Please use this identifier to cite or link to this item: http://dspace.lib.uom.gr/handle/2159/17033
Full metadata record
DC FieldValueLanguage
dc.contributor.advisorΠαντελίδης, Θεολόγοςel
dc.contributor.advisorPantelidis, Theologosen
dc.contributor.authorΓεωργιάδης, Αλέξανδροςel
dc.contributor.authorGeorgiadis, Alexandrosen
dc.date.accessioned2015-03-14T16:32:52Z-
dc.date.available2015-03-14T16:32:52Z-
dc.date.issued2015en
dc.identifier.urihttp://dspace.lib.uom.gr/handle/2159/17033-
dc.descriptionΔιπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2015.el
dc.description.abstractWe attempt to model return volatility dynamics between the three equity markets of North America, namely U.S., Canada and Mexico. We employ two different techniques; the first one uses the impulse response functions from a VAR model for the conditional variances extracted from univariate GARCH models, while the second one calculates the volatility impulse response functions directly from the vec-transformation of a VAR-BEKK model. Our first approach suggests bidirectional spillover effects for all three countries. Bivariate BEKK models suggest bidirectional spillovers effects for the U.S. and Canada, and unidirectional from Mexico to the US and Canada. The trivariate BEKK model limits direct spillover effects to one pair (from Mexico to Canada) and indirect spillover effects to two pairs (from Mexico to Canada and from the U.S. to Canada).en
dc.format.extent28en
dc.format.extent1265609 bytes-
dc.format.mimetypeapplication/pdf-
dc.language.isoenen
dc.publisherΠανεπιστήμιο Μακεδονίαςel
dc.subjectVolatility transmissionen
dc.subjectBEKKen
dc.titleStock market volatility transmission: evidence from North America.en
dc.typeElectronic Thesis or Dissertationen
dc.typeTexten
dc.contributor.departmentΔιατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμηel
Appears in Collections:ΔΠΜΣ Οικονομική Επιστήμη (M)

Files in This Item:
File Description SizeFormat 
GeorgiadisAlexandrosMsc2015.pdf1.23 MBAdobe PDFView/Open


This item is licensed under a Creative Commons License Creative Commons