Essays about: "volatility feedback"

Showing result 1 - 5 of 8 essays containing the words volatility feedback.

  1. 1. Chasing Your Own Tail: The Market Stability Impact of Leveraged and Inverse Exchange-Traded Funds

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Gustaf Gustafsson; Sebastian Gerell; [2020]
    Keywords : Leveraged ETFs; Financial Stability; Market Microstructure Invariance; Price Impact; Sweden;

    Abstract : This thesis explores the market stability impact of the positive feedback mechanism of leveraged and inverse exchange-traded funds' (LETFs) rebalancing trades. We explore potential market stability effects by analysing intraday minute-by-minute data for underlying stocks in the OMXS30 and aggregate rebalancing flows for LETFs tracking the index. READ MORE

  3. 2. DATA-DRIVEN DYNAMIC CAPABILITIES An exploration into digital transformation and business strategy building entailed by a dynamic capabilities view

    University essay from Malmö universitet/Fakulteten för teknik och samhälle (TS)

    Author : Andreas Marttila Gaard; Martin Malmgren; [2020]
    Keywords : dynamic capabilities; digital transformation; business model innovation; business strategy; data driven;

    Abstract : The pervasive nature of technological advancements has increased the complexity, and thus the environmental volatility that span well across the borders of industries and na-tions. It could be argued that the need for firms to demonstrate dynamic capabilities are greater than ever before. READ MORE

  4. 3. A Study of a New-Keynesian DSGE Macro Model: Estimates, Shocks, and Optimal Monetary Policy

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Erik Hjort; [2019]
    Keywords : New-Keynesian Economics; Rational Expectations; Monetary Policy; Aggregate Shocks; Small-scale DSGE Model; Business and Economics;

    Abstract : This paper estimates and simulates a New-Keynesian small-scale DSGE macro model. The model consists of the hybrid forms of the Phillips curve and the IS curve, and is closed with a Taylor-type feedback rule allowing partial adjustment of the monetary policy instrument. READ MORE

  5. 4. Particle-based Stochastic Volatility in Mean model

    University essay from KTH/Matematisk statistik

    Author : Gustav Kövamees; [2019]
    Keywords : Stochastic volatility model; Volatility feedback theory; hidden Markov model; particle filter; Expectation-Maximization algorithm; PaRIS-algorithm; Stokastisk volatilitets modell; dold Markov modell; partikel-filter; Förväntan-Maximering algorithm; PaRIS-algoritm; volatilitets-återkopplings-teori;

    Abstract : This thesis present a Stochastic Volatility in Mean (SVM) model which is estimated using sequential Monte Carlo methods. The SVM model was first introduced by Koopman and provides an opportunity to study the intertemporal relationship between stock returns and their volatility through inclusion of volatility itself as an explanatory variable in the mean-equation. READ MORE

  6. 5. Optimal portfolio allocation by the martingale method in an incomplete and partially observable market

    University essay from KTH/Matematisk statistik

    Author : Emil Karlsson; [2016]
    Keywords : ;

    Abstract : In this thesis, we consider an agent who wants to maximize his expected utility of his terminal wealth with respect to the power utility by the martingale method. The assets that the agent can allocate his capital to are assumed to follow a stochastic differential equation and exhibits stochastic volatility. READ MORE