Essays in empirical finance: volatility, interdependencies, and risk in emerging markets
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Göteborg
Dep. of Economics, School of Business, Economics and Law, Göteborg Univ.
2007
|
| Schriftenreihe: | Economic studies
165 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Zugl.: Göteborg, Univ., Diss., 2007 |
| Beschreibung: | Getr. Zählung graph. Darst. |
| ISBN: | 9789185169245 |
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Datensatz im Suchindex
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| adam_text | ECONOMIC STUDIES DEPARTMENT OF ECONOMICS SCHOOL OF BUSINESS, ECONOMICS
AND LAW GOTEBORG UNIVERSITY 165 ESSAYS IN EMPIRICAL FINANCE: VOLATILITY,
INTERDEPENDENCES, AND RISK IN EMERGING MARKETS ANDERS C. JOHANSSON
GOTEBORG UNIVERSITY TABLE OF CONTENTS ACKNOWLEDGEMENTS VII INTRODUCTION
XI EMERGING MARKETS XI SUMMARY OF ESSAYS XIV REFERENCES XVII ESSAY 1
SPILLOVER EFFECTS AMONG THE GREATER CHINA STOCK MARKETS 1. INTRODUCTION
2 2. LITERATURE REVIEW 3 3. GREATER CHINA EQUITY MARKETS 5 4. DATA, UNIT
ROOTS AND COINTEGRATION TESTS 7 4.1 DATA AND DESCRIPTIVE STATISTICS 7
4-2 UNIT ROOT, COINTEGRATION, AND ASYMMETRY IN VOLATILITY 11 5.
SPILLOVER EFFECTS IN RETURNS AND VOLATILITIES 16 6. EMPIRICAL RESULTS OF
THE VAR-MVEGARCH 18 7. CONCLUSION 26 REFERENCES 28 ESSAY 2 DECOMPOSING
THE RELATIONSHIP BETWEEN EXCHANGE RATES AND STOCK PRICES IN ASIA BY
TIMESCALE 1. INTRODUCTION 2 2. EXCHANGE RATES AND STOCK PRICES 3 3.
HETEROGENOUS MARKETS 5 4. WAVELETS AND MULTIRESOLUTION ANALYSIS 7 5.
DATA AND EMPIRICAL RESULTS 10 5.1 DATA 10 5.2 UNIT ROOTS 16 5.3 GRANGER
CAUSALITY TESTS ON RAW RETURNS 17 5-4 MRA AND CAUSALITY TESTS ON
DIFFERENT SCALES 18 6. CONCLUSION 25 REFERENCES 26 ESSAY 3
INTERDEPENDENCIES AMONG ASIAN BOND MARKETS 1. INTRODUCTION 2 2. REGIONAL
BOND MARKET DEVELOPMENT 4 3. DATA AND DESCRIPTIVE STATISTICS 7 4. UNIT
ROOT AND COINTEGRATION TESTS 10 5. MODELING MEAN, VOLATILITY AND
CORRELATION 15 6. CONCLUSION 26 REFERENCES 28 ESSAY 4 STOCHASTIC
VOLATILITY AND TIME-VARYING COUNTRY RISK IN EMERGING MARKETS 1.
INTRODUCTION 2 2. TIME-VARYING COUNTRY RISK 4 2.1 CAPM AND BETA 4 2.2
THE CONDITIONAL CAPM 5 2.3 METHODS OF ESTIMATING CONDITIONAL BETA 5 3.
STOCHASTIC VOLATILITY 7 3.1 A NEW MULTIVARIATE STOCHASTIC VOLATILITY
MODEL 10 3.2 MCMC ESTIMATION METHODOLOGY 11 3.3 MODEL COMPARISON 13 4.
DATA AND EMPIRICAL RESULTS 14 4-1 DATA AND DESCRIPTIVE STATISTICS 15 4-2
EMPIRICAL RESULTS OF STOCHASTIC VOLATILITY MODEL 15 4-3 CONDITIONAL BETA
ESTIMATION 25 44 COMPARING MSV AND GARCH 28 5. CONCLUSION 30 REFERENCES
33
|
| adam_txt |
ECONOMIC STUDIES DEPARTMENT OF ECONOMICS SCHOOL OF BUSINESS, ECONOMICS
AND LAW GOTEBORG UNIVERSITY 165 ESSAYS IN EMPIRICAL FINANCE: VOLATILITY,
INTERDEPENDENCES, AND RISK IN EMERGING MARKETS ANDERS C. JOHANSSON
GOTEBORG UNIVERSITY TABLE OF CONTENTS ACKNOWLEDGEMENTS VII INTRODUCTION
XI EMERGING MARKETS XI SUMMARY OF ESSAYS XIV REFERENCES XVII ESSAY 1
SPILLOVER EFFECTS AMONG THE GREATER CHINA STOCK MARKETS 1. INTRODUCTION
2 2. LITERATURE REVIEW 3 3. GREATER CHINA EQUITY MARKETS 5 4. DATA, UNIT
ROOTS AND COINTEGRATION TESTS 7 4.1 DATA AND DESCRIPTIVE STATISTICS 7
4-2 UNIT ROOT, COINTEGRATION, AND ASYMMETRY IN VOLATILITY 11 5.
