Search button

ISEG 2S SEMINARS | Modelling time-varying volatility in financial returns: evidence from the bond markets

26 Nov from 11:30 to 11:31
ISEG | Quelhas 6 | ANF 3



MONDAY, NOVEMBER 26TH, 11H30h




Presentation:




Modelling time-varying volatility in financial returns:

evidence from the bond markets




Jointly with CEMAPRE





Presenter:





Cristina Amado


University of Minho, Department of Economics


Abstract


The unusually uncertainphase in the global …nancial markets has inspired many researchers to study the e¤ects of ambiguity (or Knightian uncertainty) on the decisions made by investors and its implications in the capital markets.

We contributeto this literature by using the time-varying GARCH model of Amado and Teräsvirta (2011) to analyse whether the increasing uncertainty has caused excess volatility in the US and European government bond markets. In our model, volatility is multiplicatively decomposed into a stable conditional variance and time-varying unconditional volatility components. We suggest that the time-varying risk is captured by the conditional volatility parameters, whereas the time-variation in the unconditional volatility is driven by the level of uncertainty in the markets.

  
 
MEETING THE SPEAKERS



The speakers will be at ISEG during the afternoon after the talk, Professors and researchers interested in meeting the speaker should check the available meeting slots with the organizing team

.
  
 
MAILING LIST


To join the ISEG 2S Seminar Mailing List and receive regular information contact
Filomena Ferreira.

p.s. If you come to the seminars by car, assure your entrance to the park.