Die Interdependenz von Finanzmärkten - Ökonometrische Modellierung und Schätzung

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dc.contributor.advisor Ronning, Gerd de_DE
dc.contributor.author Baur, Dirk de_DE
dc.date.accessioned 2004-06-29 de_DE
dc.date.accessioned 2014-03-18T10:01:54Z
dc.date.available 2004-06-29 de_DE
dc.date.available 2014-03-18T10:01:54Z
dc.date.issued 2003 de_DE
dc.identifier.other 112442285 de_DE
dc.identifier.uri http://nbn-resolving.de/urn:nbn:de:bsz:21-opus-12428 de_DE
dc.identifier.uri http://hdl.handle.net/10900/47305
dc.description.abstract This thesis analyses symmetric and asymmetric interdependencies of financial markets through time for returns and variances. The work contributes to the literature in several areas: Symmetric interdependencies (correlations) are examined in the first part where a new bivariate correlation estimator is introduced. This estimator is shown to be more flexible than existing multivariate GARCH models and thus not prone to potential misspecifications. Furthermore, merits and shortcomings of existing multivariate GARCH models are discussed and evaluated in a simulation study. Differences of daily and monthly returns regarding the persistence and the asymmetry of correlations are additionally analysed. The second part studies asymmetric interdependencies (spillovers) and proposes a classification. An adequate estimation framework to investigate spillovers conditional on time and conditional on the values of the dependent variable is presented and it is shown under which conditions spurious interdependencies can occur. Finally, the existence of contagion in financial markets is examined. en
dc.description.abstract This thesis analyses symmetric and asymmetric interdependencies of financial markets through time for returns and variances. The work contributes to the literature in several areas: Symmetric interdependencies (correlations) are examined in the first part where a new bivariate correlation estimator is introduced. This estimator is shown to be more flexible than existing multivariate GARCH models and thus not prone to potential misspecifications. Furthermore, merits and shortcomings of existing multivariate GARCH models are discussed and evaluated in a simulation study. Differences of daily and monthly returns regarding the persistence and the asymmetry of correlations are additionally analysed. The second part studies asymmetric interdependencies (spillovers) and proposes a classification. An adequate estimation framework to investigate spillovers conditional on time and conditional on the values of the dependent variable is presented and it is shown under which conditions spurious interdependencies can occur. Finally, the existence of contagion in financial markets is examined. en
dc.language.iso en de_DE
dc.publisher Universität Tübingen de_DE
dc.rights ubt-podok de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_mit_pod.php?la=de de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_mit_pod.php?la=en en
dc.subject.classification Interdependenz , Korrelation , Spill-over-Effekt , GARCH-Prozess , Infektion de_DE
dc.subject.ddc 330 de_DE
dc.subject.other interdependence , time-varying correlations , mean spillover , volatility spillover , contagion de_DE
dc.subject.other interdependence , time-varying correlations , mean spillover , volatility spillover , contagion en
dc.title Die Interdependenz von Finanzmärkten - Ökonometrische Modellierung und Schätzung de_DE
dc.title The interdependence of financial markets - econometric modeling and estimation de_DE
dc.type Dissertation de_DE
dcterms.dateAccepted 2003-08-26 de_DE
utue.publikation.fachbereich Wirtschaftswissenschaften de_DE
utue.publikation.fakultaet 6 Wirtschafts- und Sozialwissenschaftliche Fakultät de_DE
dcterms.DCMIType Text de_DE
utue.publikation.typ doctoralThesis de_DE
utue.opus.id 1242 de_DE
thesis.grantor 04 Wirtschaftswissenschaftliche Fakultät de_DE

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