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.
Results
Showing 1 to 9 of 9 for “"volatility persistence"”.
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Studies on break detection in financial time series volatility
… thesis is to provide an econometric analysis on volatility dynamics by examining the implications of structural changes. Specifically, it analyses how the existence of structural changes may influence the volatility persistence and/or long memory in financial time series. In the second chapter a …
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An investigation of stock market volatility in Chinese stock markets and the effects of institutional investors
… literature on the investigation of stock market volatility in Chinese stock markets and the effects of institutional investors.;Chapter 2 focuses on the key characteristics of China's stock market that the volatility of stock returns tends to be greater, and to persist for longer, than is typical …
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How have world shocks affected the business cycles of Africa's frontier economies?
… is conducted through the examination of the volatility, persistence and cross-correlation between domestic output (gross domestic product) and a large group of macroeconomic variables (including consumption, fiscal variables, trade variables as well as monetary variables) to establish the …
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Fractional stochastic volatility models: approximation, calibration and hedging
The area of modeling stochastic volatility using continuous time models has a long history and is always an interesting and vibrant area in financial mathematics, where the dynamic of the asset is a diffusion driven by Brownian motion and the dynamic of the volatility is associated with a diffusion …
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Evaluation Of A Low Corrosion Method To Increase Mercury Oxidation And Scrubber Capture
… concern among air toxic metals due to its volatility, persistence and bioaccumulation as methylmercury in the environment, and its neurological health impacts.</p> <p>Previous research work performed at taconite processing plants by Minnesota Department of Natural Resources (DNR) identified …
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An investigation into the characteristics of equity volatility and its implications for derivative strategies
… the original model. The reality of stochastic volatility contradicts a key assumption of the Black-Scholes model and addressing this has motivated the development of more appropriate volatility models. The improved speci�cation and forecasting of asset price volatility has been influenced by …
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Financial contagion in emerging markets evidence from BRICS countries
… of this study was to examine co-movement and volatility spillover in BRICS countries from ‘source’ markets of the U.S. and Eurozone region. Specifically, the study sought to accomplish the following objectives: (i) To examine the salient characteristics of equity markets in BRICS countries, …
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Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market
… It focuses on the properties of the return and volatility of the Fleming Asset Bond Index (the main aggregate fixed income benchmark index in Botswana) over the period September 2009 to May 2019. The weak-form version of efficient market hypothesis (EMH) is used as a criterion to investigate the …
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Market Efficiency and Volatility Spillovers in the Amman Stock Exchange: A Sectoral Analysis
… of the 10 ASE sectoral equity indices. Persistence in share volatility is investigated and the leverage effect is also studied by employing univariate symmetric and asymmetric GARCH models. A large sample of daily sectoral index data is used in the analysis over the 10-year period from …