Three Essays in Financial Econometrics
Author : Paskalis Teodoros Glabadanidis
Publisher :
Page : 360 pages
File Size : 31,52 MB
Release : 2003
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Author : Paskalis Teodoros Glabadanidis
Publisher :
Page : 360 pages
File Size : 31,52 MB
Release : 2003
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Author : Sassan Alizadeh
Publisher :
Page : 203 pages
File Size : 34,73 MB
Release : 1999
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Author : Byung-Dong Seo
Publisher : ProQuest
Page : 302 pages
File Size : 47,23 MB
Release : 2006
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ISBN : 9780542856037
The first essay investigates the relationship between financial durations and volatility of asset prices. A duration process extracted from stock transaction data is included as an explanatory variable to the time series models of realized volatility. Financial durations have strong forecasting power for volatility dynamics.
Author : Jiang Liang
Publisher :
Page : 0 pages
File Size : 49,68 MB
Release : 2015
Category : Econometrics
ISBN :
"This dissertation develops several econometric techniques to address three issues in financial economics, namely, constructing a real estate price index, estimating structural break points, and estimating integrated variance in the presence of market microstructure noise and the corresponding microstructure noise function. Chapter 2 develops a new methodology for constructing a real estate price index that utilizes all transaction price information, encompassing both single-sales and repeat-sales. The method is less susceptible to specification error than standard hedonic methods and is not subject to the sample selection bias involved in indexes that rely only on repeat sales. The methodology employs a model design that uses a sale pairing process based on the individual building level, rather than the individual house level as is used in the repeat-sales method. The approach extends ideas from repeat-sales methodology in a way that accommodates much wider datasets. In an empirical analysis of the methodology, we fit the model to the private residential property market in Singapore between Q1 1995 and Q2 2014, covering several periods of major price fluctuation and changes in government macroprudential policy ..."--Author's abstract.
Author : Serguei Zernov
Publisher :
Page : 286 pages
File Size : 14,55 MB
Release : 2004
Category : Econometrics
ISBN :
"Finally; the third essay uses recent advances in the theory of extremal events to analyse the effects of institutional changes in financial markets on the extremal behaviour of major stock indices, as far as this behaviour is reflected in the evolution of Hill's estimator of the tail index." --
Author : Long Kang
Publisher :
Page : 118 pages
File Size : 10,49 MB
Release : 2008
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Author : Jialin Yu
Publisher :
Page : 225 pages
File Size : 18,36 MB
Release : 2005
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Author : Jianxun Li
Publisher :
Page : pages
File Size : 47,16 MB
Release : 2016
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Author : Qifeng Weng
Publisher :
Page : 85 pages
File Size : 32,78 MB
Release : 2016
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Author : Biplab K. Ghosh
Publisher :
Page : 0 pages
File Size : 31,24 MB
Release : 2009
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ISBN :