Essays about: "brent oil"
Showing result 1 - 5 of 13 essays containing the words brent oil.
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1. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Practitioners primarily utilise nonparametric methods when estimating Value-at- Risk (VaR) and Expected Shortfall (ES) for computing capital requirements. However, various researchers assert that there are issues with those estimates, particularly amidst periods of market turmoil. READ MORE
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2. The Effects of Macroeconomic Factors on the Shares of Automotive Manufacturers in the USA, Asia, and Europe in the Short and Long Run
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This study aims to broaden the remits of the relatively scant hitherto literature focused on the impact of the changes in macroeconomic indicators on automotive stock returns. Since a considerable fraction of previous empirical research covered multiple industries, historical results may not be directly transferable for the purposes of the analysis of the automotive industry. READ MORE
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3. An analysis of how price fluctuations for commodities impact performance of Swedish industrial companies
University essay from KTH/Matematisk statistikAbstract : The relationship between performance for the Swedish industry and changesin prices and volatility of commodities has been examined using multiple linearregression. The study focuses on how commodity price fluctuations correlate withgross profit growth, measuring company performance. READ MORE
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4. The Price and Volatility Dynamics in the Swedish-Norwegian Renewable Electricity Certificate MarketA Study of Spillover Effects and Regulatory changes
University essay from Linköpings universitet/NationalekonomiAbstract : The market for renewable electricity certificates (REC) is the primary support system for renewable energy in Sweden and Norway. Regulatory uncertainty and equity markets have previously been proven to impact the volatility of the REC spot contract. READ MORE
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5. Crude Volatility - Investigation of the HAR-RV model and Implied volatility in Brent Crude Futures
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis investigates the relationship between the quantitative volatility model HAR-RV and the qualitative volatility implied in the option pricing formula. Using OLS regression with Newey-West to estimate the HAR model, strong predictive characteristics where obtained, as well as observing a very high informational relationship between the two model. READ MORE