Profiles

Vladimir Volkov

UTAS Home Dr Vladimir Volkov
Anon

Vladimir Volkov

Postdoctoral Researcher in Financial Econometrics
Tasmanian School of Business & Economics

Room 217, Centenary Building, Sandy Bay Campus

+61 3 6226 7363 (phone)

Vladimir.Volkov@utas.edu.au

View more on Mr Vladimir Volkov in WARP

Fields of Research

  • Macroeconomics (incl. Monetary and Fiscal Theory) (140212)
  • Financial Econometrics (150202)

Research Objectives

  • Monetary Policy (910108)
  • Savings and Investments (910109)
  • Economic Growth (910103)

Publications

Total publications

3

Journal Article

(3 outputs)
YearCitationAltmetrics
2018Dungey M, Volkov V, 'R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks', Economics Letters, 162 pp. 81-85. ISSN 0165-1765 (2018) [Refereed Article]

DOI: 10.1016/j.econlet.2017.11.007 [eCite] [Details]

Co-authors: Dungey M

Tweet

2016Clements AE, Hurn AS, Volkov V, 'Common trends in global volatility', Journal of International Money and Finance, 67 pp. 194-214. ISSN 0261-5606 (2016) [Refereed Article]

DOI: 10.1016/j.jimonfin.2016.05.001 [eCite] [Details]

Tweet

2015Clements AE, Hurn AS, Volkov V, 'Volatility transmission in global financial markets', Journal of Empirical Finance, 32 pp. 3-18. ISSN 0927-5398 (2015) [Refereed Article]

DOI: 10.1016/j.jempfin.2014.12.002 [eCite] [Details]

Citations: Scopus - 7Web of Science - 8

Tweet

Grants & Funding

Funding Summary

Number of grants

1

Total funding

$5,000

Projects

Measuring interconnectedness of the global equity market from historical decompositions (2017)$5,000
Description
We propose a novel approach to extend the spillover index of Diebold and Yilmaz (2009, 2014) to one calculated from historical decompositions. The extension allows for signing of the contribution of different spillovers to target markets, and thus whether they are associated with "good" or "bad" news in the market. This project will develop applications for this new methodology including for a set of global daily equity market indices for the period 1996-2016. This will lead to a new mapping which includes not only the direction of spillovers between equity markets, but also the signed impact of those spillovers.
Funding
Accounting & Finance Association of Australia and New Zealand Ltd ($5,000)
Scheme
Grant
Administered By
University of Tasmania
Research Team
Volkov V; Dungey MH
Year
2017

Research Supervision

Current

1

Completed

1

Current

DegreeTitleCommenced
PhDIdentifying Causal Relationships Between Sectors in Different Financial Networks2017

Completed

DegreeTitleCompleted
PhDEssays on Jump Risk in The Indian Financial Market
Candidate: Mohammad Abu Sayeed
2017