Essays about: "EGARCH volatility spillover"

Found 4 essays containing the words EGARCH volatility spillover.

1. 1. Rare Earth Metals' Resiliency and Volatility Spillover Effects : A Critical Supply Assessment for Western Technologies From a Risk Management Perspective

   University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Author : Farzam Ebrahimi; Samuel Elm; [2023]
   Keywords : Rare Earth Metals; Interconnectedness; Conditional Volatility; Risk Management; Value at Risk; Event Study;

   Abstract : This paper explores the relationship between Chinese rare earth metals (REMs) and the industries in the U.S and Europe that heavily rely on them. READ MORE

3. 2. Cryptocurrency Spillover Effect on Non-Fungible Token Pricing

   University essay from

   Author : Josefine Matshede; Niklas Leschiner; [2022-08-18]
   Keywords : NFT; Cryptocurrency; Bitcoin; Ether; Spillover Index; Wavelet; GARCH;

   Abstract : The thesis is designated to understand if the pricing of Non-Fungible Tokens (NFTs) is affected by the volatility present in the cryptocurrency market. NFTs are digital assets such as art, music, videos, and virtual property, that are encoded with blockchain-traded rights and have in the recent one a half year seen a large increase in prices and popularity amongst investors. READ MORE

4. 3. Volatility Spillover Effects in Scandinavian Equity Markets

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Yan Xu; [2013]
   Keywords : Key words: stock markets; US; the aggregate European; OMX group formation; 2008 financial crisis impacts; mean; volatility; spillover; Business and Economics;

   Abstract : The mean and volatility spillover effects from the US and the aggregate European stock markets into individual Scandinavian equity markets are investigated by applying an EGARCH volatility-spillover model. Both the mean and volatility spillover effects from the US market are found to be significant. READ MORE

5. 4. Volatility and Contagion effects originating from the financial sector: An analysis of economic sectors in two different stock market downturns

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Emanuel Alfranseder; [2009]
   Keywords : financial crisis; equity markets; EGARCH; Spillover and Contagion; financial sector; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : The essay applies the methodology put forward in Baur (2003) with some modifications and extensions in order to investigate on contagion and spillover effects originating from the financial sector in European and U.S. equity markets during the crisis following the “dot-com” bubble in 2000-2003 and the financial crisis of 2007-2009. READ MORE