{"id":{"repo_id":"uno","oai_identifier":"oai:scholarworks.uno.edu:td-2030"},"canonical_url":"https://search.dev.ndltd.org/etd/uno/oai:scholarworks.uno.edu:td-2030","repository":{"repo_id":"uno","name":"University of New Orleans","base_url":"https://scholarworks.uno.edu/do/oai/"},"display":{"title":"A Study of Conditional Volatilities in Financial Markets using Generalized Conditional Heteroscedasticity Jump Models","abstract":"In this manuscript, I investigate the time-varying volatilities and co-volatilities in the fixed income and equities market using jump augmented stochastic volatility models. The results highlights that the fact that jumps are inherent in financial markets and have implications for the dynamics of volatilities and co-volatilities of financial assets over time. Jump augmented models provide a superior description of instantaneous market conditions and a promising avenue for future research in areas of asset pricing, portfolio selection, and risk management.","abstract_html":"In this manuscript, I investigate the time-varying volatilities and co-volatilities in the fixed income and equities market using jump augmented stochastic volatility models. The results highlights that the fact that jumps are inherent in financial markets and have implications for the dynamics of volatilities and co-volatilities of financial assets over time. Jump augmented models provide a superior description of instantaneous market conditions and a promising avenue for future research in areas of asset pricing, portfolio selection, and risk management.","abstract_has_math":false,"creators":["Odusami, Babatunde Olatunji"],"institution":null,"degree_name":"Ph.D.","degree_level":"Dissertation","degree_discipline":"Economics and Finance","degree_department":null,"school":null,"contributors":["Naka, Atsuyuki","Daal, Elton","Varela, Oscar"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2006,"date_issued":"2006-12-15T08:00:00Z","date_published":"2006-12-15T08:00:00Z","updated_at":"2026-07-24T05:29:02Z","subjects":[],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"https://scholarworks.uno.edu/td/1049","outbound_label":"Repository record","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Naka, Atsuyuki","Daal, Elton","Varela, Oscar"]},{"key":"dc:creator","label":"Author","values":["Odusami, Babatunde Olatunji"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"thesis:degree_discipline","label":"Discipline","values":["Economics and Finance"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Dissertation"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Ph.D."]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["https://scholarworks.uno.edu/td/1049"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["In this manuscript, I investigate the time-varying volatilities and co-volatilities in the fixed income and equities market using jump augmented stochastic volatility models. The results highlights that the fact that jumps are inherent in financial markets and have implications for the dynamics of volatilities and co-volatilities of financial assets over time. Jump augmented models provide a superior description of instantaneous market conditions and a promising avenue for future research in areas of asset pricing, portfolio selection, and risk management."]},{"key":"dc:title","label":"Title","values":["A Study of Conditional Volatilities in Financial Markets using Generalized Conditional Heteroscedasticity Jump Models"]}]}],"canonical_facts":{"dc:contributor":["Naka, Atsuyuki","Daal, Elton","Varela, Oscar"],"dc:creator":["Odusami, Babatunde Olatunji"],"dc:description.abstract":["In this manuscript, I investigate the time-varying volatilities and co-volatilities in the fixed income and equities market using jump augmented stochastic volatility models. The results highlights that the fact that jumps are inherent in financial markets and have implications for the dynamics of volatilities and co-volatilities of financial assets over time. Jump augmented models provide a superior description of instantaneous market conditions and a promising avenue for future research in areas of asset pricing, portfolio selection, and risk management."],"dc:identifier":["https://scholarworks.uno.edu/td/1049"],"dc:title":["A Study of Conditional Volatilities in Financial Markets using Generalized Conditional Heteroscedasticity Jump Models"],"thesis:degree_discipline":["Economics and Finance"],"thesis:degree_level":["Dissertation"],"thesis:degree_name":["Ph.D."]},"updated_at":"2026-07-24T05:29:02Z"}