A volatility analysis of energy and stock prices

Καραβάτου, Μαρία

Please use this identifier to cite or link to this item: http://dspace.lib.uom.gr/handle/2159/20986

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DC Field	Value	Language
dc.contributor.advisor	Φουντάς, Στυλιανός	el
dc.contributor.author	Καραβάτου, Μαρία	el
dc.date.accessioned	2017-10-30T13:16:01Z	-
dc.date.available	2017-10-30T13:16:01Z	-
dc.date.issued	2017	el
dc.identifier.uri	http://dspace.lib.uom.gr/handle/2159/20986	-
dc.description	Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη,2017	el
dc.description.abstract	In this paper, a new class of multivariate GARCH models is used to model conditional correlations and to analyze the volatility spillovers between oil prices, natural gas and the stock prices of clean energy companies and technology companies. This research use daily data from January 2006 to November 2016 to estimate the dynamic conditional correlations of the indexes above. We also imply Generalized Impulse Response Functions to the conditional correlations, so as to examine what happens between them when there is a shock. Our findings suggest that all the dynamic conditional correlations are positive, as well as the Impulse response functions of them, with the pair of clean energy companies and technology be the one with the strongest correlation.	el
dc.format.extent	40	el
dc.language.iso	en	en
dc.publisher	Πανεπιστήμιο Μακεδονίας	el
dc.subject	DCC model	en
dc.subject	Spillover effects	en
dc.subject	Multivariate GARCH	en
dc.title	A volatility analysis of energy and stock prices	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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