Objective
Research objectives and content
There is an obvious necessity for a correct specification and modelling of volatility for decision and policy making both in the macro and microeconomic levels (i.e. option pricing, risk hedging, asset allocation, market liquidity, income, consumption, savings, monetary policy and real state). We understand that the methodological and empirical research done on the characterization of volatility measures in the financial markets clearly lack an European content. In this direction, this proposal tries to fill in an empty space in the academic literature.
The extent of international financial integration has received much attention in recent years. However, its empirical implications for the functioning of individual stock markets has received far less attention. In this research project we will tackle the short and long term relations among security price volatilities across the major and smaller European stock and options markets. We are interested to consider the short and long term relationships among financial price volatilities across the major European financial markets (London, Paris and Frankfurt) and how these relationships can affect the development of all those so-called "satellite" markets bearing in mind the proximity of a full European financial integration. The proposal is then clearly divided in two phases: (1) the study and modelling of different volatility measures for specific European stock and options markets as a previous step towards (2) the analysis of volatility transmission effects among them.
Keywords: Volatility Modelling, European Financial Integration, Volatility "Contagion" Effects, International Financial Integration.
Training content (objective, benefit and expected impact)
The host institution has an outstanding record in the empirical analysis of financial markets with an special focus on interactions and transmission effects between capital markets. Being located in a small financial center has caused that a large part of the financial research done deals with the potential influences of bigger financial centers on markets considered "satellites". This characteristic has influenced the research of the work converting them in one of the leading groups in this area. Besides, they have developed through years of research large databases from different European Stock and Option markets that will facilitate in a great extent the research in this area. The Department of Finance has also built an important academic network with links with corporate and government that will help in the future dissemination of research results. In summary, the research and educational record is excellent with state of the art research and information technology resources. There is also the intention by the host group to create a larger entity (a research network) that will comprise this and future European research in the area in the next coming years.
Fields of science (EuroSciVoc)
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
- natural sciences computer and information sciences databases
- engineering and technology mechanical engineering vehicle engineering aerospace engineering satellite technology
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Programme(s)
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Topic(s)
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Call for proposal
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Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
Funding Scheme
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Coordinator
00101 Helsinki
Finland
The total costs incurred by this organisation to participate in the project, including direct and indirect costs. This amount is a subset of the overall project budget.