Essays about: "risk cointegration"

Showing result 1 - 5 of 19 essays containing the words risk cointegration.

  1. 1. Macroeconomic Determinants of Sovereign Credit Risk

    University essay from

    Author : Adam Aleb; Rashid Hassan; [2022-07-04]
    Keywords : Macroeconomic Determinants; Credit Risk; Government Bond Yields; Cointegration; Long-run and Short-run Determinants; VECM; ARDL; FEVD;

    Abstract : This report analyzes the macroeconomic determinants of sovereign bond yields in three different economies: the US, a large open economy and a benchmark in the financial markets, Sweden, a small open economy that has successfully dealt with financial crisis, and Italy, a large open economy with a history of financial distress. Cointegration techniques of the VECM and the ARDL model were used to derive the short-run and the long-run determinants of sovereign bond yields. READ MORE

  3. 2. Statistical arbitrage : Can a pairs trading strategy beat a buy-and-hold strategy?

    University essay from Uppsala universitet/Statistiska institutionen

    Author : André Aho; Simon Löw; [2022]
    Keywords : Algorithmic trading; Quantitative methods; Pairs trading; Cointegration; Sharpe ratio;

    Abstract : In this thesis, the aim is to investigate whether a pairs trading strategy on Swedish stocks can generate a higher risk-adjusted return compared to a buy-and-hold strategy on a benchmark index. The benchmark index is the OMX Stockholm Benchmark-index (OMXSBPI), which is an index that should reflect the Swedish market in general. READ MORE

  4. 3. The Predictive Relationship between Swedish House Prices and Consumer Price Inflation

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Karl Bohlin; Martin Kellgren; [2021-08-17]
    Keywords : Consumer price; Inflation; House price; Credit channel; Wealth effect; Vector error; correction model; VEC; cointegration; predictive relationship;

    Abstract : Sweden has in the past three decades experienced low rates of inflation, rising house prices and a declining policy rate. This implicates that the households can increase debt due to expanding collateral, and thereby increase the sensitivity to higher interest rates. READ MORE

  5. 4. 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

  6. 5. Economic Policy Uncertainty and the Swedish stock market : A quantitative study on how Economic Policy Uncertainty affects the Swedish stock market

    University essay from Umeå universitet/Nationalekonomi

    Author : Andreas Vikström; [2020]
    Keywords : ;

    Abstract : This study examines the effect of Economic Policy Uncertainty (EPU) on the Swedish stock market, both in the short-run and the long-run. To do this, the Economic Policy Uncertainty index, developed by Armelius et al. (2016), is used. This index was constructed with the purpose of measuring uncertainty related to economic policy. READ MORE