Essays on Financial Markets

Essays on Monetary Policy Interactions with Fiscal Policy and Financial Markets

Essays on Banking and Corporate Finance in Developing Countries

This dissertation consists of three essays that examine banking and corporate finance in developing countries. Specifically, it explores the theoretical and empirical implications of open capital markets, foreign bank entry, and the role of bond markets during banking crises. Chapter 1 analyzes the impact of opening capital markets using a theoretical model that incorporates both foreign and do...

Title of dissertation : THREE ESSAYS ON VOLATILITY ISSUES IN FINANCIAL MARKETS

Title of dissertation: THREE ESSAYS ON VOLATILITY ISSUES IN FINANCIAL MARKETS George Panayotov, Doctor of Philosophy, 2005 Dissertation directed by: Professor Dilip Madan Department of Finance Studies of asset returns time-series provide strong evidence that at least two stochastic factors drive volatility. The …rst essay investigates whether two volatility risks are priced in the stock option ...

Essays on Financial Risk Modeling and Forecasting

Essays on Financial Risk Modeling and Forecasting

Dynamic Correlation between Oil Markets and Financial Markets and Oil and Petrochemical Industries in Iran

In this paper we study the effect of volatility in Brent oil prices on the important indices of financial markets in Iran, as well as the return on gold, from 2008 to 2018 using the Multivariate Exponential GARCH Model (MVEGARCH). We also use the ADCC-FIGARCH model to examine the asymmetric dynamic conditional correlation between Brent oil prices and financial markets in Iran. The results of th...