Bookcover of Impacts of Macroeconomic Factors on stock returns and volatility
Booktitle:

Impacts of Macroeconomic Factors on stock returns and volatility

Modeling Volatility Transmission and Time Varying Correlation

LAP LAMBERT Academic Publishing (2014-10-13 )

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ISBN-13:

978-3-659-55744-6

ISBN-10:
3659557447
EAN:
9783659557446
Book language:
English
Blurb/Shorttext:
The robustness of this research book is evident in its contribution to knowledge. It has shown that the variance equation can contain more than two exogenous variables without violating the non-negativity condition of the conditional variance under univariate GARCH specification and the use of univariate GARCH (p, q) model in examining volatility spillover effect. It has also studied time varying correlation using the diagonal BEKK model with OLS method to test the effect of the time trend on the correlation and the CCC-Model as a ‘check model’. The research has empirically shown that the structure of correlation between stock returns and interest rate is time variant while relative to exchange rate and inflation is time invariant. The research empirical results have also shown that the correlation of stock returns volatility relative to the volatility of exchange rate and inflation rate vary over time and relative to interest rate volatility is time invariant. The dimensions of this book has made it be a reference book to many researchers and has also breached the gap between past research and future research.
Publishing house:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
By (author) :
Chibuzo Amaefula
Number of pages:
256
Published on:
2014-10-13
Stock:
Available
Category:
Theory of probability, stochastics, mathematical statistics
Price:
76.90 €
Keywords:
Volatility, Multivariate GARCH, Time varying correlation, Garch

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