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Essays On Financial Econometrics
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Book Synopsis Essays in Financial Economics by : Rita Biswas
Download or read book Essays in Financial Economics written by Rita Biswas and published by Emerald Group Publishing. This book was released on 2019-10-24 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.
Book Synopsis Essays in Financial Econometrics by : Enrique E. Carabajal
Download or read book Essays in Financial Econometrics written by Enrique E. Carabajal and published by . This book was released on 2010 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Financial Econometrics by : Dajing Shang
Download or read book Essays in Financial Econometrics written by Dajing Shang and published by . This book was released on 2009 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Why the World Economy Needs a Financial Crash and Other Critical Essays on Finance and Financial Economics by : Jan Toporowski
Download or read book Why the World Economy Needs a Financial Crash and Other Critical Essays on Finance and Financial Economics written by Jan Toporowski and published by Anthem Press. This book was released on 2010-12 with total page 159 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essays in this volume explain the key structural features of financial inflation that give rise to financial crisis. These features include excessive reliance on finance to maintain economic activity through rising asset prices. Reliance on asset inflation induces a preoccupation with property values and a new social divide between the asset-rich and the asset-poor that undermines the culture of the welfare state. When debt can no longer be supported by cash flow from asset markets, excess debt plunges economies into economic depression.
Book Synopsis Three Essays in Financial Econometrics by : Sassan Alizadeh
Download or read book Three Essays in Financial Econometrics written by Sassan Alizadeh and published by . This book was released on 1999 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Financial Econometrics by : George Andreas Lentzas
Download or read book Essays in Financial Econometrics written by George Andreas Lentzas and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Financial Econometrics by : Paskalis Teodoros Glabadanidis
Download or read book Three Essays in Financial Econometrics written by Paskalis Teodoros Glabadanidis and published by . This book was released on 2003 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Financial Econometrics by : Yuan Xue
Download or read book Essays on Financial Econometrics written by Yuan Xue and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two Essays in Financial Econometrics by : Yang Yu
Download or read book Two Essays in Financial Econometrics written by Yang Yu and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Financial Econometrics and Quantitative Industrial Organization by : Soheil Rashid Nadimi
Download or read book Essays in Financial Econometrics and Quantitative Industrial Organization written by Soheil Rashid Nadimi and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Three essays on financial econometrics by : Jiang Liang
Download or read book Three essays on financial econometrics written by Jiang Liang and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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.
Book Synopsis Essays in Financial Econometrics by : Seo Yeon Suzanne Lee
Download or read book Essays in Financial Econometrics written by Seo Yeon Suzanne Lee and published by . This book was released on 2005 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Financial Econometrics by : Ralf Hofrath
Download or read book Essays in Financial Econometrics written by Ralf Hofrath and published by . This book was released on 2003 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Financial Econometrics by : Stefania D'Amico
Download or read book Essays on Financial Econometrics written by Stefania D'Amico and published by . This book was released on 2004 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Financial Econometrics by : Anjeza Kadilli
Download or read book Essays in Financial Econometrics written by Anjeza Kadilli and published by . This book was released on 2016 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Transmission of liquidity shocks by : Nathaniel Frank
Download or read book Transmission of liquidity shocks written by Nathaniel Frank and published by . This book was released on 2009 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Financial Econometrics by : Lili Cai
Download or read book Essays on Financial Econometrics written by Lili Cai and published by . This book was released on 2010 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation comprises of three essays in financial econometrics. The first essay discusses the efficacy of alternative simulation models of the short term interest rate. This is done by constructing consistent specification tests that allow us to carry out a "horse-race" comparing various one, two, and three factor models (possiblely with jumps), across multiple historical sample periods. We find that the choice of model for simulating the future distribution of short rates is highly sample dependent, and structural breaks appear to be an important component to be considered. The second essay presents a model that focuses on exploring the profitability of portfolio-based trading strategies that variously combine downside risk, momentum, and mean reversion by carrying out a series of pseudo real-time trading experiments using different combination trading strategies. We find, contrary to the existing literature, that momentum effects are sensitive to value and size factors. In particular, downside risk plays an important role when portfolios are sorted based on size and value. The third essay re-examines the empirical linkage between macroeconomic variables and financial markets. Our evaluation focuses on the use of a large variety of state-of-the-art ex-ante predictive accuracy tests as well as more standard in-sample regression diagnostics. We observe substantive shifts in the dynamics of macroeconomic factor models, which have noteworthy effects on the predictive content of the factors when used to predict returns.
