Volatility transmission in global financial markets
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Vladimir Volkov Thesis (PDF 1MB) |
Description
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.
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| ID Code: | 87087 |
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| 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: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
| Institution: | Queensland University of Technology |
| Deposited On: | 09 Oct 2015 05:39 |
| Last Modified: | 04 Sep 2017 14:41 |
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