Volatility transmission in global financial markets
| Data(s) |
2015
|
|---|---|
| Resumo |
As financial markets have become increasingly integrated internationally, the topic of volatility transmission across these markets has become more important. This thesis investigates how the volatility patterns of the world's main financial centres differ across foreign exchange, equity, and bond markets. |
| Formato |
application/pdf |
| Identificador | |
| Publicador |
Queensland University of Technology |
| Relação |
http://eprints.qut.edu.au/87087/1/Vladimir_Volkov_Thesis.pdf Volkov, Vladimir Vladimirovich (2015) Volatility transmission in global financial markets. PhD thesis, Queensland University of Technology. |
| Fonte |
QUT Business School; School of Economics & Finance |
| Palavras-Chave | #Volatility transmission #global financial markets #realised volatility #jump diffusion #news spillovers #fractional integration #cointegration #global news stream #point processes #high frequency data #ODTA |
| Tipo |
Thesis |
