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Banking Dissertations
P/F/447. Dissertation. Volatility spillover within EU banking sector
- WORDS:
- 8500
- DATE:
- 2005
- PRICE:
- 89.99 GBP
The dissertation examines the dynamics of stock indices returns in the banking sector of the EU member states using a Markov Regime-Switching GARCH model. Literature is reviewed on the theory of volatility analysis describing advantages and disadvantages of various models and focusing on role for regime-switching in modelling volatility. Conclusions are made about the volatility spillover within EU countries.
KEYWORDS: Dissertation, GARCH, regime-switching, spillover, volatility, EU banking,
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