Three Essays On Investments And Time Series Econometrics
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Three Essays On Investments And Time Series Econometrics
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Author : Joshua Andrew Brooks
language : en
Publisher:
Release Date : 2015
Three Essays On Investments And Time Series Econometrics written by Joshua Andrew Brooks and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with Electronic dissertations categories.
This dissertation 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 the existence of implied marginal tax rates that can be extracted from security or derivative prices. We use the LIBOR-based interest rate swap curve and the MSI-based interest rate swap curve to examine changes in the implied tax rate. We document multiple statistically and economically significant structural breaks in the long-run implied marginal tax rate that are not exclusively located in the financial crisis (one as recent as October, 2010). These breaks represent persistent divergence from long run averages and indicate that mean reversion models may not accurately describe the stochastic processes of implied marginal tax rates. In the second essay, I develop an asymmetric time series model of the VIX. I show that the VIX and realized volatility display significant nonlinear effects which I approximate with a smooth-transition autoregressive model. I find that under certain regimes the VIX depends almost exclusively on previous realized volatility. Under other regimes, I find that the VIX depends on both its lags and previous realized volatility. Since the VIX has become a popular hedging instrument, this finding has important implications for risk managers who elect to use the VIX and its related investment vehicles. It also has implications for the use of implied volatility in value-at-risk forecasting. The third essay presents a new model for option pricing model selection. There is a significant performativity issue intrinsic in much of the option pricing literature. Once an option-pricing model (OPM) gains widespread acceptance, volatilities tend to move so that the OPM fits well with observed prices. This often leads to systematic mispricing based purely on model results. A number of systematic issues such as volatility smile are present in OPMs. To remedy this issue, I propose a new method for ranking OPMs based on one step ahead forecasts. This model transforms the data to build a distribution of the stochastic term present in OPM. This sample distribution is then tested for normality so that OPMs can be ranked in a Bayesian-like framework by their closeness to a normal distribution.
Three Essays On Market Microstructure And Financial Econometrics
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Author : Yi Xue
language : en
Publisher:
Release Date : 2009
Three Essays On Market Microstructure And Financial Econometrics written by Yi Xue and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Econometrics categories.
This thesis consists of three essays that study three interdependent topics: microstructure foundation of volatility clustering, inefficiency of information diffusion and jump detection in high frequency financial time series data. Volatility clustering, with autocorrelations of the hyperbolic decay rate, is unquestionably one of the most important stylized facts of financial time series. The first essay forms Chapter 1 which presents a market microstructure model that is able to generate volatility clustering with hyperbolic autocorrelations through traders with multiple trading frequencies using Bayesian information updating in an incomplete market. The model illustrates that signal extraction, which is induced by multiple trading frequency, can increase the persistence of the volatility of returns. Furthermore, it is shown that the local temporal memory of the underlying time series of returns and their volatility varies greatly with the number of traders in the market. The second essay, Chapter 2, presents a market microstructure model showing that an increasing number of information hierarchies among informed competitive traders leads to a slower information diffusion rate and informational inefficiency. The model illustrates that informed traders may prefer trading with each other rather than with noise traders in the presence of the information hierarchies. Furthermore, it is shown that momentum can be generated from the trend following behavior pattern of noise traders. I propose a new nonparametric test based on wavelets to detect jump arrivals in high frequency financial time series data, in the third essay, Chapter 3. It is demonstrated that the test is robust for different specifications of price processes and the presence of market microstructure noise and it has good size and power. Further, I examine the multi-scale jump dynamics in U.S. equity markets and the findings are as follows. First, the jump dynamics of equities are entirely different across different time scales. Second, although arrival densities of positive jumps and negative jumps are symmetric across different time scales, the magnitude of jumps is distributed asymmetrically at high frequencies. Third, only twenty percent of jumps occur in the trading session from 9:30AM to 4:00PM, suggesting that jumps are largely determined by news rather than liquidity shocks.
Three Essays On Applied Time Series Econometrics
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Author : Zlatina Balabanova
language : en
Publisher:
Release Date : 2013
Three Essays On Applied Time Series Econometrics written by Zlatina Balabanova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Three Essays In The Econometrics Of Time Series
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Author : Chung-Hua Shen
language : en
Publisher:
Release Date : 1991
Three Essays In The Econometrics Of Time Series written by Chung-Hua Shen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Demand for money categories.
Three Essays On Nonlinear Time Series Econometrics
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Author : Charles Shaw
language : en
Publisher:
Release Date : 2019
Three Essays On Nonlinear Time Series Econometrics written by Charles Shaw and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This thesis is submitted ...
Three Essays In Applied Time Series Econometrics
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Author : Taylor Collins
language : en
Publisher:
Release Date : 2017
Three Essays In Applied Time Series Econometrics written by Taylor Collins and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Econometrics categories.
This dissertation is composed of four chapters. Chapter 1 provides an introduction to the paper by highlighting some of the key economic questions, econometric methods, and conclusions that this paper chronicles. In Chapter 2, I conduct a range of unit root tests on the unemployment rates of 30 OECD countries. The objective of these tests are to use modern data and methods to update an old line of research that endeavors to uncover the most appropriate way to model unemployment. I find less evidence supporting Structural theories of unemployment than have prior studies in this field. In Chapter 3, I turn my attention to US monetary policy. Specifically, I utilize a new estimation technique called the Beverage-Nelson Filter to construct output gaps for use in an introductory Taylor Rule study. I revisit a marquee paper from John Taylor, conduct a structural change test of Bai and Perron, and utilize a wide modeling of monetary policy rules. I find that the Federal Funds Rate displayed as strong an adherence to baseline Taylor Rules through the 1960s as in any other era. Chapter 4 then turns the focus to New Zealand monetary policy and their role as the world's first inflation targeting country. In this chapter, I study the effects of the inflation rate and it's forecasted value for the following two years on New Zealand's Official Cash Rate and the country's Industrial Production Index. Using a set of Threshold Regressions and VAR Regressions, I find that New Zealand's interest rate responds much more strongly to the medium-run projected inflation than it does to inflation that is realized or projected to occur in the short run. I also find evidence that production in New Zealand is more responsive to changes in projected inflation than to changers in the interest rate.
Three Essays On Applied Time Series Econometrics
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Author : Firouz Fallahi
language : en
Publisher:
Release Date : 2007
Three Essays On Applied Time Series Econometrics written by Firouz Fallahi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Markov processes categories.
Three Essays On Econometrics Of Moment Conditions In Time Series
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Author : Stanislav Anatolyev
language : en
Publisher:
Release Date : 2004
Three Essays On Econometrics Of Moment Conditions In Time Series written by Stanislav Anatolyev and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Econometrics categories.
Volatility And Time Series Econometrics
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Author : Tim Bollerslev
language : en
Publisher: OUP Oxford
Release Date : 2010-02-11
Volatility And Time Series Econometrics written by Tim Bollerslev and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-02-11 with Business & Economics categories.
Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study the behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.
Three Essays In Time Series Econometrics
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Author : Atsushi Inoue
language : en
Publisher:
Release Date : 1998
Three Essays In Time Series Econometrics written by Atsushi Inoue and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.