A Study of Conditional Volatilities in Financial Markets using Generalized Conditional Heteroscedasticity Jump Models

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.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Economics and Finance

Year

2006

Author dc:creator

• Odusami, Babatunde Olatunji

Contributors dc:contributor

• Naka, Atsuyuki
• Daal, Elton
• Varela, Oscar

Repository record dc:identifier

https://scholarworks.uno.edu/td/1049

OAI identifier oai:identifier

oai:scholarworks.uno.edu:td-2030