Aftab, Hira (2019) Modelling and forecasting financial asset return and volatility spillovers: theory and applications. PhD thesis, James Cook University.

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Abstract

Hira Aftab studied the stochastic behaviour of financial asset returns and, the relationship between returns volatility and expected returns. She found evidence of asymmetric co-volatility spillovers, significant return shocks on volatility, Granger causality, and significant risk premia with reservations. These findings are useful for agents' asset allocation and diversification strategies.

Item ID:	64976
Item Type:	Thesis (PhD)
Keywords:	financial asset returns, volatilities of returns, expected returns, stock returns, markets, asset markets volatility
Copyright Information:	Copyright © 2019 Hira Aftab.
Date Deposited:	13 Nov 2020 05:27
FoR Codes:	15 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management @ 34% 15 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 1502 Banking, Finance and Investment > 150201 Finance @ 33% 14 ECONOMICS > 1402 Applied Economics > 140207 Financial Economics @ 33%
SEO Codes:	91 ECONOMIC FRAMEWORK > 9102 Microeconomics > 910206 Market-Based Mechanisms @ 50% 91 ECONOMIC FRAMEWORK > 9101 Macroeconomics > 910109 Savings and Investments @ 50%
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