Home > Search Results: keywords:"přenosy volatility"
Search:
Search Tips :: Advanced Search
Search collections:
Sort by: Display results: Output format:
National Repository of Grey Literature 1 records found  Search took 0.00 seconds. 
Volatility transmission between oil prices and European stock market
 Nechvátalová, Lenka ; Kočenda, Evžen (advisor) ; Kuc, Matěj (referee)
This thesis examines transmissions of returns and volatility between crude oil and stock indices from different sectors of economy. We will be using daily Brent crude futures and Euro Stoxx sector indices from 1992 to 2017. For the analysis we employ bivariate VAR BEKK-GARCH model to simultaneously estimate the conditional mean and variance equations, to investigate the causal relationships between the variables. In addition we use the results of our estimation to calculate optimal portfolio weights and hedge ratios. The results show Granger causality from oil to most of the individual sectors, reverse relationship exists in two cases. We found unidirectional volatility spillovers from stock sectors to oil in majority of cases and in 4 sectors the spillover was bidirectional. Keywords volatility transmissions, VAR GARCH model, crude oil prices, stock sector indices 1
Detailed record

Interested in being notified about new results for this query?
Subscribe to the RSS feed.
Digital Repository :: Search :: Submit :: Personalize :: Help
Powered by Invenio v1.1.2
Maintained by admin.invenio@techlib.cz
This site is also available in the following languages:
Česky  English