Date of Award

12-15-2006

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.

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.

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