Profiles

Vladimir Volkov

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Vladimir Volkov

Academic
Tasmanian School of Business & Economics

Room 157 , Maths Builing ground floor

+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) (380112)
  • Financial econometrics (350203)
  • Financial economics (380107)
  • Time-series analysis (380205)

Research Objectives

  • Macroeconomics (150299)
  • Savings and investments (150209)
  • Monetary policy (150208)
  • Economic growth (150203)

Publications

Total publications

8

Journal Article

(8 outputs)
YearCitationAltmetrics
2020Dungey M, Islam R, Volkov V, 'Crisis transmission: Visualizing vulnerability', Pacific Basin Finance Journal, 59 pp. 1-22. ISSN 0927-538X (2020) [Refereed Article]

DOI: 10.1016/j.pacfin.2019.101255 [eCite] [Details]

Citations: Scopus - 1

Co-authors: Islam R

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2019Chowdhury 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 - 11Web of Science - 10

Co-authors: Chowdhury B; Dungey M; Kangogo M; Sayeed MA

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2019Dungey 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 1468-0084 (2019) [Refereed Article]

DOI: 10.1111/obes.12352 [eCite] [Details]

Citations: Scopus - 1Web of Science - 5

Co-authors: Dungey M

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2019Dungey 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 - 3Web of Science - 3

Co-authors: Dungey M; Harvey J

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2019Dungey 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 - 2Web of Science - 2

Co-authors: Dungey M

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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]

Citations: Scopus - 7Web of Science - 6

Co-authors: Dungey M

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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]

Citations: Web of Science - 1

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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 - 20Web of Science - 21

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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
Grant
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
Grant
Administered By
University of Tasmania
Research Team
Volkov V; Dungey MH
Year
2017

Research Supervision

Current

6

Completed

3

Current

DegreeTitleCommenced
PhDUncovered Short-Selling: Either good or bad around the world2018
PhDModelling Beta Across Different Frequencies2018
PhDDoes Capital Structure Matter to Non-Profit Institutions?2019
PhDAssessment of Impact of Climate Change on Financial Market Stability: an Australian context2020
PhDManagerial Overconfidence, Asymmetric Information and Capital Structure Decisions of Firms Listed on Securities Exchanges around the World2021
PhDHigh-Frequency Traders and their Impact on Financial Markets2021

Completed

DegreeTitleCompleted
PhDSystemic Risk Transmission: Visualizing vulnerability
Candidate: Raisul Islam
2020
PhDVulnerability in Global Financial Networks
Candidate: Moses Kipkemei Kangogo
2020
PhDEssays on Jump Risk in The Indian Financial Market
Candidate: Mohammad Abu Sayeed
2017