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 7 of 7 for “"Time Series Econometrics"”.
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Three Essays in Applied Time Series Econometrics
… an introduction to<br />Economic application of time series analysis and discusses the topics covered in each of the following chapters along with some main results therein. <br /> In Chapter 2, I construct a measure of information asymmetry in the financial markets in U.S., by estimating an …
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Three essays on investments and time series econometrics
… includes three essays on investments and time series econometrics. This work gives new insight into the behavior of implied marginal tax rates, implied volatility, and option pricing models. The first essay examines the movement of implied marginal tax rates. A body of research points to …
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Structural breaks and outliers detection in time-series econometrics: Methods and applications
This thesis contributes to the econometric literature on structural breaks analysis and outliers detection in parametric linear models. The focus is on the development of new econometric tools as well as on the analysis of novel but largely unexplored approaches. The econometric methods under …
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An econometric analysis of global agricultural commodity prices
… builds upon recent developments in the areas of time series econometrics, agricultural economics and applied economics to provide an empirical examination of agricultural commodity price movements. The main research questions addressed are the following. First, recursive unit root tests are …
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Institutional Reform in Support of Xi’s Anti-Corruption Campaign
… that integrates institutional analysis with time-series econometrics to examine both the organizational transformation and empirical effects of the campaign. Qualitatively, it traces the consolidation of disciplinary and administrative supervision under a unified authority, highlighting the …
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Temporal Issues in Market Inefficiency in asset prices with an emphasis on commodities
… multiple bubbles are present in a particular series. Through introducing a rolling window approach, we are able to address that criticism and show that the modified Bhargava test statistic achieves better power. We compare and contrast the power of the modified test with the popular GSADF test …
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Essays on Regional Recessions, Spatial Interactions and Forecasting
… contains three essays spanning the fields of econometrics and empirical macroeconomics. The first essay develops an econometric procedure that enables applied researchers to quantify spatial interactions from panel data where variables exhibit recurrent abrupt shifts in behavior. In empirical …