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 8 of 8 for “"volatility transmission"”.
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Essays on the empirical analysis of volatility transmission in petroleum markets
… and integration, leading to increased volatility and exposing participants to potentially much greater risks. This thesis addresses the explicit modeling of petroleum price volatility in a multivariate framework and analyzes the relative merits of multivariate models to describe change …
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Range-based Volatility Modelling, Forecasting and Spillovers
… of univariate and multivariate range-based volatility models and applies these models to study volatility spillovers during Chinese stock market turbulence. The first study compares the predictive ability of six parametric range-based volatility estimators, including the vanilla and …
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Integration of Liberalised European Electricity Markets
… decoupled from the other markets and price volatility transmission increased.
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Mean and Volatility Spillovers in Emission Allowance and Fuel Returns
Market based emission reduction programs, also known as cap and trade systems, were long promoted by economists as the least-cost method to reduce aggregate pollution levels. The most influential of these programs is the Acid Rain Program launched by Title IV of the 1990 Clean Air Act Amendments to …
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Mean and Volatility Spillovers in Emission Allowance and Fuel Returns
Market based emission reduction programs, also known as cap and trade systems, were long promoted by economists as the least-cost method to reduce aggregate pollution levels. The most influential of these programs is the Acid Rain Program launched by Title IV of the 1990 Clean Air Act Amendments to …
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Essays on commodity price variability
… in recent years. The first paper analyzes recent volatility spillovers in the United States from crude oil to corn and ethanol markets using futures prices. Spillovers to both corn and ethanol markets are somewhat similar in timing and magnitude, but moderately stronger to the ethanol market. The …
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Three essays on housing economics
… the spatial behavior of housing price and its volatility and one chapter that focuses on a more fundamental housing issue. The first chapter examines the spatial variation of housing price volatility. I develop a flexible spatial volatility model for squared returns using a Box-Cox …