Three Essays in Financial Econometrics
Author: Paskalis Teodoros Glabadanidis
Publisher:
Published: 2003
Total Pages: 360
ISBN-13:
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Author: Paskalis Teodoros Glabadanidis
Publisher:
Published: 2003
Total Pages: 360
ISBN-13:
DOWNLOAD EBOOKAuthor: Sassan Alizadeh
Publisher:
Published: 1999
Total Pages: 203
ISBN-13:
DOWNLOAD EBOOKAuthor: Jiang Liang
Publisher:
Published: 2015
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOK"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: Long Kang
Publisher:
Published: 2008
Total Pages: 118
ISBN-13:
DOWNLOAD EBOOKAuthor: Jialin Yu
Publisher:
Published: 2005
Total Pages: 225
ISBN-13:
DOWNLOAD EBOOKAuthor: Serguei Zernov
Publisher:
Published: 2004
Total Pages: 286
ISBN-13:
DOWNLOAD EBOOK"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: Jianxun Li
Publisher:
Published: 2016
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: Qifeng Weng
Publisher:
Published: 2016
Total Pages: 85
ISBN-13:
DOWNLOAD EBOOKAuthor: Byung-Dong Seo
Publisher: ProQuest
Published: 2006
Total Pages: 302
ISBN-13: 9780542856037
DOWNLOAD EBOOKThe 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: Biplab K. Ghosh
Publisher:
Published: 2009
Total Pages: 0
ISBN-13:
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