Now showing items 1-9 of 9

    • Another Look at Stock Return Comovement: Some New Evidence and Test 

      Deng, Kaihua
      The study of the comovement between asset returns reflects an ongoing effort by economists to understand investment risk in financial markets. Building on previous findings, in the current thesis I provide some new evidence ...
    • 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 ...
    • Essays on return predictability and yield factors 

      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 ...
    • Essays on Time Series Econometrics 

      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 ...
    • Inferential Theory for Factor Models of Large Dimensions under Monotone Missing Data 

      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 ...
    • 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 ...
    • Time Scale Macroeconometrics 

      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 ...