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 9 of 9 for “"SPDR"”.
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Essays in financial economics
… of the ETF model. Using high-resolution data on SPDR and the Sector SPDR ETFs, I exploit exchange latencies in order to show that investors place simultaneous, same-direction trades in both a stock and ETF. Consistent with my model predictions, effects are strongest when an individual stock has a …
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The effects of creations and redemptions in the index participation unit market : evidence of the downward sloping demand curve for equity
… products. Standard & Poor's Depository Receipts (SPDRs) are the IPU under study in this paper. Through the use of standard event studies we have found that with larger or infrequent creations and redemptions there exists support for the downward sloping demand curve exists. More specifically, with …
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Positional Momentum and Liquidity Portfolio Management
… of the return and volume change series of the SPDR. Therefore the autoregressive VAR parameters can be easily updated at each time, which simplifies the implementation of the proposed strategies. The new optimal allocation portfolios are shown to perform well in practice, both in terms of …
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An investigation of nanoscale materials and their incorporation in patch antenna for high frequency applications
… measured using Spilt-Post Dielectric Resonators (SPDR) technique at National Physics Laboratory, Teddington, London. A diamond-shaped MPAs on RT Duriod material were simulated and fabricated using photo-lithography for different inner lengths to work in the frequencies range from (1-10 GHz). The …
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New dielectric tape materials for LTCC : characterisation and modelling of microwave properties
… "split post dielectric resonator method" (SPDR) was investigated for the HF measurement of the high-dielectric LTCC substrates among other methods. After successive full-wave finite elements (FEM) modal analysis the frequently reported TE01d mode splitting was recognized as a continuously …
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Wood extractives in hemicellulose stabilized emulsions
… either used as such (Con), after spray-drying (Spdr) or after ethanol precipitation (EtOH). The content and composition of phenolic residues and triterpenes in hemicellulose isolates were determined and their effect on the emulsion stability were investigated. In addition, radical scavenging …
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Modelling financial volatility using Bayesian and conventional methods
… patterns. Our empirical results is based on the SPDR S&P 500 (SPY) and Microsoft Corporation (MSFT) data. According to the in-sample and out-of-sample empirical results, the extend SV model outperforms the GARCH and GARCH augmented with duration information. Chapter 2: We examine contagion …
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Analyzing Volatility and Policy Changes in the Financial Market: Three Essays in Applied Finance
… (BSM) model on a data set of options on the SPDR S&P 500 Trust ETF (SPY). We leverage the full options chain to analyze the full forecasted distribution of prices through N(d2), which we compare to the distribution of prices of SPY. Using non-parametric GOF tests, such as the Kolmogorov …
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Macro-Financial Linkages and Perspectives in Economic Development
… a large dataset of all traded options on the SPDR S&P 500 Trust ETF (SPY) from January 2005 to December 2020. Using each day’s complete option chain, we derive a measure to forecast the implied distribution of prices through N ( d 2 ), which we then compare to the realized distribution of SPY …