Date of Award


Degree Type


Degree Name


Degree Program

Financial Economics


Economics and Finance

Major Professor

Naka, Atsuyuki

Second Advisor

Daal, Elton

Third Advisor

Varela, Oscar

Fourth Advisor

Wei, Peihwang

Fifth Advisor

Whitney, Gerald


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.


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