Essays about: "s p volatility"

Showing result 1 - 5 of 62 essays containing the words s p volatility.

1. 1. Network Connectedness in Financial Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Andrea Marcolini; [2024]
   Keywords : Systemic risk modeling; US REITs connectedness; S P 500 connectedness; Returns and realized volatilities prediction;

   Abstract : This paper is a collection of two different theses discussing the prediction of the returns and volatilities of the S&P 500 constituents and of US Real Estate Investment Trusts (REITs) by analyzing their centrality within the financial market network. Both empirical works summarize the relevant financial and network literature, demonstrating how modeling stock connectedness within financial markets makes it possible to create returns and volatility predictors, improving investors' portfolio allocations and achieved investment Sharpe ratios. READ MORE

3. 2. Expectations: A Risky Business : An Empirical Study between ESG Score and Stock Price Volatility in North American Mining Companies

   University essay from Umeå universitet/Företagsekonomi

   Author : Oliver Björkman; Kevin Johansson; [2023]
   Keywords : Sustainability; Stock Price Volatility; Mining Industry; Inter-supply chain perspective.;

   Abstract : The strive towards sustainability and its singular importance for all creatures on Earth has become the rallying cry of a generation. It has permeated into legislation, social practices, and the world of business. READ MORE

4. 3. Portfolio Optimization: The search for an optimal portfolio with cryptocurrencies and S&P 500

   University essay from

   Author : Anton Rapp; Henrik Thorwaldsson; [2022-07-11]
   Keywords : Portfolio optimization; Miniumum variance portfolio; Capital allocation line; Cryptocurrency; Diversification;

   Abstract : This thesis’ aim is to create an optimal portfolio consisting of Bitcoin, Ethereum and S&P 500. We also examine the minimum variance portfolio with the framework of Markowitz's mean variance optimization model. READ MORE

5. 4. An investigation of Sustainable Assets, Equitiesand the Bond market during the Globalpandemic, COVID-19

   University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Author : Vincent Rahm; Frej de la Rosa; [2022]
   Keywords : Conventional bonds; COVID-19; DCC-GARCH; ESG; Green bond; S P500; Portfolio optimization; volatility; MSCI; Sustainable investments; US 10yr; Treasuries; Equities;

   Abstract : ESG investing has been a hot topic during several years and there have been numerousstudies examining the relationship between sustainable assets and non-sustainable assetsincluding green bonds, social bonds, environmental bonds, ESG-bonds and ESG indices;conventional bonds, S&P 500, common stocks and non-ESG indices. During negative marketshocks several ESG stocks and indices have been shown to outperform common stocks andindices. READ MORE

6. 5. Parameter Update Schemes for Hidden Markov Models applied to Financial Returns

   University essay from Lunds universitet/Matematisk statistik

   Author : Sigfrid Forsberg; [2022]
   Keywords : Markov Chain; Finance; Hidden Markov Model; Generalized Autoregressive Score Model; S P-500; Nikkei; Adaptive Model; Volatility; Regime-switching Model; Line-Search Algorithm; Predictor-Corrector; Quasi-Newton; Mathematics and Statistics;

   Abstract : This thesis was dedicated to investigating the use of different parameter update schemes for Hidden Markov models with time-varying parameters, with an emphasis on developing alternatives to the quasi-Newton step. The focus was on applications to financial returns, using data from the S\&P-500 and the Nikkei index, and for comparison, a trial using synthetic data was also performed. READ MORE