Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 12 of 12 for “"comovements"”.
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Comovements of Equity Markets in Emerging Economies
This paper studies the correlations between the equity markets of emerging economies, with a particular focus in the Latin American region. In particular, it offers a cross-regional comparison of the correlations and trends of correlations between the equity markets of the emerging countries in the …
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Effects of variations in risk on demand and measures of business cycle comovements : three essays about the business cycle
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 1994.
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Essays on multivariate GARCH models and financial interactions
… frameworks for analysing the dynamics of comovements of returns and volatility of returns in multivariate financial systems are proposed. The models considered belong to the class of multivariate conditional correlation GARCH models. The conditional volatilities are modelled as univariate …
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Risk Sharing and Asset Returns in Stochastic Endogenous Growth Models
… real business cycle model in replicating the comovements of aggregate output, consumption, and investment, but strictly outperforms it along the asset return dimension. More specifically, the model generates a significant equity premium if idiosyncratic production (income) risk is large during …
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Impacts of Volatility Spillovers, Economic Volatility and Capital Inflows on Mortgage-backed Financial Markets
… GARCH (EGARCH) model. Volatility spillovers and comovements within REITs subdivisions; REITs with FNM and FRE and other selected financial assets are examined using the multivariate GARCH (MGARCH) model. The second essay investigates factors behind the existence of time-varying conditional …
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Various Financial Aspects of Cryptocurrencies
… of cryptocurrencies. Subsequently, I look at comovements between nine major cryptocurren- cies and mark instability periods in cryptocurrency markets. I find out that cryptocurrency markets have gone through three phases of comovement evolution, and almost all cryptocur- rencies analyzed have …
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Three Essays in Asset Pricing and Investment
… but also volatility, liquidity, and trading. Comovements are magnified by interdealer trading to balance inventories and institutional trading to reach for yields. Importantly, rating-style investing induces return predictability in municipal bonds and cross-market comovement with corporate …
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Essays on Applied Macro- and Micro-Econometrics
… The first essay examines the interactions and comovements between the crude oil and natural gas markets with multivariate time series analysis. The second essay investigates interfuel substitution and the demand for a limited number of energy goods with proper microeconomic foundations. The …
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Essays on International Trade and Business Cycles
… raises model-implied cross-country aggregate GDP comovements which are close to the data, and (ii) it reproduces observed industrial international business cycle patterns. The results suggest that sloping marginal cost curves and their heterogeneity are informative to understand the international …
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Three essays on regional business cycle analysis
… of regional interdependency induced from the comovements of regional business cycles. Since each region is exposed to the region common shock, the degree of comovement of each region’s business cycle is strong, possibly exaggerating or biasing the effect of region specific shocks. The …
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Three essays on asset pricing
… Market Risk” and aims to explain some documented comovements between crude oil market and stock market and the predictability of oil prices on stock returns. Firstly, I illustrate a mechanism for oil shocks to translate into stock market risk under a 2-consumption good CCAPM model framework. Then …
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Essays in Asset Pricing
<p>This dissertation consists of three essays in asset pricing with the common theme of return predictability.</p> <p><strong>Chapter 1:</strong> This chapter introduces the motivation, results, and structure of the dissertation.</p> <p><strong>Chapter 2:</strong> I examine the relation between the …