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

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dc.contributor.advisor Lucchetta, Marcella it_IT Balzan, Giulia <1988> it_IT 2013-10-09 it_IT 2013-12-03T12:20:48Z 2015-01-17T09:36:16Z 2013-10-23 it_IT
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 Economia e finanza it_IT Laurea magistrale it_IT 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 it_IT it_IT
dc.provenance.upload Giulia Balzan (, 2013-10-09 it_IT
dc.provenance.plagiarycheck Marcella Lucchetta (, 2013-10-21 it_IT

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