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-
- Description:
- How do exporting firms react to changes in the cost of credit? To answer this question, we exploit an exogenous variation in banking regulation which increases the cost of financ- ing for exports in the European Union. Using a unique dataset which combines customs, firm-level, and credit registry data on...
- Subject:
- Economics and Finance
- Creator:
- da Costa Monteiro, Joao Miguel
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 05/31/2023
- Date Created:
- 2023-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- etdadmin_upload_981993 and http://dissertations.umi.com/northwestern:16495
-
- Description:
- In Chapter 1, I analyze optimal capital structure using a model in which firms issue securities in order to (1) finance investments in operations and (2) recapitalize the firm. In this trade-off model, firms balance the tax benefits of debt against the costs of financial distress. Key to the analysis,...
- Subject:
- Economics and Finance
- Creator:
- Hu, Jingxiong
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 05/31/2023
- Date Created:
- 2023-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- etdadmin_upload_986275 and http://dissertations.umi.com/northwestern:16585
-
- Description:
- Monetary Policy plays a crucial role in modern economies by supporting price, financial and economic stability. Its efficacy, however, exhibits variation both over time and across space leading to partially unpredictable and inconsistent outcomes. This thesis shows that the variation in the efficacy of monetary policy crucially relates to the...
- Keyword:
- Market Structure, State-Dependent Effects, Loan and Deposit Interest Rates, Monetary Policy, Financial Intermediaries, and Heterogeneity
- Subject:
- Economics, Finance, and Banking
- Creator:
- Puglisi, Federico
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 05/31/2023
- Date Created:
- 2023-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- etdadmin_upload_986697 and http://dissertations.umi.com/northwestern:16603
-
- Description:
- t
- Keyword:
- Rigidities, Rational Expectation, Agent-Based Modeling, Production Networks, Incomplete Information, and Latin Monetary Union
- Subject:
- Economic history, Economics, and Finance
- Creator:
- Pellet, Thomas Louis
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 05/31/2023
- Date Created:
- 2023-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- http://dissertations.umi.com/northwestern:16599 and etdadmin_upload_986621
-
- Description:
- The first chapter of this dissertation looks at strategic complementarities among investors inpooled investment vehicles where fund managers and investors have different objectives. Could lessening strategic complementarities among the investors of a fund make investing in the fund less appealing? Exploiting the 2014 Reform of the money market mutual fund...
- Subject:
- Economics and Finance
- Creator:
- troiano, adriana
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 06/22/2022
- Date Created:
- 2022-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- http://dissertations.umi.com/northwestern:15925 and etdadmin_upload_879002
-
- Description:
- This dissertation is the culmination of a four-year project on local governments and local economic activity during the Great Depression in the United States (1929 - 1937). Chapter 1 investigates how U.S. municipal governments coped during the Depression and studies whether debt-induced financial constraints affected local public good provision. Local...
- Keyword:
- financial distress, Great Depression, local public good provision, and municipal bonds
- Subject:
- Economic history and Finance
- Creator:
- Janas, Pawel
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 06/22/2022
- Date Created:
- 2022-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- etdadmin_upload_898235 and http://dissertations.umi.com/northwestern:16011
-
- Description:
- This dissertation studies the real effects of firms’ financing decisions as well as the economics consequences of bias in fair value prices of corporate bonds. The first chapter examines the impact of compliance with changes in mandated financial reporting on corporate financing and investment decisions. I employ the recent implementation...
- Subject:
- Accounting and Finance
- Creator:
- Kim, Doyeon
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 06/22/2022
- Date Created:
- 2022-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- etdadmin_upload_901879 and http://dissertations.umi.com/northwestern:16057
-
- Description:
- I set up a disagreement model where traders not only have different interpretations of a public signal that conveys information of a stock, but are also uncertain about the information quality of others' interpretations. The model along with traders being ambiguity-averse predicts a positive relation between investor disagreement (ID) and...
- Subject:
- Finance
- Creator:
- Hsiao, Lawrence
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 06/22/2022
- Date Created:
- 2022-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- etdadmin_upload_902772 and http://dissertations.umi.com/northwestern:16075
-
- Description:
- This dissertation consists of three chapters that each study the interaction between government policy and real estate markets. All three chapters are connected by a broad interest in renters, landlords, and rental markets. Chapter 1 investigates the relationship between place-based policies and real estate and rental markets empirically by studying...
- Keyword:
- Rental Markets, Real Estate, and Finance
- Subject:
- Economics and Finance
- Creator:
- Hair, Christopher
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 06/22/2022
- Date Created:
- 2022-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- etdadmin_upload_902849 and http://dissertations.umi.com/northwestern:16077
-
- Description:
- This dissertation studies the pricing of jump risk in the cross-section, which builds on understanding the cross-sectional structure of jumps at market jump times, develops nonparametric measures of idiosyncratic jump risk, and investigates its asset pricing implications. Chapter 1 is joint work with Professor Viktor Todorov, in which we study...
