Search for dissertations about: "Volatility spillovers"
Showing result 1 - 5 of 7 swedish dissertations containing the words Volatility spillovers.
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1. Empirical Studies on Economic and Financial Spillovers : Asymmetric Risk and Dependence Modeling
Abstract : Financial assets are volatile, and volatility becomes more intense in terms of size and rate of recurrence when markets are uncertain and growing rapidly. The fact that the recurrence rate increased during crisis periods, such as the IT bubble in the early 2000 and the global financial crisis that started in 2007, is a key finding in the literature. READ MORE
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2. Essays on stochastic volatility
Abstract : This dissertation consists of five papers concerned with the estimation and analysis of financial price processes. The first paper develops a stock price model and analyzes the impact of the US and the regional European stock markets on the local European countries’ stock markets. READ MORE
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3. Essays on corporate risk, U.S. business cycles, international spillovers of stock returns, and dual listing
Abstract : This thesis consists of four self-contained essays on the various topics in finance. The first essay, The Information Content of The Systematic Risk Structure of Corporate Yields for Future Real Activity: An Exploratory Empirical Investigation, constructs a proxy for the systematic component of the risk structure of corporate yields (or systematic risk structure), and tests how well it predicts real economic activity in the United States. READ MORE
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4. Housing, Banking and the Macro Economy
Abstract : Essay 1: Expectation-Driven House Prices, Debt Default and Inflation DynamicsWe contribute to the literature on dynamic stochastic general equilibrium (DSGE) models with housing collateral by including shocks to house price expectations. We also incorporate endogenous mortgage defaults that are rarely included in DSGE models with housing collateral. READ MORE
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5. Four Essays on Building Conditional Correlation GARCH Models
Abstract : This thesis consists of four research papers. The main focus is on building the multivariate Conditional Correlation (CC-) GARCH models. In particular, emphasis lies on considering an extension of CC-GARCH models that allow for interactions or causality in conditional variances. READ MORE