Essays about: "Saku Nousiainen"

Found 1 essay containing the words Saku Nousiainen.

  1. 1. The Secret Life of Fear: Interdependencies Among Implied Volatilities Represented by different Stock Volatility Indices Treated as Assets

    University essay from Göteborgs universitet/Graduate School

    Author : Saku Nousiainen; [2010-11-05]
    Keywords : Dynamic Conditional Correlation; Implied Volatility; MGARCH; Risk Management; Time Series Analysis; Volatility Index; Volatility Spillover;

    Abstract : This study focuses on the systemic interdependencies of specified volatility indices, the underlying assets of which are major stock indices of developed financial markets. The volatility indices in question follow the standard VIX specification, and thus give forward-looking 30-day estimates of implied volatilities on each market respectively. READ MORE