Essays about: "Volatility clustering"

Showing result 16 - 20 of 26 essays containing the words Volatility clustering.

  1. 16. Forecasting High Yield Corporate Bond Industry Excess Return

    University essay from KTH/Matematisk statistik

    Author : Carlos Junior Lopez Vydrin; [2018]
    Keywords : ;

    Abstract : In this thesis, we apply unsupervised and supervised statistical learning methods on the high-yield corporate bond market with the goal of predicting its future excess return. We analyse the excess return of industry based indices of high-yield corporate bonds belonging to the Chemical, Metals, Paper, Building Materials, Packaging, Telecom, and Electric Utility industry. READ MORE

  3. 17. Financial Volatility and the Leverage Effect : A study of the Swedish Stock Exchange

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

    Author : Thelma Björklund; Hedvig Jonsson; [2018]
    Keywords : ;

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

  4. 18. A Swedish Model-Free Implied Volatility Index constructed from OMXS30 options

    University essay from Göteborgs universitet/Graduate School

    Author : Eric Öström; [2016-05-23]
    Keywords : ;

    Abstract : In this paper I construct a model-free implied volatility index, SVIX, from OMXS30 options based on a variance replication technique, independent of any option pricing model. The SVIX index exhibits several stylized properties of volatility indices such as long memory components, mean reversion and volatility clustering. READ MORE

  5. 19. On the Autoregressive Conditional Heteroskedasticity Models

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Erik Stenberg; [2016]
    Keywords : ARCH; GARCH; Volatility clustering; fat tail; forecasting; intra-daily returns;

    Abstract : .... READ MORE

  6. 20. Evaluation of Value-at-Risk Models During Volatility Clustering

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Medjit Yalmaz Kadir; [2014]
    Keywords : EWMA; VaR; VWHS; AWHS; Value-at-Risk; Business and Economics;

    Abstract : In the light of the financial crisis of 2008, risk management has become one of the most important topics in the financial world. This study applies five different VaR approaches, normal distribution, student’s t distribution, historical simulation, age weighted historical simulation and volatility weighted historical simulation under three different sample windows. READ MORE