Дисертації з теми "Volatility Linkage"
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Zheng, Lingyu. "Estimation of the linkage matrix in O-GARCH model and GO-GARCH model." Diss., Temple University Libraries, 2010. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/102486.
Повний текст джерелаPh.D.
We propose new estimation methods for the factor loading matrix in modeling multivariate volatility processes. The key step of the methods is based on the weighted scatter estimators, which does not involve optimizing any objective function and was embedded with robust estimation properties. The method can therefore be easily applied to high-dimensional systems without running into computational problems. The estimation is proved to be consistent and the asymptotic distribution is derived. We compare the performance with other estimation methods and demonstrate its superiority when using both simulated data as well as real-world case studies.
Temple University--Theses
Ding, Liang. "Information Diffusion across Financial Markets." Kent State University / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=kent1281058095.
Повний текст джерелаZilberman, Roy. "Essays on banking regulation, macroeconomic dynamics and financial volatility." Thesis, University of Manchester, 2013. https://www.research.manchester.ac.uk/portal/en/theses/essays-on-banking-regulation-macroeconomic-dynamics-and-financial-volatility(723b6684-147b-43ac-a618-a4dfab94e00f).html.
Повний текст джерелаAl, Mughairi Habiba. "Essays on modelling the volatility dynamics and linkages of emerging and frontier stock markets." Thesis, Brunel University, 2016. http://bura.brunel.ac.uk/handle/2438/13537.
Повний текст джерелаJoya, Mohammad Omar. "Trois essais sur la volatilité macroéconomique, la diversification productive, et les liaisons intersectorielles." Thesis, Bordeaux, 2017. http://www.theses.fr/2017BORD0722/document.
Повний текст джерелаIn a series of empirical essays, this thesis looks at the various intertwining aspects of growth volatility and productive diversification in resource-rich countries. In the first chapter, I find that while natural resources adversely affect economic growth by increasing growth volatility, resource-rich countries can offset the volatility-triggering effects of natural resources by diversifying their economies. Countries that start off with more diversified production structure or are able to diversify as they develop are likely to benefit from their resource endowment. In the second chapter, I discuss the fact that resource-rich countries willing to diversify their economies are faced with dual policy options; to either develop resource-based industries, or diversify their economies as a whole into new activities not necessarily dependent on natural resources. The empirical analysis shows that diversification through downstream and forward linkages to mining does not lead to productivity enhancements. However, broadening and diversifying the production structure as a whole offer potentials for productivity growth at higher levels of income. In the third chapter, I look at the relation between diversification and volatility from a production network perspective, composed of input-output linkages across sectors. I find that the location of a sector within the production network and its influence on other sectors have conflicting effects on the risk that sectoral shocks lead to aggregate volatility. Sectors that are located in dense parts of the network have a mitigating effect on aggregate volatility via substitution effects, while those that are more influential and central in a strongly asymmetrical network generate aggregate fluctuations via contagion effects and inter-industry linkages. These suggest that the distribution and the network structure of inter-industry linkages play an important role into how diversification conditions the impact of idiosyncratic shocks on aggregate volatility
Chinzara, Zivanemoyo. "An empirical analysis of the long-run comovement, dynamic returns linkages and volatility transmission between the world major and the South African stock markets." Thesis, Rhodes University, 2008. http://hdl.handle.net/10962/d1002704.
Повний текст джерелаSilva, Rodolfo Margato da. "Relações no mercado internacional de soja em grão: Preços, volatilidades e fluxo de informações." Universidade de São Paulo, 2013. http://www.teses.usp.br/teses/disponiveis/11/11132/tde-25032013-151438/.
Повний текст джерелаThis thesis examines price and volatility linkages between soybean futures contracts traded in United States, China, Brazil and Argentina for the period ranging from 2002 to 2011. The main findings show that U.S. prices still appear to have a dominant role to explain price changes in international markets. Results also indicate stronger linkages between prices in China and in other three markets, especially after 2006. This result suggests the Chinese market has become more integrated with soybean international markets in recent years, which might reflect the growing participation of China in international trade and the development of its soybean futures contract. Regarding volatility spillover, U.S. futures contract had reference position by promoting price contagion to the futures markets in Brazil and Argentina in almost all time intervals defined; moreover, volatility spillovers from U.S. market to Dalian futures market have been observed only from 2009 to 2011, confirming a stronger linkage between U.S. and Chinese markets in the last years. Besides, Brazil and Argentina have shown strong linkages with Chinese market, due to the trade relationship, and at the same time these countries have been impacted sharply by price structure and shocks from U.S. market. Despite the role of U.S. futures contract as a global leader in the soybean pricing process, this study presents the great importance of Chinese market to define the soybean efficient price in the long run, and it confirms Brazil and Argentina as followers in the international system of price adjustment. By comparing models with differences on the use of closing prices or opening prices from Chinese futures market, the set of closing prices presented the largest number of significant price linkages and volatility spillovers. According to the main contribution of this study, the major players in the soybean international market are highly linked through price movements, volatilities and information flow. Results also indicate that linkages between the soybean futures markets have become stronger over the last years. Regarding the practical application, the study pointed that the players of the soybean international market have to observe the movements in the Chinese futures contract daily to perform more efficient and profitable transactions.
Hung, Chih-Hsien, and 洪熾賢. "Dynamic Volatility Linkage between Taiwan MSCI Index and International Stock Markets." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/09954040415724641669.
Повний текст джерела國立中山大學
財務管理學系研究所
98
This paper uses multivariate DCC-GARCH model to investigate the volatility of dynamic correlation between MSCI Taiwan stock index and the USA, China, Japan , Asia and global stock market. The existence of stock market volatility asymmetry, volatility spread of infection and clustering effects also are analysed, while in case of the U.S. sub-prime mortgage crisis and triggered the global financial tsunami. It discusses the Taiwan stock market fluctuations and structural changes in the international markets and the market dynamics related to change of influence and change. The main findings are (1)The volatility of continuity between the spread of infection and the clustering effect between the Taiwan stock market and international market fluctuations, (2) During the global financial tsunami, the correlation between changes in the international market and the market Correlation of different dynamic fluctuations and structural changes occurring in different time point also show the impact of changes of individual markets (3)The correlation between MSCI Taiwan stock index and the USA, China , Japan, indicates that the impact of change of stock the Japanese stock market on the MSCI Taiwan stock index is low, while China and the MSCI Taiwan stock index-related enhances, (4) market structure changes, the MSCI Taiwan stock index and the global dynamic fluctuations in the market is still a significant, The visible impact of the shock oscillation is wide and return to equilibrium of adjustment is still ongoing.
Chang, Huajan, and 張華然. "Using Multivariate Stochastic Volatility Model to Investigate the Dynamic Linkage between American Depository Receipts and Underlying Stocks." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/76474331342660824994.
Повний текст джерелаOzer, Gorkem Beaumont Paul M. "Volatility linkages in growth and asset pricing." Diss., 2005. http://etd.lib.fsu.edu/theses/available/etd-06202005-181852.
Повний текст джерелаAdvisor: Dr. Paul M. Beaumont, Florida State University, College of Social sciences, Dept. of Economics. Title and description from dissertation home page (viewed Sept. 15, 2005). Document formatted into pages; contains xiii, 164 pages. Includes bibliographical references.
Ying-Ching, Shen, and 沈盈菁. "Volatility Linkages among Real Intereat Rates in International Capital." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/27646225759262160697.
Повний текст джерела淡江大學
財務金融學系
89
Using a multivariate GARCH-BEKK model, this study examines the volatility linkage of real interest rate between U.K.、France、Germany、Italy and U.S. We obtain the character of time-varying relationship between U.S. capital market and four major euro-capital markets by analyzing the texture of conditional covariances and conditional correlations. Our results indicate that all pairs of capital markets including U.S.-U.K., U.S.-France, U.S.-Germany and U.S.-Italy have significant permanent and transitory covariance. As a consequence, it appears that the real interest rates in international capital market are highly connected both in the long-run and the short-run. This finding implies that every country monetary policy has lost its effectiveness in terms of long period and short period, government must take the influence of economic factor abroad into consideration to achieve the goal of policy. This paper suggests that government should restructure a healthy financial regulation to create a safety transaction market so that the national competitiveness will progress through the successful market system.
Wu, Hui-Hsin, and 吳慧馨. "Volatility Linkages among Euro, British Pound, Swiss Franc and Japanese Yen." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/13002259950845129128.
Повний текст джерела國立成功大學
會計學系碩博士班
95
This paper examines volatility spillover among Euro, British Pound, Swiss Franc and Japanese Yen. For this purpose, volatility implied by currency options on the four currencies and conditional variance of the return of the four spot exchange rates are analyzed. Vector autoregressive modeling and Granger-causality test are applied to ascertain the dynamics of the implied volatilities across currencies. We find that there are bidirectional volatility spillover between the Euro and the British pound, the Euro and the Swiss franc, the British pound and the Swiss franc, the Swiss franc and Japanese Yen. Moreover, we also examine the relationship between implied volatility and GARCH volatility of the four currencies. We find that there are bidirectional relationship between implied volatility and GARCH volatility of the British Pound, the Swiss Franc and the Japanese Yen.
Swieringa, John Edward. "Price discovery and information linkages in the emission allowance and energy markets." Phd thesis, 2013. http://hdl.handle.net/1885/10326.
Повний текст джерелаKao, Shin-Ju, and 高芯茹. "The linkages of oil price volatility between the industry-wide stock index and MSCI index future." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/21440059149848374650.
Повний текст джерела國立彰化師範大學
企業管理學系
96
Numerous researches have been devoted into the study of relationship between oil price shocks, stock prices and their future indexes aftermath the recent oil price surge and generate fruitful results. However, previous works ignore that the price sensibility to the oil price change may vary with industries. The objective of this study is to fill this gap by examining the relationship between oil price change and industry-wide stock index and MSCI Taiwan index futures in the Taiwan equity market, respectively. The data period is from January 1, 2003 to Febuary 22, 2008. The standard time series techniques including unit root test, cointegration test, vector autoregression, Granger causality have been utilized to address the above issue. The empirical result are as follows: 1.Oil price and oil future price cointegrated with industry-wide stock index and MSF in the Taiwan equity market. 2.WTI, heating ,and Natural future oil granger causality on the stock index of transport ; and heating oil granger causality on the stock index of cement, textile, electric machinery, biochem , cable, transport, financial insurance, and trading. 3.Brent crude oil and natural gas futures have positive impact on steel, ruber, automobile, electric machinery, and biochem stock index. 4.The majority of the variance of crude oil and oil futures price are explained by one's own variance, and as the increase of time the explains ability all drops, however, the explains ability of industrary-wide stock of index, TSE, MSF rise as the time increase of the time. 5.WTI, brent , heating, natural, and light oil futures have volatility spillover effects on steel stock index.
Chinzara, Zivanemoyo. "An empirical analysis of the long-run comovement, dynamic returns linkages and volatility transmission between the world major and the South African stock markets /." 2007. http://eprints.ru.ac.za/1142.
Повний текст джерела