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 20 for “"Financial Econometrics"”.
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ESSAYS IN FINANCIAL ECONOMETRICS
This dissertation presents two essays in financial econometrics. These chapters show how to adapt and use econometric techniques to study various questions in financial economics. The first chapter: ``Revealed Preference for Green Stocks: An Asset Demand Approach'' combines a traditional portfolio …
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Essays in Financial Econometrics
<p>This dissertation consists of three essays. In the first essay, I analyze the performance of five different classes of integrated variance estimators when applied to various stocks of differing market capitalization in an attempt to discover the circumstances under which one estimator should be …
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Essays on Financial Econometrics
… my research results on two topics of nancial econometrics.</p><p>The rst topic is jump regression where the observation selection procedure can be</p><p>viewed as the analogy of dimension reduction for the classical big "P" problem in</p><p>statistics to the big "N" problem in nancial …
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Essays in Financial Econometrics
… I present the 3 papers I wrote on the topic of financial econometrics. They include 2 papers on covariance matrix estimation and GMM estimation in panel data models, as well as one paper on ETF mispricing and authorized participants' inventory. In the first 2 papers, I proposed two new methods …
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Essays in financial econometrics
… This is a relevant problem especially in financial economics and macroeconomics where the number of instruments can be very large. For the first time in the literature, heteroskedasticity is explicitly modelled in deriving the terms in higher order MSE. Using the selection criteria makes …
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Bayesian Applications in Financial Econometrics
… thesis consists of three chapters in Bayesian financial econometrics. The three chapters apply both Bayesian nonparametric and parametric methods to financial market and macroeconomic time series. Chapter 1 extends popular discrete time short-rate models to include Markov switching of infinite …
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Three Essays in Financial Econometrics
Understanding how cross-sectional units interact with each other in a panel setting is an important question, given we are living in a more and more interconnected world. The effort to provide a solution to this question involves proposing statistical models that capture such features and obtain …
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Density Estimation for Robust Financial Econometrics
Chapter 3 introduces an efficient and robust parametric inference which minimizes the Hellinger distance between two nonparametrically smoothed density estimates: the simulated model density and corresponding observed density. This approach generalizes work of Beran (1977) and Basu and Lindsay …
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Essays in Financial Econometrics and Forecasting
… dissertation deals with issues of forecasting in financial markets. The first part of my dissertation is motivated by the observation that most parametric volatility models follow Engle's (1982) original idea of modelling the volatility of asset returns as a function of only past information. …
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Essays on financial econometrics : cojump detection and density forecasting
We choose the Andersen et al. (2007) and Lee and Mykland (2008) jump detection tests to detect intraday price jumps for ten foreign exchange rates and cojumps for six groups of two dollar exchange rates and one cross exchange rate at the one-minute frequency for five years from 2007 to 2011. We …
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Empirical Studies in Financial Econometrics: Market Functioning, Forecasting, and Reform
… chapters are linked by their examination of how financial markets and information transmission within these interact with macroeconomic modelling, regulatory intervention, and institutional design. The first chapter, Forecasting Macro with Finance, is co-authored with Dr Niklas Schmitz. While …
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Essays on financial econometrics : variance and covariance estimation using price durations
Asset variance and covariance are fundamental for financial risk management and many finance applications. With the advent of tick-by-tick high-frequency data, the estimation of univariate variances and multivariate covariance matrices has attracted more attention from econometricians. Many of the …
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Efficient Estimation of Stochastic Parameters: A GLS Approach
… through practical applications to real-world financial data, like inflation risk premium estimations. The research culminates in offering a robust tool for financial econometrics, enhancing the reliability of financial analyses and predictions.
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Three Essays on High-Frequency and High-Dimensional Financial Data Analysis
<p>In recent decades, financial market data has become available with increasingly higher frequency and higher dimension. This rapidly growing amount of financial data has created many research opportunities and challenges. In this dissertation, I address several important issues in the areas of …
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The characteristics of the financial system of developing countries : a study of the Thai stock market
… an emphasis on empirical investigation of the financial market. Applying econometric methods to investigate empirical characteristics of the financial market and its components such as the stock market is an important area of study in finance, for academic, policy formulation and investment …
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Semiparametric Characteristics-based Models of Asset Returns
… are mainly proposed for two popular questions in financial econometrics, namely, high dimensional analysis and the approximation of uni-variate and multi-variate unknown functions. The tools extended by this thesis are B-splines and orthogonal series, and multi-variate unknown functions are …
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Nonparametric Methods in Financial Time Series Analysis
The fundamental objective of the analysis of financial time series is to unveil the random mechanism, i.e. the probability law, underlying financial data. The effort to identify the truth that governs the observations involves proposing and estimating reasonable statistical models that well explain …
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Essays on the Econometrics of Option Prices
… in question extend the existing literature in financial econometrics along several directions.</p><p>The first essay considers the problem of estimating and conducting inference on the term structures of a class of economically interesting option portfolios. The option portfolios of interest …
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Intraday market dynamics
… technological and regulatory changes in financial markets over the first few years of the new millennium have radically altered trading routines and strategies. Algorithms have taken over trade executions in an environment where interactions between virtual traders happen faster than …