Blar i UiS Brage på forfatter "Molnar, Peter"
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Implied Volatility and Rebalancing Timing: Market cycles and the relationship between implied volatility indices and stock index returns.
Holst, Niklas; Rønning, Harald (Masteroppgave/UIS-SV-HH/2017;, Master thesis, 2017-06-14)This paper studies market timing based upon the level of the VIX and compares VIX based portfolio rotations with modern rebalancing practices. The thesis analyses the outcomes of the different rebalancing and trading ... -
Leverage Effect in Equity Markets Around the World
Horpestad, Jone Byberg; Olsen, Torbjørn Bigseth (Masteroppgave/UIS-SV-HH/2017;, Master thesis, 2017-06)Equity indices are known to exhibit an asymmetric leverage effect, meaning that negative returns have a greater impact on volatility than positive returns of the same magnitude. We reevaluate the presence of leverage effect ... -
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Fiszeder, Piotr; Fałdziński, Marcin; Molnar, Peter (Peer reviewed; Journal article, 2023-01)Models for variances and covariances of asset returns are crucial in risk management and asset allocation. Traditionally, these models were based on daily returns. Daily opening, high, low and closing (OHLC) prices have ... -
Money demand and quality of institutions
Skaar, Morten Rossland; Torp, Kim Andre Brynthe (Masteroppgave/UIS-SV-HH/2017;, Master thesis, 2017-06)We study which variables can explain the demand for cash across countries. Our study is based on 11 years of data for 45 countries ranging from low income to high income. As expected, we find that GDP per capita is positively ... -
Oil Price and Equity Markets: Modeling Co-Movement and Conditional Value at Risk
Solvang, Jørn; Aarø, Thomas (Masteroppgave/UIS-SV-HH/2017;, Master thesis, 2017-06-13)This paper studies the co-movement between oil prices and stock markets during the period 2006 – 2017 utilizing quantile regression. The studied stock indices are AEX, BOVESPA, CAC40, DAX30, EUROSTOXX50, FTSE100, SMI, ... -
Online attention and mutual fund performance: Evidence from Norway
Cheraghali, Hamid; Igeh, Sofia Aarstad; Lin, Kuan-Heng; Molnar, Peter; Wijerathne, Iddamalgodage (Journal article; Peer reviewed, 2022-07-14)This paper studies whether flows of funds into and out of equity mutual funds depend on investor attention measured as Google searches for company names and on fund’s performance. We find that mutual funds which performed ... -
Range-based DCC models for covariance and value-at-risk forecasting
Molnar, Peter; Fiszeder, Piotr; Fałdziński, Marcin (Peer reviewed; Journal article, 2019-08)The dynamic conditional correlation (DCC) model by Engle (2002) is one of the most popular multivariate volatility models. This model is based solely on closing prices. It has been documented in the literature that the ... -
Retail investors and the stock market: Evidence from Robinhood online broker
Gebory, Ali Josef; Sæbø, Domingo Erlend (Master thesis, 2021)We study how is the popularity among Robinhood investors related to stock returns, volatility and trading volume for the companies listed on the New York Stock Exchange. Robinhood is an online broker focused on retail ... -
Selection factors for behavioral intention regarding electric vehicles in Norway
Hussein, Veger; Sværen, Eirik (Masteroppgave/UIS-HH/2020;, Master thesis, 2020-06)Norway has acted as a laboratory for electric vehicles. It has taken a leading role in the introduction of electric vehicles and the development of a sustainable electric vehicle market. According to a recent report from ... -
SME default prediction: A systematic methodology-focused review
Cheraghali, Hamid; Molnar, Peter (Peer reviewed; Journal article, 2023)This study reviews the methodologies used in the literature to predict failure in small and medium-sized enterprises (SMEs). We identified 145 SMEs’ default prediction studies from 1972 to early 2023. We summarized the ... -
Sustainability Considerations: Optimizing Vår Energi’s Inventory Strategy.
Barbo, Kristina Årsland Køste (Master thesis, 2021)Vår Energi, a newly merged oil and gas company, is struggling to align their processes and create a unified inventory strategy. Not only do they need to consider the internal differences but also an industry-wide focus on ... -
The Evolution of Norwegian Waste Management - An Investigation of Circularity & Financial Performance
Vikra, Håvard; Riis, Niklas (Master thesis, 2021)Waste has over the years evolved from being seen as merely a burden, to being perceived as an integral part of a shift towards a sustainable and circular economy. This thesis provides an extensive description of this change, ... -
The Forward Premium in the Nord Pool Power Market
Haugom, Erik; Hoff, Guttorm Andre; Molnar, Peter; Mortensen, Maria; Westgaard, Sjur (Journal article; Peer reviewed, 2018-03)This article investigates the forward premium of futures contracts in the Nordic power market for the time period from January 2004 to December 2013. We find that futures prices are biased predictors of the subsequent spot ... -
The Impact of Change in Oil Price on Inflation in Norway
Osman, Akbar (Masteroppgave/UIS-HH/2018;, Master thesis, 2019-01-17)In this thesis, I investigated the effect of oil price fluctuation on consumer price inflation in Norway. I applied the vector autoregression (VAR) model – one of the most popular approach in macroeconomic multivariate ... -
The Impact of Population Density, Electricity Prices, and Temperature on People's Behaviour towards Energy Efficiency Investments: Insights from Scotland's EPC Registry
Demirbas, Seren; Spraul, Alina Christin (Master thesis, 2023)Climate change affects us all, so it is crucial to prioritise efforts to mitigate its impact. Improving building energy efficiency is a cost-effective solution to reduce CO2 emissions, which has significant influence on ... -
The Impact of Population Density, Electricity Prices, and Temperature on People's Behaviour towards Energy Efficiency Investments: Insights from Scotland's EPC Registry
Demirbas, Seren; Spraul, Alina Christin (Master thesis, 2023)Climate change affects us all, so it is crucial to prioritise efforts to mitigate its impact. Improving building energy efficiency is a cost-effective solution to reduce CO2 emissions, which has significant influence on ... -
The potential observation of greenium in the Nordic bond market
Hersvik, Ola Magnus; Lie, Mads Angeltveit (Master thesis, 2021)Abstract This thesis investigates the impact of investors return on green bonds in the Nordic bond market. We utilize a dataset consisting of 1246 bonds in the Nordic region over the period of January 1, 2014 – December ... -
The potential observation of greenium in the Nordic bond market
Lie, Mads; Hersvik, Ola Magnus (Master thesis, 2021)This thesis investigates the impact of investors return on green bonds in the Nordic bond market. We utilize a dataset consisting of 1246 bonds in the Nordic region over the period of January 1, 2014 – December 31, 2020. ... -
Underpricing of U.S. IPOs in the Oil and Gas Industry
Pedersen, Oda Loug; Løkke, Marie (Master thesis, 2022)The thesis investigates 212 IPOs conducted in the U.S. market in the period 2000 to 2020. IPOs appear to be consistently underpriced, which indicates that issuers “leave money on the table” when going public. Based on ... -
Underpricing of U.S.IPOs in the Oil and Gas Industry
Pedersen, Oda Loug; Løkke, Marie (Master thesis, 2022)The thesis investigates 212 IPOs conducted in the U.S. market in the period 2000 to 2020. IPOs appear to be consistently underpriced, which indicates that issuers “leave money on the table” when going public. Based on ...