Profiles
Vladimir Volkov
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Vladimir Volkov
Senior Lecturer - Finance/Economics
Tasmanian School of Business & Economics
Room 412 , Maths Building ground floor
+61 3 6226 7363 (phone)
View more on Mr Vladimir Volkov in WARP
Fields of Research
- Financial economics (380107)
- Macroeconomics (incl. monetary and fiscal theory) (380112)
- Financial econometrics (350203)
- Finance (350202)
- Time-series analysis (380205)
Research Objectives
- Savings and investments (150209)
- Macroeconomics (150299)
- Monetary policy (150208)
- Economic growth (150203)
- Financial services (110299)
Publications
Total publications
13
Journal Article
(13 outputs)| Year | Citation | Altmetrics |
|---|---|---|
| 2022 | Clements AE, Hurn AS, Lindsay KA, Volkov V, 'Estimating a non-parametric memory kernel for mutually-exciting point processes', Journal of Financial Econometrics pp. 1-32. ISSN 1479-8409 (2022) [Refereed Article] | |
| 2022 | Kangogo M, Dungey M, Volkov V, 'Changing vulnerability in Asia: contagion and spillovers', Empirical Economics ISSN 0377-7332 (2022) [Refereed Article] DOI: 10.1007/s00181-022-02322-5 [eCite] [Details] Citations: Scopus - 1 Co-authors: Kangogo M; Dungey M | |
| 2022 | Kangogo M, Volkov V, 'Detecting signed spillovers in global financial markets: a Markov-switching approach', International Review of Financial Analysis, 82 Article 102161. ISSN 1057-5219 (2022) [Refereed Article] DOI: 10.1016/j.irfa.2022.102161 [eCite] [Details] Co-authors: Kangogo M | |
| 2021 | Islam R, Volkov V, 'Contagion or interdependence? Comparing spillover indices', Empirical Economics, (02 December 2021) ISSN 0377-7332 (2021) [Refereed Article] DOI: 10.1007/s00181-021-02169-2 [eCite] [Details] Citations: Scopus - 1Web of Science - 3 Co-authors: Islam R | |
| 2020 | Dungey M, Islam R, Volkov V, 'Crisis transmission: Visualizing vulnerability', Pacific Basin Finance Journal, 59 Article 101255. ISSN 0927-538X (2020) [Refereed Article] DOI: 10.1016/j.pacfin.2019.101255 [eCite] [Details] Citations: Scopus - 2Web of Science - 2 Co-authors: Dungey M; Islam R | |
| 2019 | Chowdhury B, Dungey M, Kangogo M, Sayeed MA, Volkov V, 'The changing network of financial market linkages: the Asian experience', International Review of Financial Analysis, 64, (July 2019) pp. 71-92. ISSN 1057-5219 (2019) [Refereed Article] DOI: 10.1016/j.irfa.2019.05.003 [eCite] [Details] Citations: Scopus - 37Web of Science - 32 Co-authors: Chowdhury B; Dungey M; Kangogo M; Sayeed MA | |
| 2019 | Dungey M, Fry-Mckibbin F, Volkov V, 'Transmission of a resource boom: the case of Australia', Oxford Bulletin of Economics and Statistics pp. 1-23. ISSN 0305-9049 (2019) [Refereed Article] DOI: 10.1111/obes.12352 [eCite] [Details] Citations: Scopus - 5Web of Science - 7 Co-authors: Dungey M | |
| 2019 | Dungey M, Harvey J, Volkov V, 'The changing international network of sovereign debt and financial institutions', Journal of International Financial Markets, Institutions and Money, 60 pp. 149-168. ISSN 1042-4431 (2019) [Refereed Article] DOI: 10.1016/j.intfin.2018.12.013 [eCite] [Details] Citations: Scopus - 11Web of Science - 11 Co-authors: Dungey M; Harvey J | |
| 2019 | Dungey M, Hurn S, Shi S, Volkov V, 'Information flow in times of crisis: the case of the European banking and sovereign sectors', Econometrics, 7, (1) Article 5. ISSN 2225-1146 (2019) [Refereed Article] DOI: 10.3390/econometrics7010005 [eCite] [Details] Citations: Scopus - 3Web of Science - 3 Co-authors: Dungey M | |
| 2019 | Dungey M, Kangogo M, Volkov V, 'Changing vulnerability in Asia: Contagion and systemic risk', Asian Development Bank Economics Working Paper Series, 583 pp. 1-46. ISSN 2313-6537 (2019) [Refereed Article] DOI: 10.22617/WPS190180-2 [eCite] [Details] Co-authors: Dungey M; Kangogo M | |
| 2018 | Dungey 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] Citations: Scopus - 8Web of Science - 7 Co-authors: Dungey M | |
| 2016 | Clements 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] Citations: Scopus - 2Web of Science - 3 | |
| 2015 | Clements 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 - 30Web of Science - 27 |
Grants & Funding
Funding Summary
Number of grants
2
Total funding
$11,500
Projects
Assessing vulnerability in global banking networks (2020)$6,500
- Description
- : I intend to investigate shock transmission in the global banking network. I propose to extend the existing spillover measures by incorporating the Markov switching framework to investigate shock transmissions in the global banking network. These extensions allow us to distinguish different channels through which shocks propagate in the banking network. This project will apply these advanced methodologies to different series of data from banking institutions. These datasets include equity prices (opening, low, high and closing prices), number of trades, market value, total assets, total liabilities, credit default swap (CDS) spreads and bond spreads for the period 2000 to 2019. This project aims to use high frequency intra-day data to provide better understanding on the channels through which shocks propagate at the smallest possible time interval in each trading day. This will provide a new visualisation of the banking network with aim of providing policy recommendations to create a stable banking network.
- Funding
- Accounting & Finance Association of Australia and New Zealand Ltd ($6,500)
- Scheme
- Mentoring Developing Researchers
- Administered By
- University of Tasmania
- Research Team
- Volkov V
- Year
- 2020
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
- Mentoring Developing Researchers
- Administered By
- University of Tasmania
- Research Team
- Volkov V; Dungey MH
- Year
- 2017
Research Supervision
Current
4
Completed
6
Current
| Degree | Title | Commenced |
|---|---|---|
| PhD | Essays on Short Selling Bans and Sustainable Finance | 2018 |
| PhD | Econometric Analysis of the Nexus between Fisheries and Human Behaviours | 2020 |
| PhD | High-Frequency Traders and their Impact on Financial Markets | 2021 |
| PhD | Interconnection between Financial Markets, Corporations and Households | 2021 |
Completed
| Degree | Title | Completed |
|---|---|---|
| PhD | Essays on Geopolitical and Systemic Risks Candidate: Adnan Habib | 2023 |
| PhD | Understanding Systematic Risk: An old question with new answers Candidate: Sana Ejaz | 2023 |
| PhD | Essays on Modern Finance and Financial Networks Candidate: Hamidreza Esmali Falak | 2022 |
| PhD | Systemic Risk Transmission: Visualizing vulnerability Candidate: Raisul Islam | 2020 |
| PhD | Vulnerability in Global Financial Networks Candidate: Moses Kipkemei Kangogo | 2020 |
| PhD | Essays on Jump Risk in The Indian Financial Market Candidate: Mohammad Abu Sayeed | 2017 |