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Author: Πολυζωίδου, Κωνσταντίνα
Polyzoidou, Konstantina
Title: Volatility spillover effects.
Date Issued: 2014
Department: Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμη
Supervisor: Παντελίδης, Θεολόγος
Pantelidis, Theologos
Abstract: This study examines the volatility dynamics in the stock and forex markets. We first use a BEKK-GARCH model to estimate the international information transmission between the stock market indices and the currency prices of two of the G-7 countries (Canada and the United Kingdom). Afterwards, we proceed to the calculation of the volatility impulse response functions based on historical shocks. This methodology allows us to explore the interdependencies between national stock markets and exchange rates.
Keywords: Volatility
Information: Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2014.
Appears in Collections:ΔΠΜΣ Οικονομική Επιστήμη (M)

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