OSUVA - Selaus asiasanan "GARCH models" mukaan
Aineistot 1-7 / 7
-
Assessing the risk of the European Union carbon allowance market : structural breaks and forecasting performance
(Emerald, 17.06.2019)
articlePurpose - The purpose of this paper is to examine the impact of structural breaks on the conditional variance of carbon emission allowance prices. Design/methodology/approach - The authors employ the symmetric GARCH model, ... -
Financial risk forecasting : A case study of the Finnish housing market
(Vaasan yliopisto, 27.08.2021)
ArtikkeliväitöskirjaThe housing market sector is an essential component of the economy of most developed countries. Forecasting house price movements is crucial for investment decision making, designing housing policies, asset allocation, and ... -
Forecasting ethanol price volatility under structural breaks
(Society of Chemical IndustryWiley, 06.10.2020)
articleThe use of ethanol as a vehicle fuel has reduced greenhouse gas emissions significantly. The introduction of ethanol has also led to a decrease in crude oil prices. Considering the economic and environmental significance ... -
Forecasting the Finnish house price returns and volatility : a comparison of time series models
(Emerald, 11.04.2021)
articlePurpose The purpose of this paper is to compare different models’ performance in modelling and forecasting the Finnish house price returns and volatility. Design/methodology/approach The competing models are the ... -
Forecasting the volatility of biofuel feedstock prices : the US evidence
(Wiley, 25.02.2019)
articleGiven that, nowadays, 40% of the US corn crop is used for biofuel production, there is a growing concern that the rise in biofuel production might lead to an increase in food prices. However, it is also obvious that ... -
Stochastic volatility forecasting of the Finnish housing market
(Taylor & Francis, 26.07.2020)
articleThe purpose of the article is to assess the in-sample fit and the out-of-sample forecasting performances of four stochastic volatility (SV) models in the Finnish housing market. The competing models are the vanilla SV, the ... -
Volatility Forecasting in Emerging Markets
(20.12.2020)
Pro gradu -tutkielmaThis thesis examines the forecasting accuracy of implied volatility and GARCH(1,1) model volatility in the context of emerging equity markets. As a measure of risk volatility is a key factor in risk management and investing. ...
