Advanced search

Found 1 essay matching the above criteria.

1. 1. 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