Browsing SAM - Master i Økonomi og administrasjon – siviløkonom by Subject "GARCH"
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Exploring the futures hedging possibilities for the Norwegian lumber market, using the U.S. market as a proxy. Testing the effectiveness of different minimum variance hedge ratio approaches
(Master thesis, 2022)This paper explores the possibility for a cabin producer to manage lumber price volatility by hedging with futures contracts. Our intention is to explore if the introduction of a futures market for lumber will provide ... -
Volatility Forcasting and Portfolio Optimization
(Master thesis, 2021)This thesis investigates the relationship between volatility forecasting and portfolio performance. The aim is to use stylized facts about financial asset returns to improve the accuracy of volatility forecasts and see ...