Essays about: "Volatility Clustering"

Showing result 11 - 15 of 26 essays containing the words Volatility Clustering.

  1. 11. 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

  3. 12. 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

    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

  4. 13. 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

  5. 14. Are GARCH Models Appropriate for Analysing Volatility Structures in Fundamental Valuations of the OMXS30?

    University essay from Lunds universitet/Statistiska institutionen

    Author : Gustav Furenmo; [2019]
    Keywords : GARCH; OMXS30; financial time series; volatility; heteroscedasticity; stationarity; McLeod-Li test; normal distribution; student-t distribution; skewed student-t distribution; generalised error distribution; skewed generalised error distribution; Mathematics and Statistics;

    Abstract : This thesis investigates the volatility structures found in forward-looking fundamental valuations of the Swedish stock index OMXS30. The evaluated data constitutes daily observations of P/E ratios based on twelve months earnings estimates during the period 2009-01-02 until 2018-10-18. READ MORE

  6. 15. Financial Volatility and the Leverage Effect on the Swedish Stock Exchange

    University essay from KTH/Industriell ekonomi och organisation (Inst.)

    Author : Thelma Björklund; Hedvig Jonsson; [2018]
    Keywords : Volatility; Leverage!effect; Risk; Return; Clustering; Modiglian !and Miller; EGARCH; Capital!structure;

    Abstract : In today’s financial markets, volatility is a fundamental concept in regards of the risk assessment of assets and instruments. Financial volatility is commonly used to measure the quantitative aspects of risk and is given a significant amount of attention in past literature and research. READ MORE