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FORECASTING CRUDE OIL MARKET VOLATILITY: TEST OF SYMMETRIC AND ASYMMETRIC GARCH–TYPE MODELS
(2006)
Pro gradu - tutkielma
Pro gradu - tutkielma
The purpose of this thesis is to compare the predictive power of three different volatility forecasting models on Brent Crude Oil Index data under two different market conditions. The models included are GARCH, TARCH, and ...
Stock Return and Volatility: An empirical study in the Chinese stock market context
(2002)
Pro gradu - tutkielma
Pro gradu - tutkielma
Frequently observed evidence strengthens the findings about stock returns exhibiting heteroscedasticity and autocorrelation. ARCH effects have been found in security markets along with an abnormal unconditional sampling ...
Stock Return and Volatility: An empirical study in the Chinese stock market context
(2001)
Pro gradu - tutkielma
Pro gradu - tutkielma
Frequently observed evidence strengthens the findings about stock returns exhibiting heteroscedasticity and autocorrelation. ARCH effects have been found in security markets along with an abnormal unconditional sampling ...
Öljymarkkinoilla ja Euroopan osakemarkkinoilla esiintyvän epävarmuuden vaikutus päästöoikeuden hinnan volatiliteettiin
(2020)
Pro gradu -tutkielma
Pro gradu -tutkielma
Päästökaupan tarkoituksena on asettaa hiilelle hinta, jotta kasvihuonekaasupäästöistä aiheutuvat, negatiiviset ulkoisvaikutukset – kuten ilmaston lämpeneminen – saadaan sisällytettyä markkinoille. Euroopan unionin ...
Evaluation of Volatility Models: Evidence from Chinese Equity Markets
(2017)
Pro gradu - tutkielma
Pro gradu - tutkielma
This thesis aims to find the most appropriate model to estimate and forecast volatility in Chinese stock markets, and to investigate the differences between simple historical models and GARCH-type models.
The studied ...
On the Predictability of Stock Market Volatility: Implied vs. Historical Volatility
(2002)
Pro gradu - tutkielma
Pro gradu - tutkielma
The purpose of this study is to examine the performance of various volatility forecasting models in the Finnish stock market. Moreover, this study aims to answer the question, whether the option implied volatility forecasts ...
Volatility Forecasting and the Efficiency of the Finnish Option Index Market
(2005)
Pro gradu - tutkielma
Pro gradu - tutkielma
The purpose of this thesis is to compare the predictive power of different volatility forecasting models and to study whether the Finnish option index market is informationally efficient. Volatility forecasting plays an ...
Volatility and return relationship – a case of Nordic stock market
(2018)
Pro gradu - tutkielma
Pro gradu - tutkielma
This study investigates the relation of risk-return of four Nordic stock market’s indices – OMX Copenhagen, OMX Helsinki, OMX Stockholm and Oslo Exchange All Shares from January 1996 to February 2017. EGARCH and GARCH model ...
Evaluation of Volatility Forecasting Models in Vietnam Stock Markets
(2011)
Pro gradu - tutkielma
Pro gradu - tutkielma
This study aims to find the most appropriate model(s) to estimate and forecast volatility in Vietnam stock markets. Considered volatility models in this study include RiskMetrics, GARCH, EGARCH, IGARCH, FIGARCH and APARCH. ...
Calendar Effects in the World Stock Markets: Evidence from Thirty-One Countries
(2011)
Pro gradu - tutkielma
Pro gradu - tutkielma
Capital market efficiency has been a popular topic for teaching and empirical research since Fama (1965, 1970) described the theoretical analysis of market efficiency (Efficient Market Hypothesis). More recently, however ...