Institutional Repository

Browsing Theses and Dissertations by Subject "Stock exchanges"

Browsing Theses and Dissertations by Subject "Stock exchanges"

Sort by: Order: Results:

  • Applying volatility and EVT models to U.S., Chinese and Russian stock markets 
    Maalouf, Nisrine Elias (Notre Dame University-Louaize., 2019)
    Purpose: The purpose of this study is to explore the ability of EWMA, GARCH (1,1) and EGARCH (1,1) to forecast volatilities of S&P500, SSEC and MICEX, reference to two time periods in the timeframe of the Syrian war. VaR is derived using the HS approach which incorporates in its calculation the volatility of the best chosen model. The added value is the application of EVT in order to determine VaR results, which are compared and analyzed to the results of the HS approach, to define the most accurate approach. Methodology of Work: Returns of the in-sample period prices are used in estimating ...
  • An empirical investigation of the volatility spillovers among agricultural commodity markets around news surprises 
    Nehme, Tamara (Notre Dame University-Louaize, 2015)
    Purpose -- the objective of this thesis is to empirically test the level of interdependence across commodity markets in terms of return volatility spillover, namely, corn, wheat, soybeans and soybeans oil, and to uncover the impact of macroeconomic announcements on the measurement of integration among those commodities. This will help us to investigate the extent to which different agricultural commodities can be considered as an asset class and to determine whether portfolio diversification across different agricultural commodities can still lead to risk reduction benefits, in light of the ...

Search DSpace


Advanced Search

Browse

My Account