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Author: Ρούσκα, Χριστίνα
Title: Google trends and conditional volatility: evidence from the oil and gold markets.
Date Issued: 2016
Department: Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμη
Supervisor: Παναγιωτίδης, Θεόδωρος
Abstract: This study explores the effect of Google search activity on the conditional volatility of the crude oil and gold price returns as a direct measure of investor sentiment. Two alternative approaches are adopted: a Google index and common factors, generated from a list of search queries. Within an EGARCH framework the empirical results support that there is evidence of asymmetry and persistence in the volatility and, in a certain degree, overlapped by our information demand variables.
Keywords: Google Trends
Volatility asymmetry
Principal components
Information: Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2016.
Appears in Collections:ΔΠΜΣ Οικονομική Επιστήμη (M)

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