Download or read book Three Essays in Applied Financial Econometrics written by Horatio M. Morgan and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Efficiency is perhaps one of the most important concepts associated with the functioning of markets in modern economies. When markets are efficient, economic theory suggests that the prices we observe reflect the relative scarcity of resources; and hence, effectively channel those resources to their most productive use. The primary objective of this dissertation is to investigate the efficiency property of the U.S. housing market for single-family homes and the stock market. It does so through the application of advanced techniques in financial and time series econometrics. In relation to the housing market, the empirical evidence is consistent with the version of the efficiency market hypothesis which suggests that asset prices follow a random walk. However, in relation in relation to the stock market, the empirical evidence is inconsistent with the version of the efficient market hypothesis that attributes price changes to the random arrival of new information. For both markets, however, we do not find the empirical evidence to be definitive. In the context of the crisis that emerged in the subprime mortgage segment of U.S. housing market in 2006, this dissertation also investigates the interdependency structure of the housing market as a secondary objective. The main result suggests that home prices do not comove systematically over time.

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:

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:

Download or read book Three Essays in Applied Financial Economics and Macroeconomics written by Farooq Malik and published by . This book was released on 2000 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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.

Download or read book Three Essays in Applied Econometrics with Applications to International Trade and Finance written by Patrice Whitely and published by . This book was released on 2007 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Financial Econometrics written by Serguei Zernov and published by . This book was released on 2004 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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." --

Download or read book Three Essays on Financial Econometrics and Empirical Finance written by Long Kang and published by . This book was released on 2008 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Applied Macroeconomics and Financial Economics written by Amir Tayebi and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Financial Econometrics written by Jianxun Li and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Financial Econometrics written by Jialin Yu and published by . This book was released on 2005 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Financial Economics written by Rajiv Sobti and published by . This book was released on 1984 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Financial Economics written by Andrey Dmitrievich Ukhov and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Financial Economics written by Kap-Soo Oh and published by . This book was released on 1986 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Applied Econometrics and Finance written by and published by . This book was released on 2015 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis comprises three essays. The first two chapters address topics in commodity markets and their interaction with derivative and other asset markets. The third essay deals with the effects to and from fiscal policy that arise due to the structure of the relationship between central and regional governments. Finance and applied econometrics constitute the common thread for these articles. The first two take a financial economics and financial econometrics perspective, while the third essay addresses a topic of public finance with an empirical approach. The first chapter offers an explanation for volatile oil prices. Using information from options and futures I document economically large jump tail premia in the crude oil market which can be related to investors' "fear". These premia vary substantially over time and significantly forecast crude oil futures and spot returns. The results suggest that oil futures prices overshoot (undershoot) in the presence of upside (downside) tail fears in order to allow for smaller (larger) risk premia thereafter. The second essay relates the comovement of stock and commodity prices to increased participation of financial investors in commodity future markets. I present a partial equilibrium model in which demand for futures by financial investors transmits stock market shocks into commodity prices via a time varying risk premium. Empirically, I find that commodity index investors react systematically to stock market shocks by adjusting their commodity risk exposure. In the third chapter, joint with Abián García Rodríguez, we investigate the relationship between fiscal decentralization - the share of government spending and taxation carried out at the subnational level - and fiscal policy effects. Using a cross-section of countries, we document a positive relationship between decentralization and the effectiveness of fiscal policy as measured by the size of fiscal multipliers. We also present a case study for the decentralization process in Spain and find that it had a positive impact on output growth.

Download or read book Three Essays in Financial Econometrics written by Byung-Dong Seo and published by ProQuest. This book was released on 2006 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Three essays in financial economics written by Thomas H. Noe and published by . This book was released on 1987 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: