Browsing Master's theses (SV-HH 2008-2017) by Author "Aarø, Thomas"

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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, ...