Date of Award
12-2006
Degree Type
Dissertation
Degree Name
Ph.D.
Degree Program
Financial Economics
Department
Economics and Finance
Major Professor
Naka, Atsuyuki
Second Advisor
Daal, Elton
Third Advisor
Varela, Oscar
Fourth Advisor
Wei, Peihwang
Fifth Advisor
Whitney, Gerald
Abstract
In this manuscript, I investigate the time-varying volatilities and co-volatilities in the fixed income and equities market using jump augmented stochastic volatility models. The results highlights that the fact that jumps are inherent in financial markets and have implications for the dynamics of volatilities and co-volatilities of financial assets over time. Jump augmented models provide a superior description of instantaneous market conditions and a promising avenue for future research in areas of asset pricing, portfolio selection, and risk management.
Recommended Citation
Odusami, Babatunde Olatunji, "A Study of Conditional Volatilities in Financial Markets using Generalized Conditional Heteroscedasticity Jump Models" (2006). University of New Orleans Theses and Dissertations. 1049.
https://scholarworks.uno.edu/td/1049
Rights
The University of New Orleans and its agents retain the non-exclusive license to archive and make accessible this dissertation or thesis in whole or in part in all forms of media, now or hereafter known. The author retains all other ownership rights to the copyright of the thesis or dissertation.