Essays about: "excess volatility"

Showing result 11 - 15 of 35 essays containing the words excess volatility.

  1. 11. 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. 12. Bank stock return sensitivity to changes in interest rate level and volatility

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Filip Bengtsson; Alfred Persson; [2018]
    Keywords : Banks; stock return; interest rates; volatility; GARCH-M;

    Abstract : This paper examines how the level and volatility of interest rates affect the stock return of banks using a GARCH-M model. Data is collected for Swedish and Danish banks stock return and interest rates on monthly basis for the period January 2000 to April 2018. READ MORE

  4. 13. Risky Business - Modelling Distress on the Swedish Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Johanna Hallstedt; Kajsa Öström; [2018]
    Keywords : Distress risk; credit ratings; ordered probit model; distress risk premium; Nasdaq Stockholm; Business and Economics;

    Abstract : Financial distress is costly for a company and affects many stakeholders. Although models of distress and default have been constructed and developed by researchers for a long time, a model adapted to the unique characteristics of the Swedish market is still missing. READ MORE

  5. 14. The Role of Gold in an Investment Portfolio : An empirical study on diversification benefits of gold from the perspective of Swedish investors

    University essay from Umeå universitet/Företagsekonomi

    Author : Nelly Fernando; [2017]
    Keywords : Gold; Investment Portfolio;

    Abstract : Human interaction with gold can be traced far back in history, and throughout history, the metal has been both worshipped and fought for. People almost intuitively place a high value on this yellow metal and gold has always had a special place in the human heart. READ MORE

  6. 15. Constructing a Volatility Risk Premium Using Gaussian Process for Regression

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Fabian Mally; Love Marcus; [2017]
    Keywords : Volatility Risk Premium; Gaussian Process; GARCH; Volatility Prediction; Implied Volatility;

    Abstract : In this thesis we investigate the volatility risk premium (VRP) on OMXS30 and S&P 500 and the predictive capabilities of Gaussian Process for regression (GP) on the volatility of those indices. The results are evaluated by comparison with corresponding predictions of a few methods from the GARCH family as well as a naive approach. READ MORE