Browsing by Author "Winberg, Alexander"

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    A study on the relation between VIX, S&P500 and the CDX-index
    (2015-02-26) Rugås, Niklas; Winberg, Alexander; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
    In this thesis we investigate the relationship between the VIX-index, CDX NA IG and S&P500. Our goal is to study how well the market volatility (traded in VIX) can be explained by stock prices(S&P500) and credit indices (CDX NA IG) The VIX-index is a measure of implied volatility in the S&P500 and is often referred to as a fear index. CDX.NA.IG is a credit default swap-index consisting of 125 North American investment grade companies and the S&P500 is a stock index consisting of the 500 largest companies in USA. We use ordinary least square (OLS) regression to study the relationship between our variables and find that the VIX, CDX NA IG and S&P500 have a high correlation.
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    A Valuation of the Swedish Real Estate Market. An Autoregressive Distributed Lagged Model Approach.
    (2017-07-28) Winberg, Alexander; University of Gothenburg/Graduate School; Göteborgs universitet/Graduate School
    I study the valuation of the Swedish real estate market by using an error correction model (ECM). I estimate an ECM by using an autoregressive distributed lag model (ARDL). By choosing an ARDL model, this paper overcomes previous critic; that all variables are assumed to be integrated of the same order. This model displays similar results as previous research, even though it estimates variables of different orders. Further, I find that the coefficients in the model are unstable, indicating that the effect from the fundamental factors to real estate prices changes over time. At last, I do find a small overvaluation at 0.96 percent in the Swedish real estate market.