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 20 of 20 for “"volatility spillover"”.
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Volatility spillover between Exchange-Traded Funds on the Johannesburg Stock Exchange
… on the JSE, particularly focusing on the volatility spillover between domestic ETFs representing four major asset classes and four equity ETFs using the Diebold and Yilmaz (2012) Spillover Index. The equity ETF system includes the Satrix RESI 10 (STXRES), Satrix FINI 15 (STXFIN), and …
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Price Discovery and Volatility Spillover Effects: The Agricultural ETPS and Their Underlying Commodities
… thesis investigates the price discovery and volatility spillover effects between agricultural ETPs and commodity underlying. We analyze historical prices of five most popular grain ETPs and their underlying commodities using VEC model and BEKK model. Price discovery is confirmed by …
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OPEC PRODUCTION DECISIONS, MACROECONOMIC NEWS AND VOLATILITY IN THE CANADIAN AND ENERGY MARKETS
… dollar volatilities. We use the multivariate volatility model to examine the simultaneous impacts of OPEC press releases and production decisions, oil and gasoline inventory surprises, and U.S. and Canadian macroeconomic news announcements on oil and CAD returns and volatilities during, before …
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Time varying connectedness and volaOlity spillover among Shariah compliant indices
… identify the net transmitters and receivers of volatility within the Shariah compliant equity markets of the US, Europe, Canada, Japan, the UK, Asia Pacific, and South Africa. Using several shariah-compliant Dow Jones Islamic Market (DJIM) indices as well as the shariah-compliant JSE Top 40 …
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Investigating Systemic Risk with Co-occurrence Networks – Studies from the fields of sovereign bond and energy markets
… interest rate cycle is led by the ECB. Dynamic volatility transfer in the European oil and gas industry The study examines dynamic volatility transmissions among European energy industry participants along the production lines of Upstream, Midstream, Downstream, and Integrated Oil Gas segments. …
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Essays on international financial markets interdependence
… particular, foreign exchange market’s return and volatility spillovers channel. A fundamental question is whether the magnitude of return and volatility spillovers is bidirectional between developed and developing countries. In this chapter, I investigate the “static and dynamic” return and …
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Analyzing frequent acquires in emerging markets and futures markets linkage
… there is a significant bi-directional return and volatility spillover. Additionally, I estimate a market’s contribution to the price discovery process. In general, the market that has a stronger price impact and a stronger volatility spillover tends to be the market that has greater contribution …
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Three essays on identifying safe havens for equity investors
Chapter 2 examines conditional mean and volatility spillover between equity and gold to ascertain if gold is a safe haven for investors. This is achieved using a VAR-GARCH model allowing for simultaneous transmission of shocks between series. This also provides the time-varying inputs for portfolio …
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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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Modelling and valuing multivariate interdependencies in financial time series
… stock markets. In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found in numerous empirical studies but that no one, to my knowledge, has evaluated their effects in the general portfolio framework. I dynamically forecast two multivariate GARCH models, one …
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A Study on GARCH volatility processes in pricing derivatives
… in the pricing of long term contracts. Volatility modelling results indicate that the return-volatility relationship is symmetric in the long run, but over the short term asymmetry also arises in the EURUSD and GBPUSD exchange rates. The third application evaluates canola futures in …
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U.S. Housing Market Volatility
… the determinants of U.S. housing market volatility. With volatility defined as the sample variance of home value monthly returns during a given quarter, a model of volatility from equilibrium in the housing market is derived. Supply and demand effects on housing return volatility for the …
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Empirical essays on inferring information from options and other financial derivatives
… predicts the other. The second essay constructs volatility indices for 15 markets around the world and examines implied volatility spillover between these markets. Volatility indices are constructed using option prices based on the new VIX methodology with modification to address its limitations. …
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Essays on currency carry trade in Africa’s emerging and frontier markets
… to the stock markets, with minimal amount of volatility spillover sparsely distributed across the selected African countries. For all the currency pairs together and the stock markets of Africa together, the study found that the stock markets respond greatly to shocks in carry trade whilst …
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Transition equity markets of Central Europe: volatility, predictability, integration
… time series by addressing the issues of volatility, predictability and international asset pricing in these markets. In Chapter Two we start from an overview of the transition stock markets by presenting their historical background, basic regulations, statistics, and stock market indices. …
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The Impact of USDA Reports on U.S. Dairy Market Volatility
… (USDA) reports on dairy futures price volatility over January 2011 to December 2023. Dairy futures are a relatively understudied commodity market with a unique pricing structure and settlement procedure. An E-GARCH model is used to estimate price volatility with exogenous dummy …
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Range-based Risk Estimation in Euro Area Countries
… national equity market indices to analyse daily volatility dynamics and volatility spillover across four European markets. Chapter 2 is based on the joint research with Gregory Connor. We develop a dynamic linear model of expected daily range which is a variant of Chou’s conditional …
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Essays on the Equity Pricing and Capital Structure of Financial Intermediaries
… and there is a significant and positive cross-volatility spillover from real estate sector to banks, and the co-movement is in the same direction. It is also crucial that financial institutions and fund managers can predict the expected portfolio returns more accurately. The thesis also finds …
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Return and volatility spillovers across financial markets in Central Europe
… propojení mezi trhy jsme využili dva druhy spillover indexů (na základě generalizovaného a strukturálního VAR modelu), dynamické korelační koeficienty odhad- nuté pomocí vícerozměrného GARCH modelu a koeficienty strukturálního VAR modelu identifikovaného prostřednictvím heteroskedasticity ve …