ResearchWorks Archive

Browsing Economics by Subject "Finance"

Browsing Economics by Subject "Finance"

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  • 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 ...
  • 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 ...
  • 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 ...
  • 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 ...

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