Spillovers and jumps in global markets: a comparative analysis

• Ano de defesa: 2018
• Autor(a) principal: Moura, Rodolfo Chiabai
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Instituição de defesa: Biblioteca Digitais de Teses e Dissertações da USP
• Palavras-chave em Português: Bayesian estimation; Common factor; Estimação Bayesiana; Fator comum; Jumps; Multivariate stochastic volatility; Saltos; Volatilidade estocástica multivariada
• Link de acesso: http://www.teses.usp.br/teses/disponiveis/96/96131/tde-02082018-160351/

We analyze the relation between volatility spillovers and jumps in financial markets. For this, we compared the volatility spillover index proposed by Diebold and Yilmaz (2009) with a global volatility component, estimated through a multivariate stochastic volatility model with jumps in the mean and in the conditional volatility. This model allows a direct dating of events that alter the global volatility structure, based on a permanent/transitory decomposition in the structure of returns and volatilities, and also the estimation of market risk measures. We conclude that the multivariate stochastic volatility model solves some limitations in the spillover index and can be a useful tool in measuring and managing risk in global financial markets.