Essays about: "conditional volatility"
Showing result 11 - 15 of 100 essays containing the words conditional volatility.
-
11. Investment Decision for a Risk-Averse Investor : A Study of the Nordic Markets
University essay from Umeå universitet/NationalekonomiAbstract : This paper investigates the investment decisions for a risk-averse investor. Today’s market offers a variety of different investment options, and it might be hard to filter out the good investments from the bad. This study aims to find the most attractive investments with regards to low volatility. READ MORE
-
12. The Sensitivity of Banks' Stock Returns to the interest rate risk and exchange rate risk: A Case Study of Germany and South Africa
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The purpose of this paper is to interrogate the single and joint effect interest and exchange rate movements have on banks’ stock returns. This study also aims to compare the volatility of the banks’ stock returns for countries in different markets using both the short and long-term interest rate and the respective exchange rates. READ MORE
-
13. On the Value at Risk Forecasting of the Market Risk for Large Portfolios based on Dynamic Factor Models with Multivariate GARCH Specifications
University essay from Uppsala universitet/Statistiska institutionenAbstract : Market risk is the risk of capital loss due to unexpected changes in market prices. One risk measure used to estimate market risk is Value at Risk (VaR). The common historical simulation methodology of VaR forecasting usually does not capture the time-varying volatilities associated with financial data. READ MORE
-
14. Forecasting Exchange Rate Value-at-Risk and Expected Shortfall: A GARCH-EVT Approach
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis aims to investigate the accuracy of Value-at-Risk and Expected Shortfall forecasts of various GARCH-type models based on five currency exchange rate pairs. The GARCH models are employed under different conditional distributional assumptions, and extended using the two-stage Extreme Value Theory (EVT) approach of McNeil and Frey (2000). READ MORE
-
15. An examination of the hedging properties of gold and bitcoin using volatility
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : Gold has been considered a hedge against inflation for a long time, although researchers have found different results in their examinations. Bitcoin, a relatively new phenomenon in the financial market, is also, for some investors, a monetary protection against central banks' actions resulting in inflation. READ MORE