Now showing items 1-8 of 8

    • Essays in Financial Intermediation and Credit Risk 

      Pereira, Javier Marcelo
      This dissertation focuses on issues in financial intermediation and sovereign credit risk. With the enactment of the Gramm-Leach-Bliley Act (GLBA) in 1999, the long-standing barriers between commercial and investment banking ...
    • Essays on Applications of the Factor Model 

      Sun, Xiaolin (2014-02-24)
      Estimating the volatilities and correlations of asset returns plays an important role in portfolio and risk management. As of late, interest in the estimation of the covariance matrix of large dimensional portfolios has ...
    • Essays on Financial Econometrics 

      Lee, Jee Young (2012-09-13)
      This dissertation studies the U.S. stock market. The first chapter explores a four-moment CAPM under regime switching which incorporates the risk premia for skewness and kurtosis. As expected, estimates of risk premia for ...
    • Essays on Price Discovery Measure, Exchange-Traded Funds and Liquidity 

      Sultan, Syed Galib
      Price Discovery is the process by which new information is impounded into asset prices through trading activity. A market is considered to contribute more to price discovery if it is the first to capture new information ...
    • Jump Variation in High-Frequency Asset Returns: New Estimation Methods 

      Donhauser, Brian James (2013-02-25)
      A large literature has emerged in the last 10 years using high-frequency (intraday) asset returns to estimate lower-frequency phenomena, several of which being conditional daily return variance and its components jump ...
    • New Approaches to Institutional Portfolio Performance Attribution and Private Equity Risk 

      Saenz, Joseph Floyd
      This work is comprised of three separate works which are summarized as follows: 1.) We develop a new method to estimate private equity funds' market beta from cash flows. Our methodology extends the widely known public ...
    • Three Essays on Corporate Finance and Firm Dynamics 

      Izumi, Atsuko
      “Change in corporate performance after firing CEO: A comparison between US and Japan” The relation between board independence and management monitoring intensity is a long-standing question in the literature. Employing ...
    • Three Essays on Finanical Economics 

      Chen, Yi-An
      This thesis discusses network risk and its implications for financial economics. A stock’s tendency to co-move with its related stocks is defined as network risk. In the first chapter, I propose a new econometric procedure ...