Sökning: "volatility spillover effect"

Visar resultat 1 - 5 av 16 uppsatser innehållade orden volatility spillover effect.

  1. 1. Cryptocurrency Spillover Effect on Non-Fungible Token Pricing

    Kandidat-uppsats,

    Författare :Josefine Matshede; Niklas Leschiner; [2022-08-18]
    Nyckelord :NFT; Cryptocurrency; Bitcoin; Ether; Spillover Index; Wavelet; GARCH;

    Sammanfattning : The thesis is designated to understand if the pricing of Non-Fungible Tokens (NFTs) is affected by the volatility present in the cryptocurrency market. NFTs are digital assets such as art, music, videos, and virtual property, that are encoded with blockchain-traded rights and have in the recent one a half year seen a large increase in prices and popularity amongst investors. LÄS MER

  3. 2. EMPIRICAL ANALYSIS OF DEPENDENCE STRUCTURES AND SPILLOVER EFFECTS ACROSS STOCK MARKETS: A STUDY OF RELATIONSHIP BETWEEN VIETNAM AND ITS MAJOR TRADING PARTNERS

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :My Phung; [2021-06-30]
    Nyckelord :stock markets; dependence structure; spillover effect; copula model; VAR-BEKK-GARCH model;

    Sammanfattning : This thesis studies dependence structures and spillover effects between the Vietnamese stock market and the American, Japanese, and European equity markets over the period from 2005 to 2020. For this purpose, I use copula-based models to investigate the dependence structure and asymmetric VAR-BEKK-GARCH frameworks to further define spillover effects. LÄS MER

  4. 3. Information Diffusion and Safe Havens : Multi-scale Network Dynamics in the Biotech Markets

    Master-uppsats, Linköpings universitet/Nationalekonomi

    Författare :Lovisa Youssef; Tijana Zelic; [2019]
    Nyckelord :biotech; time-frequency dynamics; connectedness; spillover; systematic risk; safe haven;

    Sammanfattning : This paper analyzes the return connectedness between the biotechnology sector and other financial assets for 1 January 2000 to 31 December 2018, using an empirical approach from both time- and frequency-domain. The results reveal that the connectedness between the biotechnology sector and other financial assets are decreasing with time, entailing high diversification opportunities in the long-run. LÄS MER

  5. 4. Volatility Spillovers between Stock and Bond Returns: Evidence from Nordic Countries

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Olof Thorstensson; [2018]
    Nyckelord :Volatility spillover; stocks; bonds; BEKK; Volatility Impulse Response Function; Business and Economics;

    Sammanfattning : This paper uses a bivariate BEKK model to estimate volatility spillover effects between stock and bond markets for the Nordic countries Sweden, Denmark, Finland and Norway. Daily log returns between the years 2001 and 2018 are analyzed. LÄS MER

  7. 5. Volatility and Contagion Effect from US and GIIPS to the Largest European Economies

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Nerea Landa Vallejo; [2016]
    Nyckelord :contagion; GIIPS; subprime; eurozone; spillover; Business and Economics;

    Sammanfattning : This research paper explores the nature of the mean and volatility spillovers from the US and aggregate GIIPS to the largest GDP countries for the EMU and non-EMU countries. I develop a three step univariate volatility spillover model followed by Christiansen (2007) and Ng (2000) to analyze the relevance of local (own country), regional (aggregate GIIPS) and global (US) shocks. LÄS MER