Browsing Studentoppgaver (TN-ISØP) by Subject "volatility"

Now showing items 1-8 of 8

    • A comparative volatility analysis and an enquiry into the future of Bitcoin 

      Kvammen, Einar Berg; Askeland, Andreas Lie (Masteroppgave/UIS-TN-IØRP/2018;, Master thesis, 2018-06)
      The main object of this thesis is to investigate if Bitcoin has matured as a financial asset. We intend to do this by comparing the volatility of Bitcoin to the volatility of gold and S&P500 using the best fitting GARCH ...

    • Applying GARCH in value-at-risk estimation of market risk 

      Mathisen, Thomas Storbakk (Master thesis, 2017-06-14)
      This thesis tests the correlation between four commodities and eight stocks of companies consuming or producing the commodities. The commodities include oil, gas, salmon and aluminum, while the stocks are Statoil, Seadrill, ...

    • The impact of long-short speculators on volatility of energy commodity futures prices. 

      Dahl-Stamnes, Therese (Masteroppgave/UIS-TN-ISØP/2020;, Master thesis, 2020-06)
      This paper studies the effect of long-short speculators in four energy commodity futures, all traded on the New York Mercantile Exchange (NYMEX) over the period January 2010 to February 2020. Using the Total Open Interest ...

    • Market integration and volatility in the Nordic energy exchange 

      Sørås, Terje Jensen (Masteroppgave/UIS-TN-IØRP/2016;, Master thesis, 2016-06)
      This thesis is investigating the level of market integration, as well as the volatility and inter-relationship in the Nordic spot market. The empirical analysis is using spot prices from 13 regions in the Nordic energy ...

    • Quantified volatility modelling and diversification across geographical regions and asset classes 

      Ibrekk, Morten Ytrehus (Masteroppgave/UIS-TN-IØRP/2014;, Master thesis, 2014-06-12)
      Today’s financial markets are currently experiencing stock index valuations close to all time high while low interest rates creates a negative outlook for fixed income-securities. Historically, stock markets will periodically ...

    • Risk Estimation in Energy Markets and Other Commodity Markets Using Value at Risk 

      Visnes, Svein; Brakstad, Ørjan Kristensen (Masteroppgave/UIS-TN-ISØP/2019;, Master thesis, 2019-06-13)
      In this thesis, the historical model is compared to both the normal and student t distributions to find the best risk metric using Value at Risk (VaR). To investigate the diversification effect, six portfolios have been ...

    • Volatility Spillover Between Commodities and Equities - a Study of Oil, Steel, and Cotton 

      Løkken, Vegard Nordgård; Aas, Ørjan Østensen (Masteroppgave/UIS-TN-ISØP/2020;, Master thesis, 2020-06-06)
      In the 21st century, there has been an increase in the investments in commodity markets. More investors have started to include commodities in their portfolios. The research on how commodity markets interact with other ...

    • Volatility Spillover in Crude Oil Markets - a Study on Major Crude Oil Benchmarks 

      Dahl, Petter Holst; El-Adawy, Leo (Masteroppgave/UIS-TN-ISØP/2019;, Master thesis, 2019-06-12)
      There exists a considerable body of research literature investigating the connectedness between crude oil markets and other financial markets. However, connectedness within the crude oil market has received little attention. ...