- Subject:
- Finance
- Creator:
- Lin, Huidi
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 06/22/2022
- Date Created:
- 2022-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- http://dissertations.umi.com/northwestern:16028 and etdadmin_upload_900076
-
- Description:
- This thesis examines the role of the media in stock markets and the role of transparency in investment decisions. In the first two chapters, I investigate how the contrasting trends in media coverage and earnings guidance have affected stock price informativeness over the past two decades. I develop a model...
- Subject:
- Finance
- Creator:
- Topbas, Yunus
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 06/22/2022
- Date Created:
- 2022-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- etdadmin_upload_889149 and http://dissertations.umi.com/northwestern:15976
-
- Description:
- Chapter 1: Despite the rapid growth of passive ownership over the past 30 years, there is no consensus on how or why passive ownership affects stock price informativeness. This paper provides a new answer to this question by examining how passive ownership changes investors' incentives to acquire information. I develop...
- Subject:
- Economics, Finance, and Economic theory
- Creator:
- Sammon, Marco
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 06/28/2021
- Date Created:
- 2021-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- etdadmin_upload_818012 and http://dissertations.umi.com/northwestern:15554
-
- Description:
- his dissertation addresses questions of investment theories in financial economics. Chapter 1 studies investment problem with ambiguity and agency friction in a optimal contracting framework, where investors (principal) have ambiguous beliefs about the cash flows and the managers (agent) can pursue unobservable risk-taking strategies that earn cash flow but may...
- Subject:
- Finance
- Creator:
- Liu, Yufeng
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 06/28/2021
- Date Created:
- 2021-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- http://dissertations.umi.com/northwestern:15560 and etdadmin_upload_818233
-
- Description:
- This dissertation contains three chapters. In Chapter 1, I study the effects of bank leverage ratio restrictions in a general equilibrium model of the macroeconomy where lenders can anticipate bank runs. This framework allows the analysis of the tradeoffs associated with bank capital requirements - while unlimited leverage allows capital...
- Keyword:
- mortgage, credit supply, haircut, creditor rights, collateral, and repo
- Subject:
- Economics and Finance
- Creator:
- Lewis, Brittany Almquist
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 02/01/2021
- Date Created:
- 2020-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- http://dissertations.umi.com/northwestern:15346 and etdadmin_upload_773034
-
- Description:
- This dissertation addresses questions in the fields of household finance and corporate finance. In Chapter 1, I use a quasi-experiment in Norway to examine how households respond to capital taxation. The introduction of a new wealth assessment methodology in 2010 led to geographic discontinuities in household exposure to wealth taxes,...
- Subject:
- Economics and Finance
- Creator:
- Ring, Marius Alexander Kalleberg
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 02/01/2021
- Date Created:
- 2020-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- etdadmin_upload_759556 and http://dissertations.umi.com/northwestern:15210
-
- Description:
- This thesis investigates various aspects of productivity. In the first chapter I investigate the role of consumer demand in generating productivity dispersion. In particular, I study how differences in consumer preferences across the household income distribution generate dispersion in markups across the Indian manufacturing sector. I find that this consumer...
- Keyword:
- Productivity, Financial Technology, India, Consumer Demand, Information Frictions, and Misallocation
- Subject:
- Economics and Finance
- Creator:
- Gupta, Apoorv
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 01/21/2021
- Date Created:
- 2020-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- http://dissertations.umi.com/northwestern:15092 and etdadmin_upload_742465
-
- Description:
- Technological innovation is a key determinant of economic growth, and my dissertation is to understand the links between the investment of technological innovation and financial markets, with a focus on how the macroeconomic environment interacts with and is influenced by the financial constraints facing firms. Chapter one investigates the links...
- Keyword:
- Macroeconomic, Innovation, Debt, Technology, Economic Growth, and Finance
- Subject:
- Finance
- Creator:
- Huang, Qiushi
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 01/21/2021
- Date Created:
- 2020-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- http://dissertations.umi.com/northwestern:15047 and etdadmin_upload_732371
-
- Description:
- Chapter 1 proposes a parsimonious two-country, two-good, and complete-market model featuring heterogeneous beliefs to address the Backus-Smith, volatility, and forward premium puzzles in international finance. The presence of the time-varying difference in beliefs has direct and indirect effects on equilibrium exchange rates. The direct effect appears as a wedge in...
- Subject:
- Finance
- Creator:
- XIa, Shixiang
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 01/21/2021
- Date Created:
- 2020-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- http://dissertations.umi.com/northwestern:15074 and etdadmin_upload_741127
-
- Description:
- This dissertation is a wide-range study of the relationships between the three central elements of the production function: technology, capital and its financing, and labor. Chapter 1 analyzes the relationship between labor and recent wave of automation and digitization technologies, showing that while they typically substitute for workers, in several...
