Derivatives market volatility under trade policy uncertainty: event-study and conditional volatility evidence from the US–China trade war using FXI and SMH options
Trombetta, Samuele (A.A. 2024/2025) Derivatives market volatility under trade policy uncertainty: event-study and conditional volatility evidence from the US–China trade war using FXI and SMH options. Tesi di Laurea in Financial economics, Luiss Guido Carli, relatore Nicola Borri, pp. 64. [Master's Degree Thesis]
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Abstract/Index
Trade policy uncertainty. Literature review and theoretical framework. Volatility and risk pricing in financial markets. Policy uncertainty and financial market dynamics. Empirical modeling of volatility and policy shocks. Data and methodology. ETFs: FXI and SMH. Data sources. Econometric methodology. Empirical results. GARCH outputs. Panel regression outputs.
References
Bibliografia: pp. 57-59.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Financial economics |
| Thesis Supervisor: | Borri, Nicola |
| Thesis Co-Supervisor: | Santucci de Magistris, Paolo |
| Academic Year: | 2024/2025 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 16 Jun 2026 12:27 |
| Last Modified: | 16 Jun 2026 12:37 |
| URI: | https://tesi.luiss.it/id/eprint/46165 |
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