Associate professor Hossein Asgharian
PhD Student Marcus Nossman
During the last two decades the global financial system has become increasingly sensitive to worldwide shocks. The project analyzes the spillover of the
risk among the international equity markets. The total price variation can be decomposed to a smooth or continuous part that is caused by normal news and
the discontinuous or jump component induced by reaction to extreme news. Separating these components is important for analyzing the benefits of global
diversification in distress periods. We use a stochastic volatility model while the extreme returns are captured by assuming that returns have a NIG
(Normal Inverse Gaussian) distribution. We use a Markov Chain Monte Carlo (MCMC) method to estimate the model.