Financial Integration In A DCC-GARCH Approach: Implications On The Crisis.

DSpace/Manakin Repository

Show simple item record

dc.contributor.advisor Lucchetta, Marcella it_IT
dc.contributor.author Balzan, Giulia <1988> it_IT
dc.date.accessioned 2013-10-09 it_IT
dc.date.accessioned 2013-12-03T12:20:48Z
dc.date.available 2015-01-17T09:36:16Z
dc.date.issued 2013-10-23 it_IT
dc.identifier.uri http://hdl.handle.net/10579/3904
dc.description.abstract The financial crisis that has plagued the world since 2007 has significantly influenced the modern economic world. This happened because of the financial integration and globalization between the various countries and economies. As a consequence, understanding this phenomenon is very important for the whole comprehension of the economic world and the causes that led to such a crisis.The aim of this work is to show through an econometric model how the financial integration is connected with the contagion that has spread since Lehman Brothers went bankrupt and the house price bubble burst. More specifically, there are used the GARCH model and one of his specification: the DCC-GARCH model. Appling these models to some variables, such as bonds, cash index, utilities index, industrials index and corporate index, it is examined how they are connected with each other, and demonstrated, in accordance with the theoretical implications of financial integration, that they move with the same trend. The results are shown here, and it is possible to see that the variables move together and have a downfall during the crisis. This is because the financial integration moves, in each country and sector considered in this thesis, with the same trend. it_IT
dc.language.iso it it_IT
dc.publisher Università Ca' Foscari Venezia it_IT
dc.rights © Giulia Balzan, 2013 it_IT
dc.title Financial Integration In A DCC-GARCH Approach: Implications On The Crisis. it_IT
dc.title.alternative it_IT
dc.type Bachelor Thesis it_IT
dc.degree.name Economia e finanza it_IT
dc.degree.level Laurea magistrale it_IT
dc.degree.grantor Dipartimento di Economia it_IT
dc.description.academicyear 2012/2013, sessione autunnale it_IT
dc.rights.accessrights openAccess it_IT
dc.thesis.matricno 816433 it_IT
dc.subject.miur SECS-P/05 ECONOMETRIA it_IT
dc.description.note it_IT
dc.degree.discipline it_IT
dc.contributor.co-advisor it_IT
dc.provenance.upload Giulia Balzan (816433@stud.unive.it), 2013-10-09 it_IT
dc.provenance.plagiarycheck Marcella Lucchetta (lucchett@unive.it), 2013-10-21 it_IT


Files in this item

This item appears in the following Collection(s)

Show simple item record