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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Georgii Kotov
Modelling of Financial Markets Relations with Considering the Conditional Heteroscedasticity
Applied Economics
(Master’s programme)
2018
Currently financial markets are one of the most significant and crucial topics for both research or analysis in scientific sphere and ultimate consumer. Financial world is constantly changing, volume of transactions increases day after day. Due to this, topic of modelling of intercommunication among financial markets is of high demand. Many studies have already been held on above mentioned theme.

In current research data gathered since 04.01.2010 till 28.05.2018 is being analysed. Taken period includes great amount of economic events. In order to determine interconnection among financial markets the period has been divided on sub-periods.

Indexes of leading countries were taken into account to to make the research applicable for the world financial market. Based on chosen data VECM model was made for showing interconnection among indexes for long-term and short-term periods. Afterwards, applying DCC-GARCH model conditional correlation among researched indexes were calculated

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