SPILLOVER EFFECTS IN RETURNS AND VOLATILITIES 16 6. EMPIRICAL RESULTS OF
THE VAR-MVEGARCH 18 7. CONCLUSION 26 REFERENCES 28 ESSAY 2 DECOMPOSING
THE RELATIONSHIP BETWEEN EXCHANGE RATES AND STOCK PRICES IN ASIA BY
TIMESCALE 1. INTRODUCTION 2 2. EXCHANGE RATES AND STOCK PRICES 3 3.
HETEROGENOUS MARKETS 5 4. WAVELETS AND MULTIRESOLUTION ANALYSIS 7 5.
DATA AND EMPIRICAL RESULTS 10 5.1 DATA 10 5.2 UNIT ROOTS 16 5.3 GRANGER
CAUSALITY TESTS ON RAW RETURNS 17 5-4 MRA AND CAUSALITY TESTS ON
DIFFERENT SCALES 18 6. CONCLUSION 25 REFERENCES 26 ESSAY 3
INTERDEPENDENCIES AMONG ASIAN BOND MARKETS 1. INTRODUCTION 2 2. REGIONAL
BOND MARKET DEVELOPMENT 4 3. DATA AND DESCRIPTIVE STATISTICS 7 4. UNIT
ROOT AND COINTEGRATION TESTS 10 5. MODELING MEAN, VOLATILITY AND
CORRELATION 15 6. CONCLUSION 26 REFERENCES 28 ESSAY 4 STOCHASTIC
VOLATILITY AND TIME-VARYING COUNTRY RISK IN EMERGING MARKETS 1.
INTRODUCTION 2 2. TIME-VARYING COUNTRY RISK 4 2.1 CAPM AND BETA 4 2.2
THE CONDITIONAL CAPM 5 2.3 METHODS OF ESTIMATING CONDITIONAL BETA 5 3.
STOCHASTIC VOLATILITY 7 3.1 A NEW MULTIVARIATE STOCHASTIC VOLATILITY
MODEL 10 3.2 MCMC ESTIMATION METHODOLOGY 11 3.3 MODEL COMPARISON 13 4.
DATA AND EMPIRICAL RESULTS 14 4-1 DATA AND DESCRIPTIVE STATISTICS 15 4-2
EMPIRICAL RESULTS OF STOCHASTIC VOLATILITY MODEL 15 4-3 CONDITIONAL BETA
ESTIMATION 25 44 COMPARING MSV AND GARCH 28 5. CONCLUSION 30 REFERENCES
33 |
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| spelling | Johansson, Anders C. Verfasser aut Essays in empirical finance volatility, interdependencies, and risk in emerging markets Anders C. Johansson Göteborg Dep. of Economics, School of Business, Economics and Law, Göteborg Univ. 2007 Getr. Zählung graph. Darst. txt rdacontent n rdamedia nc rdacarrier Economic studies 165 Zugl.: Göteborg, Univ., Diss., 2007 Aktiemarknad - Asien sao Börsmarknad - Asien sao Länderrisiko (DE-588)4114347-4 gnd rswk-swf Internationaler Kapitalmarkt (DE-588)4027402-0 gnd rswk-swf Schwellenländer (DE-588)4053920-9 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)4113937-9 Hochschulschrift gnd-content Schwellenländer (DE-588)4053920-9 g Länderrisiko (DE-588)4114347-4 s Internationaler Kapitalmarkt (DE-588)4027402-0 s DE-604 Economic studies 165 (DE-604)BV017643044 165 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016257928&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Johansson, Anders C. Essays in empirical finance volatility, interdependencies, and risk in emerging markets Economic studies Aktiemarknad - Asien sao Börsmarknad - Asien sao Länderrisiko (DE-588)4114347-4 gnd Internationaler Kapitalmarkt (DE-588)4027402-0 gnd |
| subject_GND | (DE-588)4114347-4 (DE-588)4027402-0 (DE-588)4053920-9 (DE-588)4143413-4 (DE-588)4113937-9 |
| title | Essays in empirical finance volatility, interdependencies, and risk in emerging markets |
| title_auth | Essays in empirical finance volatility, interdependencies, and risk in emerging markets |
| title_exact_search | Essays in empirical finance volatility, interdependencies, and risk in emerging markets |
| title_exact_search_txtP | Essays in empirical finance volatility, interdependencies, and risk in emerging markets |
| title_full | Essays in empirical finance volatility, interdependencies, and risk in emerging markets Anders C. Johansson |
| title_fullStr | Essays in empirical finance volatility, interdependencies, and risk in emerging markets Anders C. Johansson |
| title_full_unstemmed | Essays in empirical finance volatility, interdependencies, and risk in emerging markets Anders C. Johansson |
| title_short | Essays in empirical finance |
| title_sort | essays in empirical finance volatility interdependencies and risk in emerging markets |
| title_sub | volatility, interdependencies, and risk in emerging markets |
| topic | Aktiemarknad - Asien sao Börsmarknad - Asien sao Länderrisiko (DE-588)4114347-4 gnd Internationaler Kapitalmarkt (DE-588)4027402-0 gnd |
| topic_facet | Aktiemarknad - Asien Börsmarknad - Asien Länderrisiko Internationaler Kapitalmarkt Schwellenländer Aufsatzsammlung Hochschulschrift |
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