ESRC Fellowship - Detecting Structural Changes in Financial Market Volatility Dynamics - The Impact of Financial Liberalisation

Project: Non-funded ProjectResearch Projects



The motivation for this work is based on two facts. First, the detection of structural changes in volatility dynamics is a matter of great interest to both academics and practitioners, since it is directly linked with issues such as the Value-at-Risk and portfolio management while the related literature though continuously growing is still very limited. Second, the topic of financial liberalisation has attracted the attention of a major part of the research community since it is not clear whether the economic gains exceed the losses for the country that engages in such reforms (especially, the effects of financial liberalisation on stock market volatility have been the subject of controversy ever since emerging market economies began liberalising their financial markets in the 1980s and early 1990s).

The purpose of this project is consequently twofold. First, to disseminate the simulation findings of the PhD thesis on the detection of structural changes in volatility dynamics. Second, to use these findings in order to develop a framework within which the impact of financial liberalisation
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Employable Graduates; Exploitable Research

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