Volatility transmission in global financial markets

Volkov, Vladimir Vladimirovich (2015) Volatility transmission in global financial markets. PhD thesis, Queensland University of Technology.

Abstract

As financial markets have become increasingly integrated internationally, the topic of volatility transmission across these markets has become more important. This thesis investigates how the volatility patterns of the world's main financial centres differ across foreign exchange, equity, and bond markets.

Impact and interest:

1 citations in Web of Science®
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Full-text downloads:

46 since deposited on 09 Oct 2015
34 in the past twelve months

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ID Code: 87087
Item Type: QUT Thesis (PhD)
Supervisor: Hurn, Stan & Clements, Adam
Additional Information: Recipient of 2015 Outstanding Doctoral Thesis Award
Keywords: Volatility transmission, global financial markets, realised volatility, jump diffusion, news spillovers, fractional integration, cointegration, global news stream, point processes, high frequency data, ODTA
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Institution: Queensland University of Technology
Deposited On: 09 Oct 2015 05:39
Last Modified: 15 Apr 2016 00:23

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