A carregar...
Publicação
Testing for volatility persistence change: the effect of the credit crisis on the Portuguese banks
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 714.87 KB | Adobe PDF |
Orientador(es)
Resumo(s)
In 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.
Descrição
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
Palavras-chave
Credit crisis Banking system Stochastic volatility Fractional integration