Social and Behavioral Sciences Commons^™

Volatility Modelling With Applications To Equity And Foreign Exchange Markets, Sergii Pypko

Electronic Thesis and Dissertation Repository

My thesis consists of three chapters describing volatility forecasting during periods of financial booms and busts, the economic and statistical benefits of flexible data generating process of index returns, and multivariate model of exchange rate returns and their options. In the first chapter, I propose a non-linear threshold model for realized volatility of S\&P 500 index, allowing us to obtain a more accurate volatility forecast, especially during periods of financial crisis. The changes in volatility regimes are driven by negative past returns, where the threshold equals approximately $-$1\%. This finding remains robust to different functional forms of volatility and different …

Macroconstants Of Development: A New Benchmark For The Strategic Development Of Advanced Countries And Firms, Andrey Bystrov, Vyacheslav Yusim, Tamilla Curtis

Dr. Tamilla Curtis

This research proposed a new indicator of countries’ development called “macroconstants of development”. The literature review indicates that the concept of "macroconstants of development" is not used at the moment in neither the theory nor the practice of industrial policy. Research of longitudinal data of total GDP, GDP per capita and their derivatives for most countries of the world was conducted. An analysis of statistical information has been done by employing econometric analyses.

Based on the analysis of the statistical data, which characterizes the development of large, technologically advanced countries in ordinary conditions, it was identified that the average acceleration …

Macroconstants Of Development: A New Benchmark For The Strategic Development Of Advanced Countries And Firms, Andrey V. Bystrov, Vyacheslav N. Yusim, Tamilla Curtis

Publications

This research proposed a new indicator of countries’ development called “macroconstants of development”. The literature review indicates that the concept of "macroconstants of development" is not used at the moment in neither the theory nor the practice of industrial policy. Research of longitudinal data of total GDP, GDP per capita and their derivatives for most countries of the world was conducted. An analysis of statistical information has been done by employing econometric analyses.

Based on the analysis of the statistical data, which characterizes the development of large, technologically advanced countries in ordinary conditions, it was identified that the average acceleration …