Essays about: "Volatility spillovers"

Showing result 1 - 5 of 14 essays containing the words Volatility spillovers.

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. EMPIRICAL ANALYSIS OF DEPENDENCE STRUCTURES AND SPILLOVER EFFECTS ACROSS STOCK MARKETS: A STUDY OF RELATIONSHIP BETWEEN VIETNAM AND ITS MAJOR TRADING PARTNERS

   University essay from Göteborgs universitet/Graduate School

   Author : My Phung; [2021-06-30]
   Keywords : stock markets; dependence structure; spillover effect; copula model; VAR-BEKK-GARCH model;

   Abstract : This thesis studies dependence structures and spillover effects between the Vietnamese stock market and the American, Japanese, and European equity markets over the period from 2005 to 2020. For this purpose, I use copula-based models to investigate the dependence structure and asymmetric VAR-BEKK-GARCH frameworks to further define spillover effects. READ MORE

4. 3. Dependence Structures between Commodity Futures and Corresponding Producer Indices across Varying Market Conditions : A cross-quantilogram approach

   University essay from Linköpings universitet/Nationalekonomi

   Author : Elin Borg; Ilya Kits; [2020]
   Keywords : Commodity futures contracts; Commodity producer index; Cross-quantilogram; Dependence structures; Spillovers; Tail dependence;

   Abstract : This thesis examines the dependence structures between commodity futures and corresponding commodity producer equity indices in bearish, bullish and normal market conditions. We study commodity futures and producer indices in the energy, precious metals, gold and agriculture commodity markets using daily return data that ranges from 16 December 2005 to 28 June 2019. READ MORE

5. 4. Does US-China Trade War Cause Decoupling on Agricultural Trading? Evidence from Spillovers in Soybean Meal Futures Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi; Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Yuwei Pei; Zhangya Zhou; [2020]
   Keywords : Trade war; Soybean meal; Price transmission; Risk spillover;

   Abstract : This thesis is designed to study the impacts of the US-China trade war on the agricultural trading between the two countries. Through the empirical research on the price and risk spillover effects, the evidence from the soybean meal futures markets are found out. READ MORE

6. 5. Volatility Spillovers between Stock and Bond Returns: Evidence from Nordic Countries

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Olof Thorstensson; [2018]
   Keywords : Volatility spillover; stocks; bonds; BEKK; Volatility Impulse Response Function; Business and Economics;

   Abstract : This paper uses a bivariate BEKK model to estimate volatility spillover effects between stock and bond markets for the Nordic countries Sweden, Denmark, Finland and Norway. Daily log returns between the years 2001 and 2018 are analyzed. READ MORE