A Study of Conditional Volatilities in Financial Markets using Generalized Conditional Heteroscedasticity Jump Models

A Study of Conditional Volatilities in Financial Markets using Generalized Conditional Heteroscedasticity Jump Models

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 v...

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Main Author: Odusami, Babatunde Olatunji
Format: Others
Published: ScholarWorks@UNO 2006
Online Access:http://scholarworks.uno.edu/td/1049
http://scholarworks.uno.edu/cgi/viewcontent.cgi?article=2030&context=td
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spelling ndltd-uno.edu-oai-scholarworks.uno.edu-td-20302016-10-21T17:05:02Z A Study of Conditional Volatilities in Financial Markets using Generalized Conditional Heteroscedasticity Jump Models Odusami, Babatunde Olatunji 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. 2006-12-15T08:00:00Z text application/pdf http://scholarworks.uno.edu/td/1049 http://scholarworks.uno.edu/cgi/viewcontent.cgi?article=2030&context=td University of New Orleans Theses and Dissertations ScholarWorks@UNO
collection NDLTD
format Others
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description 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.
author Odusami, Babatunde Olatunji
spellingShingle Odusami, Babatunde Olatunji
A Study of Conditional Volatilities in Financial Markets using Generalized Conditional Heteroscedasticity Jump Models
author_facet Odusami, Babatunde Olatunji
author_sort Odusami, Babatunde Olatunji
title A Study of Conditional Volatilities in Financial Markets using Generalized Conditional Heteroscedasticity Jump Models
title_short A Study of Conditional Volatilities in Financial Markets using Generalized Conditional Heteroscedasticity Jump Models
title_full A Study of Conditional Volatilities in Financial Markets using Generalized Conditional Heteroscedasticity Jump Models
title_fullStr A Study of Conditional Volatilities in Financial Markets using Generalized Conditional Heteroscedasticity Jump Models
title_full_unstemmed A Study of Conditional Volatilities in Financial Markets using Generalized Conditional Heteroscedasticity Jump Models
title_sort study of conditional volatilities in financial markets using generalized conditional heteroscedasticity jump models
publisher ScholarWorks@UNO
publishDate 2006
url http://scholarworks.uno.edu/td/1049
http://scholarworks.uno.edu/cgi/viewcontent.cgi?article=2030&context=td
work_keys_str_mv AT odusamibabatundeolatunji astudyofconditionalvolatilitiesinfinancialmarketsusinggeneralizedconditionalheteroscedasticityjumpmodels
AT odusamibabatundeolatunji studyofconditionalvolatilitiesinfinancialmarketsusinggeneralizedconditionalheteroscedasticityjumpmodels
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