ResearchWorks Archive

Browsing Economics by Author "Zivot, Eric"

Browsing Economics by Author "Zivot, Eric"

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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 ...
  • Ma, Xuyang
    This dissertation includes three chapters in which the first two are on return predictability and the third is on yield curve and yield factors. The abstract of each of them is as follows: 1), This paper proposes using ...
  • Aylar, Emre
    This dissertation focuses on the construction of statistical tests to differentiate stationary and non-stationary time series. Chapter 1 deals with non-stationarity induced by a broken trend function and considers testing ...
  • Cahan, Ercument (2014-02-24)
    In this dissertation we investigate the inferential theory for factor models with large cross-section ($N$) and time series ($T$) dimensions under monotone-missing data. The major contribution of the dissertation is the ...
  • Lundberg, Clark C.
    The central focus of this dissertation is to develop robust econometric methods to identify and learn about the effects of time horizon on economic relationships. The first chapter provides a broad overview of some of the ...

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