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.
Results
Showing 1 to 5 of 5 for “"Tail Index"”.
-
Time Series Models for Finance and the Environment
… log RV, which may be interpreted as the dynamic tail index in levels. Its forecasting performance is compared with that of fractional integrated models and the popular heterogeneous autoregressive model. The second chapter examines the occurrence of extreme observations over time. It introduces a …
-
Three Essays in Applied Econometrics: with Application to Natural Resource and Energy Markets
… and Smith (1990) to investigate the univariate tail distribution of the returns on various energy products such as Crude Oil, Gasoline, Heating Oil, Propane and Diesel. The bivariate threshold exceedance model of Ledford and Tawn (1996) is also used to study the tail dependence between returns …
-
Three essays on long memory tests for persistence in volatility and structural vector autoregression modeling of real exchange rates
… a Markov Regime Switching process, and from the tail index of the waiting time distribution for the Semi-Markov process is established through simulations with different parameter values. There is evidence that persistence in a regime switching process is closely linked to state transition …
-
Essays on Information Technologies, Social Networks and Individual Economic Outcomes
… of the "industrial economy"). Second, the tail index of the Pareto distribution seems to be getting lower, indicating increasing inequality at the top. The second paper investigates the relationship between Information Technologies and CEO Pay. It shows, both at the industry and at the firm …
-
On Volatility, Outliers, and Uncertainty
… of Chapter 2 is to draw inference from the tail behavior of financial market price volatility in order to compare and contrast volatility expectations with volatility realizations. In doing so, I discuss the implications of slowly decaying tails as they relate to systems susceptible to …