CEU Electronic Theses and Dissertations, 2010
| Author | Taghiyev, Anar Nabi |
|---|---|
| Title | Scandinavian Stock Exchanges: volatility persistence and propagation. The case of Denmark and Sweden. |
| Summary | This study examines the linkages in stock return volatility between Scandinavian stock exchanges in Stockholm and Copenhagen and those in UK and US. I use three-variable BEKK Multivariate GARCH model as formulated by Engle and Kroner in 1993. The main findings are that there are direct bilateral linkages between Global Financial centers and Scandinavian Markets. |
| Supervisor | Medvegyev Peter |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2010/tagiyev_anar.pdf |
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