Essays about: "volatility"

Showing result 31 - 35 of 1148 essays containing the word volatility.

  1. 31. Decomposing Import Price Inflation in the EU

    University essay from Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionen

    Author : Isak Skaghammar; Johannes Reuterwall; [2023]
    Keywords : Import price inflation; decomposition; supply and demand; Business and Economics;

    Abstract : This thesis examines what drives import price inflation in the EU by decomposing it into supply and demand driven inflation. The decomposition is done by using product level import data retrieved from Eurostat. The paper examines the period from 2019-01 to 2023-01 which captures events such as the Covid-19 and the war in Ukraine. READ MORE

  3. 32. Dynamic modelling of electricity arbitrage for single-family homes : Assessing the cost-effectiveness of implementing Energy Storage and Demand-Side Load Management.

    University essay from Linnéuniversitetet/Institutionen för byggd miljö och energiteknik (BET)

    Author : Ahmed Ali; [2023]
    Keywords : Electricity arbitrage trading; intraday electricity market; energy storage system; demand-side load management; single-family homes; Nord Pool; building performance simulation IDA Indoor Climate and Energy ; financial modelling.;

    Abstract : In the context of electricity, arbitrage trading involves taking advantage of existing price variations within electricity markets. The report conducted financial modelling for energy storage systems and demand-side load management for electricity arbitrage trading in single-family homes. READ MORE

  4. 33. Decision support in a volatile electricity market: forecasting and cost optimization

    University essay from Lunds universitet/Institutionen för reglerteknik

    Author : Oscar Andreas Olsson; [2023]
    Keywords : Technology and Engineering;

    Abstract : Given the increase in electricity prices in recent years due to two reasons; the rebound effect after the initial corona outbreak and the Russian invasion of Ukraine, the burden of paying the rising monthly expense for electricity has become an unwelcome reality for a significant part of society. The electricity trades on the open market called Nord Pool for the Nordic countries, among others, where buyers and sellers come together to find a market price for electricity each day. READ MORE

  5. 34. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability

    University essay from KTH/Matematik (Avd.)

    Author : Magnus Borg; Lucas Ternqvist; [2023]
    Keywords : ESG; Value-at-Risk VaR ; Expected Shortfall ES ; Risk Management; Financial Risk; Financial Mathematics; Sustainability; Portfolio Management; Capital Asset Pricing Model CAPM ; Hållbarhet; Value-at-Risk VaR ; Expected Shortfall ES ; Riskhantering; Finansiell Risk; Finansiell Matematik; Portföljkonstruktion;

    Abstract : This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. READ MORE

  6. 35. Fragile Market: The impact of mutual funds on the corporate bond market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Noah Tvelin; [2023]
    Keywords : Corporate Bonds; Mutual Funds; Fire Sale; Liquidity; Covid-19;

    Abstract : This master's thesis investigates whether mutual funds can induce fire sales on the Swedish corporate bond market between August 2019 and August 2020 to determine whether mutual funds aggravated the COVID-19 crash, and if their solution to temporarily freeze withdrawals were a viable remedy. Moreover, the thesis addresses this question using a panel-data framework that includes mutual fund-specific variables, control variables suggested by previous literature, entity, and time-fixed effects, allowing the thesis to capture divergences between corporate bonds and months. READ MORE