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- W423045688 abstract "In this thesis, we firstly focus on modeling financial market linkages to verify the degree of volatility spillovers, comovement, interdependence and contagion/flight to quality during financial crises. Our estimations require precise modeling of conditional variances-covariances and significant changes in dynamic conditional correlations between indices. As a result, we use some extensions of multivariate GARCH models, specific tests of contagion and Markov regime-switching models. The thesis results reveal clear evidence of volatility spillovers, coexistence of contagion and flight to quality, and the role of hedge funds in these phenomena during the ongoing financial crisis. This thesis further highlights the asymmetry effects of positive and negative shocks on volatility and correlations of hedge fund strategy returns, and explores the determinant factors of these correlations" @default.
- W423045688 created "2016-06-24" @default.
- W423045688 creator A5078469487 @default.
- W423045688 date "2012-01-01" @default.
- W423045688 modified "2023-09-23" @default.
- W423045688 title "Financial contagion and interactions between financial markets during global crises" @default.
- W423045688 hasPublicationYear "2012" @default.
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