The econometric specification of volatility models and empirical applications with financial markets data
| dc.contributor.author | Tsioutsios, Alexandros G. | en |
| dc.date.accessioned | 2020-06-04T07:07:27Z | |
| dc.date.available | 2020-06-04T07:07:27Z | |
| dc.identifier.uri | https://olympias.lib.uoi.gr/jspui/handle/123456789/29885 | |
| dc.identifier.uri | http://dx.doi.org/10.26268/heal.uoi.9781 | |
| dc.rights | Attribution-NonCommercial-NoDerivs 3.0 United States | * |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/us/ | * |
| dc.subject | Volatility models | en |
| dc.subject | Stochastic volatility models | en |
| dc.subject | Contagion | en |
| dc.subject | Financial crisis | en |
| dc.subject | Υποδείγματα μεταβλητότητας διακύμανσης | el |
| dc.subject | Υποδείγματα μεταβλητότητας στοχαστικής διακύμανσης | el |
| dc.subject | Μετάδοση κρίσης | el |
| dc.subject | Χρηματοοικονομική κρίση | el |
| dc.title | The econometric specification of volatility models and empirical applications with financial markets data | en |
| dc.title | Οικονομετρική εξειδίκευση των υποδειγματών με μεταβλητή διακύμανση και εμπειρίκες εφαρμογές με χρηματοοικονομικό δεδομένο | el |
| heal.abstract | The financial econometrics is defined as the application of statistical and mathematical methods in financial analysis as well as the econometric method for data coming from financial markets. This thesis presents the econometric specification of volatility models. Especially are analyzed the models ARCH, GARCH, BEKK, DCC, SV and Heston SV model. Also this thesis examines empirically the dynamic linkages among 4 European countries during the Global Financial Crisis and Euro-zone Sovereign Debt Crisis. I investigate the volatility spillover between Sweden, Belgium, France and Spain. I use a Dynamic Conditional Correlation model applied to daily data for the period from January 2, 2007 through December 21, 2018. The empirical evidence suggests that the markets are interdependent and there is a contagion effect. The pairs (France-Sweden), (Spain-Sweden) and (Belgium-Sweden) are influenced by the GFC and the Euro-zone crisis. On the contrary the pairs (Belgium, France) and (Belgium, Spain) are affected only by the Euro-zone crisis. Also France and Spain are highly volatile due to the economic depression. I also provide evidence of volatility spillover of markets to both crises, implying increased portfolio diversification benefits | en |
| heal.academicPublisher | Πανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Διοικητικών Επιστημών. Τμήμα Οικονομικών Επιστημών | el |
| heal.academicPublisherID | uoi | |
| heal.access | free | |
| heal.advisorName | Σίμος, Θεόδωρος | el |
| heal.bibliographicCitation | Βιβλιογραφία: σ. 25-27 | el |
| heal.classification | Financial market -- Volatility | |
| heal.committeeMemberName | Σίμος, Θεόδωρος | el |
| heal.committeeMemberName | Συμεωνίδης, Σπυρίδων | el |
| heal.committeeMemberName | Γκωλέτσης, Γεώργιος | el |
| heal.dateAvailable | 2020-06-04T07:08:27Z | |
| heal.fullTextAvailability | true | |
| heal.language | en | |
| heal.numberOfPages | 27 σ. | |
| heal.publicationDate | 2020 | |
| heal.recordProvider | Πανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Διοικητικών Επιστημών. Τμήμα Οικονομικών Επιστημών | el |
| heal.type | masterThesis | |
| heal.type.el | Μεταπτυχιακή εργασία | el |
| heal.type.en | Master thesis | en |
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