Blar i Department of Economics and Business Administration på emneord "volatility"
Viser treff 1-4 av 4
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Event study on changes in capital structure and volatility
(Masteroppgave/UIS-SV-HH/2017;, Master thesis, 2017-06)The authors of this paper test whether the changes in the capital structure and more specifically the changes in Debt to Equity ratio can explain the changes in the implied volatility and realized volatility. In addition, ... -
Event study on changes in capital structure and volatility
(Masteroppgave/UIS-SV-HH/2017;, Master thesis, 2017-06-15)The authors of this paper test whether the changes in the capital structure and more specifically the changes in Debt to Equity ratio can explain the changes in the implied volatility and realized volatility. In addition, ... -
Implied Volatility and Rebalancing Timing: Market cycles and the relationship between implied volatility indices and stock index returns.
(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 ... -
Supply and demand determinants of natural gas price volatility in the U.K.: A vector autoregression approach
(Journal article; Peer reviewed, 2016-06)Since 2008, the U.K. natural gas market has witnessed a marked drop in volatility. This fall has coincided with specific events in oil and gas sector such as the onset of the U.S. “shale gas revolution” and the subsequent ...