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Showing result 1 - 5 of 26 essays matching the above criteria.

1. 1. Understanding European Natural Gas Market Dynamics : An ARCH Analysis of the Relationship Between Natural Gas Prices and Imports

   University essay from

   Author : Christoph Ellersiek; Nadia Gnerre; [2023]
   Keywords : Natural Gas; TTF Prices; Natural Gas Imports; ARCH Model; Edgeworth Model; Price Volatility;

   Abstract : This thesis analyses the relationship between month-ahead natural gas prices and imports into Europe against the backdrop of the 2022 Russian gas curtailment and gas price spike. Employing an ARCH model, the analysis focuses on the consortium of five major European consumers of natural gas: Italy, Germany, the Netherlands, the United Kingdom, and France. READ MORE

3. 2. Stock Market Volatility in the Context of Covid-19

   University essay from Jönköping University/IHH, Företagsekonomi

   Author : Liu Kunyu; [2022]
   Keywords : The U.S. stock market; COVID-19; volatility clustering; GARCH models; leverage effect;

   Abstract : The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. READ MORE

4. 3. Optimization of support in rock pillars between two parallel tunnels

   University essay from KTH/Jord- och bergmekanik

   Author : Alexander Kote; Sohaib Ishaq; [2022]
   Keywords : tunnel; rock pillar support; rock pillar stability; rock mass; stresses; arching effect; Nyckelord: tunnel; bergförstärkning; bergpelare; bergmassa; spänningar; valveffekt;

   Abstract : When two parallel tunnels are excavated under high to moderate horizontal in-situ stresses combined with minor deformations in the pillar between the tunnels, the in-situ stresses can be redistributed over the tunnels in form of two compressive arches and are transferred from the roof to the abutments of the two tunnels. At additional deformations in the pillar, a new redistribution of the stresses can occur creating one compressive arch over both of the tunnels. READ MORE

5. 4. Explaining the dynamics of exchange rate volatility

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Jacob Tjerneld; Hampus Lööw; [2022]
   Keywords : Exchange Rates; Volatility; GARCH; Heteroskedasticity; Time Series Analysis.; Business and Economics;

   Abstract : This research examines the volatility of the Swedish krona in regards to the Euro and US-dollar exchange rate, using both daily and monthly data ranging from the beginning of 2000 until 2022. Using this time span allows us to update previous literature on exchange rate volatility, and also incorporates recent economic events such as the great financial crisis of 2008, the 2020 covid-pandemic and the geopolitical uncertainty in Europe following Russia's invasion of Ukraine. READ MORE

6. 5. Statistical modelling of Bitcoin volatility : Has the sanctions on Russia had any effect on Bitcoin?

   University essay from Stockholms universitet/Statistiska institutionen

   Author : Mathilda Schönbeck; Fatima Salman; [2022]
   Keywords : Bitcoin; forecasting; volatility; logarithmic return; ARCH; GARCH; ARIMA model; dynamic regression;

   Abstract : This thesis aims to fit and compare different time series models namely the ARIMA-model, conditional heteroscedastic models and lastly a dynamic regression model with ARIMA error to Bitcoin closing price data that spans over 5 consecutive years. The purpose is to evaluate if the sanction on Russia had any effect on the cryptocurrency Bitcoin. READ MORE