Author: Pin-Huang Chou
Publisher:
ISBN:
Category :
Languages : en
Pages : 192
Book Description
Three Essays on Econometric Analysis of Financial Models
Three Essays on the Econometric Analysis of High Frequency Financial Data
Author: Roel C. A. Oomen
Publisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 101
Book Description
Publisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 101
Book Description
Three essays on financial econometrics
Author: Jiang Liang
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 0
Book Description
"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.
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 0
Book Description
"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.
Three Essays on Econometric Modelling of Financial Time Series
Three Essays in Financial Econometrics
Three Essays in Financial Econometrics
Author: Byung-Dong Seo
Publisher: ProQuest
ISBN: 9780542856037
Category :
Languages : en
Pages : 302
Book Description
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.
Publisher: ProQuest
ISBN: 9780542856037
Category :
Languages : en
Pages : 302
Book Description
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.
Three Essays on Factor Models in Financial Economics
Author: Marcos Fabricio Perez Estrella
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 294
Book Description
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 294
Book Description
Nonlinear Economic Dynamics and Financial Modelling
Author: Roberto Dieci
Publisher: Springer
ISBN: 3319074709
Category : Business & Economics
Languages : en
Pages : 384
Book Description
This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.
Publisher: Springer
ISBN: 3319074709
Category : Business & Economics
Languages : en
Pages : 384
Book Description
This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.
Three Essays in Financial Econometrics
Author: Paskalis Teodoros Glabadanidis
Publisher:
ISBN:
Category :
Languages : en
Pages : 360
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 360
Book Description
Three Essays on the Econometric Methods for High-dimensional Economic and Financial Data Using Factor Structures
Author: Yuning Li
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This note is part of Quality testing.
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This note is part of Quality testing.