In volatility we trust: political uncertainty and sovereign spreads in Italy and France, 2002-2019
Aubin, Adélie (A.A. 2024/2025) In volatility we trust: political uncertainty and sovereign spreads in Italy and France, 2002-2019. Tesi di Laurea in The economics of Europe, Luiss Guido Carli, relatore Veronica De Romanis, pp. 69. [Master's Degree Thesis]
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Abstract/Index
Literature review. Theoretical framework & contributions. Data. Construction of the dataset. Data analysis. Limitations. Models & methodology. Multivariate OLS. GARCH. GARCH–European focus. Results. OLS results. OLS diagnostics & limitations. GARCH results–Italy & France. Italy and France GARCH diagnostics & limitations. GARCH results–EU lens. EU-GARCH diagnostics and limitations. Discussions. Core comparative findings. Event heterogeneity: elections, protests and government changes. Evolving European policy context. Policy implications.
References
Bibliografia: pp. 58-69.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Policies and Governance in Europe, English language (LM-62) |
| Chair: | The economics of Europe |
| Thesis Supervisor: | De Romanis, Veronica |
| Thesis Co-Supervisor: | Thatcher, Mark |
| Academic Year: | 2024/2025 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 31 Mar 2026 09:20 |
| Last Modified: | 31 Mar 2026 12:21 |
| URI: | https://tesi.luiss.it/id/eprint/45329 |
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