Sökning: "Aleksandra Vojcic"

Hittade 1 uppsats innehållade orden Aleksandra Vojcic.

  1. 1. It’s Not EU, It’s Me! : An Event Study of Brexit on Financial Markets

    Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)

    Författare :Greta Olsson Lööf; Aleksandra Vojcic; [2019]
    Nyckelord :Brexit; Correlation; DCC GARCH; EU; Time Series; Volatility.; DCC GARCH; EU; Korrelation; Tidsserier; Volatilitet.;

    Sammanfattning : This paper investigates the impact of the European Union membership referendum in the UK on the correlations and volatility between three different broad stock market indices, utilizing an econometric time series model called DCC GARCH. Findings support the claim of higher volatility peaks on the stock market as an immediate response to the event. LÄS MER