Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 67 for “"Asset Returns"”.
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Textual analysis, information diffusion, and asset returns
… methods, and then compare how it predicts returns during overnight and intraday calls; specifically, whether text sentiment explains a larger portion of stock returns for overnight calls. The overnight and intraday cases differ only in the timing of a quarterly report. Overnight calls are …
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Semiparametric Characteristics-based Models of Asset Returns
… thesis, which includes three chapters, studies asset-specific characteristics such as capitalization, book-to-market ratio etc., and their implications on assets prices and portfolio management. This thesis selects characteristics that have prediction powers on assets excess returns and …
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Dyanmic models of asset returns and trading
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 1997.
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Jump Variation in High-Frequency Asset Returns: New Estimation Methods
… last 10 years using high-frequency (intraday) asset returns to estimate lower-frequency phenomena, several of which being conditional daily return variance and its components jump variation and integrated variance. We propose several new estimators of jump variation and integrated variance. We …
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Risk Sharing and Asset Returns in Stochastic Endogenous Growth Models
In chapter three, the asset return and business cycle implications of a stochastic endogenous growth model with heterogeneous agents and incomplete markets are analyzed. The asset market structure of the economy is incomplete in the sense that households in the model economy can trade shares in a …
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Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility
… of stochastic volatility for SP500 index returns when stochastic volatility is taken into account with infinite activity pure Lévy jumps models and the importance of stochastic volatility to reduce pricing errors for SP500 index options without regard to jumps specifications. This finding …
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'The Optimal Mix' : deploying portfolio theory on real estate asset returns in mixed-use development
… of thumb", and value mixed-use projects by the returns of the individual components. This study seeks to develop an alternative model in defining an ideal program mix in mixed-use development that is based on an optimized and quantifiable portfolio value. The goal is to develop a framework for …
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Essays in volatility modelling
… heteroskedasticity in the volatility of asset returns and incorporates current return information into the volatility nowcast and forecast. Our model can capture most stylised facts of asset returns even with Gaussian innovations and is simple to implement. Moreover, we show that our …
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Testing for jumps and cojumps in financial markets
… testing methodology to detect cojumps in multi-asset returns. We define a cojump as a jump in at least one dimension of the return processes. For a multivariate process that follows a semimartingale, and with no other specific assumptions on the process, we form a test statistic which can easily …
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Robust option pricing : An [epsilon]-arbitrage approach
… for a given uncertainty set on underlying asset returns. We construct corresponding uncertainty sets based on different levels of risk aversion of investors and make no assumption on specific probabilistic distributions of asset returns. The most significant benefits of our approach are (a) …
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Essays in asset pricing and market imperfections
… studies the impact of liquidity crashes on asset prices. In financial markets, liquidity could have large downward jumps. The thesis proposes a dynamic model where investors face the risk of potential liquidity crises. We find that investors choose optimal portfolios not only to hedge the …
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Two Essays in Business Cycle Theory
… to an investor who chooses to invest in risky assets. The first essay evaluates the effectiveness of the "end of double tax" policy in stimulating an economic recovery by analyzing the transitional dynamics of the economy's aggregates toward the steady states. The effectiveness of this policy …
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Three Essays on Commodity Risk Management
… risk regarding the expectation vector of asset returns, while the second paper extends the framework to the covariance matrix of asset returns. Numerical examples in these studies show that subjective views can have a substantial impact on risk managers' hedging decisions and that the …
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Essays on Conditional Heteroscedastic Time Series Models with Asymmetry, Long memory, and Structural Changes
<p>"The volatility of asset returns is usually time-varying, necessitating the introduction of models with a conditional heteroskedastic variance structure. In this dissertation, several existing formulations, motivated by the Generalized Autoregressive Conditional Heteroskedastic (GARCH) type …
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Natural Time and Crash Risk
The deviation of financial returns from normal distribution is a well‐documented stylized fact. Nonetheless, finance professionals and investors alike pay attention to these deviations almost only when a crisis erases years’ worth of gains. And despite decades’ worth of literature, the culprit for …
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Three essays on the time series of returns
… consists of three essays on the time series of asset returns. The first essay in Chapter 1--Time-Varying Drivers of Stock Prices--provides novel evidence of the time-varying roles of subjective expectations in explaining stock price variations across the market and 30 industry portfolios monthly …
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Essays on Factor Models
… of factor models in different fields of asset pricing. The first chapter addresses the following issue: Prominent volatility-based factor pricing models focus exclusively on the second moment of asset returns, and hence, tend to identify volatile factors but with little risk premia. This …
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Bayesian estimation of stochastic volatility models with fat tails and correlated errors applied to the South African financial market
… Volatility is used as measure of an asset's risk. It is particularly important in risk management, derivatives pricing, and portfolio selection. When pricing derivatives it is important to quote the correct volatility trading in the market, hence there is need for good estimates of …
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Positional Momentum and Liquidity Portfolio Management
… strategy based on the expected future ranks of asset returns and trade volume changes predicted by a bivariate Vector Autoregressive (VAR) model. Chapter one provides some facts about the relationship between return and trade volume changes and the way they have been computed in general. It …
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