Please use this identifier to cite or link to this item:
http://dspace.lib.uom.gr/handle/2159/18908
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 EGARCH Principal components |
Information: | Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2016. |
Appears in Collections: | ΔΠΜΣ Οικονομική Επιστήμη (M) |
Files in This Item:
File | Description | Size | Format | |
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RouskaChristinaMsc2016.pdf | 1.27 MB | Adobe PDF | View/Open |
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