Two Essays In Financial Econometrics
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Two Essays In Financial Econometrics
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Author : Yang Yu
language : en
Publisher:
Release Date : 2013
Two Essays In Financial Econometrics written by Yang Yu 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.
Two Essays On The Theory And The Econometrics Of Finance
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Author : Guillermo Moloche
language : en
Publisher:
Release Date : 2013
Two Essays On The Theory And The Econometrics Of Finance written by Guillermo Moloche 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.
This thesis contains two independent chapters, the first on financial econometrics and the second on financial economics.
Essays In Financial Econometrics And Quantitative Industrial Organization
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Author : Soheil Rashid Nadimi
language : en
Publisher:
Release Date : 2015
Essays In Financial Econometrics And Quantitative Industrial Organization written by Soheil Rashid Nadimi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
This dissertation consists of one essay in financial econometrics and two essays in quantitative industrial organization. The first essay studies the relationship between stock return volatility and current and prior shocks to oil price volatility. We study the behavior of aggregate stock markets as well as individual industry sectors. Our results show that lagged stock return volatility is the main determinant of current stock return volatility in aggregate markets, with oil price volatility providing no additional information that can be used to forecast stock return volatility. For individual industry sectors, we find a robust and stable prediction relationship only for the chemicals industry. Additional estimation exercises confirm the robustness of these results. The second essay uses a Bertrand-Nash price-competition framework to models a vertically integrated provider (VIP) that is a monopoly supplier of an essential input for downstream production. An input price that is "too high" can lead to inefficient foreclosure and one that is "too low" creates incentives for nonprice discrimination. The range of non-exclusionary input prices is circumscribed by the input prices generated on the basis of upper-bound and lower-bound displacement ratios. The admissible range of the ratio of downstream to upstream "price-cost" margins for the VIP is increasing in the degree of product differentiation and reduces to a single ratio in the limit as the products become perfectly homogeneous. The third essay explores the relationship between upstream input prices and downstream market exclusion under a Stackelberg quantity-competition framework. Market exclusion is a concern when input prices are "too high" and "too low" because it can result in inefficient foreclosure and sabotage, respectively. Consistent with the results obtained in the second essay, the safe harbor range of downstream to upstream "price-cost" margin ratios is decreasing in the degree of product homogeneity and approaches a single ratio in the limit as the products become perfectly homogeneous. This single margin ratio preserves equality between the VIP's wholesale and retail "price-cost" margins. A key finding for competition policy is that the bounds of non-exclusionary input prices are markedly wider under Bertrand-Nash competition than they are under Stackelberg competition. Hence, it is critical that the antitrust and regulatory authorities understand the nature of the industry competition so that rules governing permissible conduct are properly calibrated to yield efficient outcomes.
Two Essays On Financial Econometrics
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Author : Jia Geng
language : en
Publisher:
Release Date : 2009
Two Essays On Financial Econometrics written by Jia Geng 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.
Essays In Financial Econometrics Microform
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Author : Ka Man Lo
language : en
Publisher: Library and Archives Canada = Bibliothèque et Archives Canada
Release Date : 2003
Essays In Financial Econometrics Microform written by Ka Man Lo and has been published by Library and Archives Canada = Bibliothèque et Archives Canada this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
This thesis deals with two important areas in financial econometrics. The first is the estimation of the linear factor model and associated issues of misspecification and portfolio formation. These topics are investigated in chapters 1 and 2. The second area investigated is that of modelling the short term interest rate and in particular, the estimation via Gaussian approximation methods.
Two Essays In Financial Economics
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Author : Evan Jo
language : en
Publisher:
Release Date : 2022
Two Essays In Financial Economics written by Evan Jo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
"This thesis focuses on the economics of risk: it studies how to measure, price, and trade risk in financial markets. The first paper "Sharper Alpha" aims to provide a better econometric tool for measuring and studying risk premia. Traditional alpha-based tests face substantial estimation noise when applied to individual stocks. The standard approach of forming diversified portfolios reduces this noise, but also incurs the costs of aggregation errors and information loss. I propose a more efficient statistic, a sharper alpha, that directly reduces estimation noise for single stocks. I find that sharper alphas reveal stock-level patterns that were not visible before. In the second paper "A Supply and Demand Approach to Equity Pricing", joint with Sebastien Betermier and Laurent Calvet, we provide a new theoretical framework to analyze how the general equilibrium relation between risk and return is driven by both supply and demand for risky financial capital. The mantra of "high risk high return" in finance takes the point of view of investors, who require higher expected returns to supply more risky capital. Firms, on the other hand, require lower discount rates to demand more risky capital. We explain how the heterogeneity of supply and demand factors determine whether the risk-return relation is positive or negative, consistent with the empirical evidence and a wide range of asset pricing anomalies. We empirically estimate the supply and demand schedules of individual firms using three-stage-least-squares, and show that the risk-return relation is mainly driven by firm demand factors"--
Two Essays In Financial Economics
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Author : Eric John Osmer
language : en
Publisher:
Release Date : 2013
Two Essays In Financial Economics written by Eric John Osmer 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.
Two Essays In Financial Economics
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Author : Harvey Birtill Westbrook (Jr.)
language : en
Publisher:
Release Date : 2002
Two Essays In Financial Economics written by Harvey Birtill Westbrook (Jr.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Essays On Several Contemporary Issues In Econometrics And Financial Economics
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Author : Fangxiong Gong
language : en
Publisher:
Release Date : 1995
Essays On Several Contemporary Issues In Econometrics And Financial Economics written by Fangxiong Gong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Econometric models categories.
Two Essays In Financial Economics
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Author : Le Xia
language : en
Publisher:
Release Date : 2007
Two Essays In Financial Economics written by Le Xia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Stock exchanges categories.