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Author: Μαντούση, Κωνσταντινιά
Title: Volatility transmission between stock markets and oil prices
Date Issued: 2017
Department: Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμη
Supervisor: Φουντάς, Στυλιανός
Abstract: This paper provides further evidence of linkages and volatility transmission between oil prices and stock markets for a sample of four important countries (U.S.A., Germany, France and Japan) over the period from November 1990 to August 2014. We make use of a univariate GARCH model and a multivariate GARCH model with time varying conditional correlation, namely Dynamic Conditional Correlation model. On the whole, our results illustrate the existence of volatility spillovers between stock markets and world oil prices.
Keywords: Volatility transmission
Information: Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2017.
Appears in Collections:ΔΠΜΣ Οικονομική Επιστήμη (M)

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