Testing for volatility persistence change: the effect of the credit crisis on the Portuguese banks

Detalhes bibliográficos
Autor(a) principal: Stokes, Sofia Amaro Stattmiller de Saldanha e Albuquerque
Data de Publicação: 2013
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/9850
Resumo: A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
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spelling Testing for volatility persistence change: the effect of the credit crisis on the Portuguese banksCredit crisisBanking systemStochastic volatilityFractional integrationA Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsIn this work project I propose to study the effect of the 2008 credit crisis on the Portuguese banking system. I will analyze the volatility of stock-returns of seven representative banks in two distinct periods, before (2001-2007) and during (2008-2012) the credit crisis. The purpose is the analysis of possible persistence changes in the structure of conditional volatility after the shock caused by the spread of the crisis. I will test for nonstationarity within a stochastic volatility model, using modified unit root tests, and also in a fractional integration context, in order to detect possible changes in the memory parameter.NSBE - UNLRodrigues, Paulo Manuel MarquesRUNStokes, Sofia Amaro Stattmiller de Saldanha e Albuquerque2013-06-07T14:15:00Z2013-012013-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/9850enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:43:11Zoai:run.unl.pt:10362/9850Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:19:04.775846Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Testing for volatility persistence change: the effect of the credit crisis on the Portuguese banks
title Testing for volatility persistence change: the effect of the credit crisis on the Portuguese banks
spellingShingle Testing for volatility persistence change: the effect of the credit crisis on the Portuguese banks
Stokes, Sofia Amaro Stattmiller de Saldanha e Albuquerque
Credit crisis
Banking system
Stochastic volatility
Fractional integration
title_short Testing for volatility persistence change: the effect of the credit crisis on the Portuguese banks
title_full Testing for volatility persistence change: the effect of the credit crisis on the Portuguese banks
title_fullStr Testing for volatility persistence change: the effect of the credit crisis on the Portuguese banks
title_full_unstemmed Testing for volatility persistence change: the effect of the credit crisis on the Portuguese banks
title_sort Testing for volatility persistence change: the effect of the credit crisis on the Portuguese banks
author Stokes, Sofia Amaro Stattmiller de Saldanha e Albuquerque
author_facet Stokes, Sofia Amaro Stattmiller de Saldanha e Albuquerque
author_role author
dc.contributor.none.fl_str_mv Rodrigues, Paulo Manuel Marques
RUN
dc.contributor.author.fl_str_mv Stokes, Sofia Amaro Stattmiller de Saldanha e Albuquerque
dc.subject.por.fl_str_mv Credit crisis
Banking system
Stochastic volatility
Fractional integration
topic Credit crisis
Banking system
Stochastic volatility
Fractional integration
description A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
publishDate 2013
dc.date.none.fl_str_mv 2013-06-07T14:15:00Z
2013-01
2013-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/9850
url http://hdl.handle.net/10362/9850
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv NSBE - UNL
publisher.none.fl_str_mv NSBE - UNL
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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