empirical study of sustainable bonds and existing asset classes from a volatility and correlation perspective in Sweden

    University essay from Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Author : Tung Bui Ba; Javier Jo; [2020]
    Keywords : Responsible Investment; Sustainable Bonds; Swedish Market; Modern Portfolio Theory; Diversification; Volatility; Correlation; Hedging;

    Abstract : Increasing awareness of sustainable issues is just one of the ways how modern society has evolved. Due to the growing challenges faced by climate change and societal issues, our world has grown to be more innovative in the fight and support towards initiatives that will contribute to the long-term of the world we live in. READ MORE

  5. 5. Jump Estimation of Hidden Markov Models with Time-Varying Transition Probabilities

    University essay from Lunds universitet/Matematisk statistik

    Author : Henning Tansjö; [2020]
    Keywords : Jump estimation; Hidden Markov model; financial time series; clustering; unsupervised learning.; Mathematics and Statistics;

    Abstract : The Hidden Markov model is applicable to a wide variety of fields. Applied to financial time series, its assumed underlying state sequence can reflect the time series' tendency to behave differently over different periods of time. In many situations, models could be improved by including exogenous data. READ MORE