Volatility spillover effects.

Πολυζωίδου, Κωνσταντίνα; Polyzoidou, Konstantina

Please use this identifier to cite or link to this item: http://dspace.lib.uom.gr/handle/2159/16515

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DC Field	Value	Language
dc.contributor.advisor	Παντελίδης, Θεολόγος	el
dc.contributor.advisor	Pantelidis, Theologos	en
dc.contributor.author	Πολυζωίδου, Κωνσταντίνα	el
dc.contributor.author	Polyzoidou, Konstantina	en
dc.date.accessioned	2014-11-05T19:37:11Z	-
dc.date.available	2014-11-05T19:37:11Z	-
dc.date.issued	2014	en
dc.identifier.uri	http://dspace.lib.uom.gr/handle/2159/16515	-
dc.description	Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2014.	el
dc.description.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.	en
dc.format.extent	30	en
dc.format.extent	678146 bytes	-
dc.format.mimetype	application/pdf	-
dc.language.iso	en	en
dc.publisher	Πανεπιστήμιο Μακεδονίας	el
dc.subject	Volatility	en
dc.subject	Spillovers	en
dc.title	Volatility spillover effects.	en
dc.type	Electronic Thesis or Dissertation	en
dc.type	Text	en
dc.contributor.department	Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμη	el
Appears in Collections:	ΔΠΜΣ Οικονομική Επιστήμη (M)

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