Google trends and conditional volatility: evidence from the oil and gold markets.

Ρούσκα, Χριστίνα

Please use this identifier to cite or link to this item: http://dspace.lib.uom.gr/handle/2159/18908

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DC Field	Value	Language
dc.contributor.advisor	Παναγιωτίδης, Θεόδωρος	el
dc.contributor.author	Ρούσκα, Χριστίνα	el
dc.date.accessioned	2016-03-15T11:37:44Z	-
dc.date.available	2016-03-15T11:37:44Z	-
dc.date.issued	2016	el
dc.identifier.uri	http://dspace.lib.uom.gr/handle/2159/18908	-
dc.description	Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2016.	el
dc.description.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.	en
dc.format.extent	57	el
dc.language.iso	en	en
dc.publisher	Πανεπιστήμιο Μακεδονίας	el
dc.subject	Google Trends	en
dc.subject	Volatility asymmetry	en
dc.subject	EGARCH	en
dc.subject	Principal components	en
dc.title	Google trends and conditional volatility: evidence from the oil and gold markets.	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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