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Full-Text Articles in International Economics
Essays On The Transmission Of Risk And Volatility Across International Financial Markets, Evan Warshaw
Essays On The Transmission Of Risk And Volatility Across International Financial Markets, Evan Warshaw
Dissertations, Theses, and Capstone Projects
This dissertation consists of three distinct but related chapters studying the behavior of international financial markets. Chapter 1 explores volatility spillovers between European equity and foreign exchange markets from 2009 until 2016. In contrast to traditional empirical methods, this study uses realized volatility estimates to analyze causal linkages across the frequency domain. Volatility spillovers are tested using the CAC 40, DAX, and FTSE 100 equity indices and the USD/GBP, USD/EUR, and GBP/EUR exchange rates. Results show that volatility spillovers are bidirectional and asymmetric across the frequency domain. Daily volatility spillover from equity to foreign exchange markets is significant at high, …