Essays about: "Joakim Puusaari"

Found 1 essay containing the words Joakim Puusaari.

  1. 1. Examining the market linkage between the US stock market and the oil market: A multivariate GARCH approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Joakim Puusaari; [2009]
    Keywords : Stock market; volatility spillover; BEKK; Market linkages; Commodities market; Oil; Multivariate GARCH model; Asymmetric volatility; News Impact Surfaces; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : In this study the relationship between the US stock market and the oil market is examined in terms of volatility and co-volatility. A multivariateGARCH approach is therefore applied by using an asymmetric BEKK model on daily returns which cover the period from 1 January 2002 to 31 December 2008. READ MORE