Essays about: "bekk garch"

Showing result 1 - 5 of 20 essays containing the words bekk garch.

  1. 1. The Impact of Financial Crises and Natural Disasters on the US Catastrophe Bond Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Martina Scaroni; Felicitas Gesa Lore Elisabeth Schulze-Steinen; [2022]
    Keywords : Catastrophe Bond; Atlantic Hurricanes; Natural Disasters; Financial Crisis; Business and Economics;

    Abstract : Catastrophe (CAT) bonds bring the needs of (re)insurance companies and investors together: They insure against natural disasters by transferring risk to the capital market while at the same time promising high returns and a certain detachment from financial markets. Being an alternative investment class that has been on the rise only in recent years, academic research on CAT bonds is comparatively limited. READ MORE

  3. 2. The search for safe haven assets in the time of a global pandemic

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Katja Rasic; [2022]
    Keywords : Volatility spillover; diagonal BEKK-GARCH; global pandemic; safe haven; Business and Economics;

    Abstract : The global pandemic has initially negatively influenced the financial markets all over the world. As a consequence, the volatility in the stock markets increased and investors have experienced great monetary losses. READ MORE

  4. 3. EMPIRICAL ANALYSIS OF DEPENDENCE STRUCTURES AND SPILLOVER EFFECTS ACROSS STOCK MARKETS: A STUDY OF RELATIONSHIP BETWEEN VIETNAM AND ITS MAJOR TRADING PARTNERS

    University essay from Göteborgs universitet/Graduate School

    Author : My Phung; [2021-06-30]
    Keywords : stock markets; dependence structure; spillover effect; copula model; VAR-BEKK-GARCH model;

    Abstract : This thesis studies dependence structures and spillover effects between the Vietnamese stock market and the American, Japanese, and European equity markets over the period from 2005 to 2020. For this purpose, I use copula-based models to investigate the dependence structure and asymmetric VAR-BEKK-GARCH frameworks to further define spillover effects. READ MORE

  5. 4. Bitcoin vs Gold, The Hedge Game - Volatility and Portfolio Analysis of Bitcoin and Gold during Market Distress

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Axel Löveråsen; Erik Tyrsing; [2021]
    Keywords : Bitcoin; Gold; Hedge; Volatility; Portfolio Analysis; Business and Economics;

    Abstract : Over the recent years the interest in cryptocurrencies and Bitcoin has increased significantly. The price of Bitcoin has gone up substantially since the end of 2020 and more individual and institutional investors are incorporating Bitcoin to their portfolio. READ MORE

  6. 5. Does US-China Trade War Cause Decoupling on Agricultural Trading? Evidence from Spillovers in Soybean Meal Futures Markets

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi; Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Yuwei Pei; Zhangya Zhou; [2020]
    Keywords : Trade war; Soybean meal; Price transmission; Risk spillover;

    Abstract : This thesis is designed to study the impacts of the US-China trade war on the agricultural trading between the two countries. Through the empirical research on the price and risk spillover effects, the evidence from the soybean meal futures markets are found out. READ MORE