- Keyword:
- flexibility, labor supply, household debt, capital structure, automation and digitization, and labor scarcity
- Subject:
- Economics, Finance, and Labor economics
- Creator:
- Zator, Michal
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 01/21/2021
- Date Created:
- 2020-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- etdadmin_upload_737737 and http://dissertations.umi.com/northwestern:15059
-
- Description:
- Foreign currency debt has led to many crises in emerging markets. In the past decade, firms in emerging economies have drastically increased their foreign currency borrowing, making them significantly exposed to depreciation shocks. To reduce their exposure to external shocks, central banks have increased their use of regulation, such as...
- Subject:
- Finance
- Creator:
- Keller, Lorena
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 04/29/2020
- Date Created:
- 2020-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- http://dissertations.umi.com/northwestern:14972 and etdadmin_upload_715245
-
- Description:
- This dissertation is a broad study on individual and firm-level financial conditions and their effects on politics. In the first chapter, I study the effect of economic conditions on political polarization using micro-data on house prices, mortgages, and individual political contributions. I argue that shocks to housing wealth --- the...
- Keyword:
- Financial Crises, Political Polarization, Housing Markets, Mortgages, and Voting
- Subject:
- Economics, Finance, and Political science
- Creator:
- van Straelen, Hendrik Philip
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 02/12/2020
- Date Created:
- 2019-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- etdadmin_upload_662641 and http://dissertations.umi.com/northwestern:14651
-
- Description:
- Mortgage brokers originate a large share of residential real estate lending. Exploiting state-level regulatory changes to local entry costs I am able to study the effect on credit quality and access. Using data from a major mortgage lender in the run up to the financial crisis I study how the...
- Subject:
- Finance
- Creator:
- Stephenson, Harvey Hugh
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 02/12/2020
- Date Created:
- 2019-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- http://dissertations.umi.com/northwestern:14642 and etdadmin_upload_662464
-
- Description:
- In this dissertation I study the effects of mortgage leverage policies. These policies have become widely used in recent years, both as a macroprudential tool and to protect consumers, yet their effects are still not well understood. In Chapter 1, I show that mortgage leverage rules implemented under the Dodd-Frank...
- Keyword:
- mortgages, entrepreneurship, financial regulation, and house prices
- Subject:
- Economics and Finance
- Creator:
- Johnson, Stephanie Georgina
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 02/12/2020
- Date Created:
- 2019-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- etdadmin_upload_662744 and http://dissertations.umi.com/northwestern:14658
-
- Description:
- This dissertation explores two factors that affect innovation. The first factor studied is extrinsic, namely, the legal environment. The second factor is a factor of input into innovation - culture of the inventors. The first chapter studies the impact of a weakened patent environment on research investments. Departing from the...
- Keyword:
- Research and Development, Patent, Innovation, and Culture
- Subject:
- Intellectual property and Finance
- Creator:
- Srinivasan, Sridhar
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 02/12/2020
- Date Created:
- 2019-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- http://dissertations.umi.com/northwestern:14622 and etdadmin_upload_662046
-
- Description:
- This dissertation is a wide-ranging study on real estate and the effect of financial constraints on economic activity. In the first chapter, I use granular data on home builder housing developments to provide new evidence that firms spread negative revenue shocks across projects via their internal capital markets. I analyze...
- Keyword:
- Corporate Finance, Housing, Financial Constraints, and Real Estate
- Subject:
- Finance
- Creator:
- van Straelen, Eileen Driscoll
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 02/12/2020
- Date Created:
- 2019-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- etdadmin_upload_662556 and http://dissertations.umi.com/northwestern:14646
-
- Description:
- This dissertation examines three distinct empirical questions in macroeconomics and finance. Chapter 1 studies the reasons why households file for bankruptcy. The debt relief households obtain in bankruptcy provides insurance against wealth losses, but also distorts borrower incentives to repay debt, discouraging lending. Understanding how bankruptcy filings respond to changes...
- Subject:
- Economics and Finance
- Creator:
- Indarte, Alexandra Scarlett
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 02/12/2020
- Date Created:
- 2019-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- etdadmin_upload_662180 and http://dissertations.umi.com/northwestern:14631
-
- Description:
- This dissertation explores our understanding of corporate credit ratings. In the first chapter I examine the issue of split ratings. S&P and Moody’s often differ in their initial ratings at bond issuance, producing what is referred to as a split rating. The consensus view in the literature and in practice...
- Subject:
- Accounting, Economics, and Finance
- Creator:
- Basu, Riddha Sattam
- Owner:
- Scholarly Digital Publishing
- Language:
- en
- Date Uploaded:
- 02/12/2020
- Date Created:
- 2019-01-01
- Resource Type:
- Dissertation
- Alternate Identifier:
- http://dissertations.umi.com/northwestern:14576 and etdadmin_upload_658729
-
- Description:
- In this thesis, I investigate how the disagreements among market participants can affect markets in various settings. In the first chapter, I study how market participants with heterogeneous beliefs and non-commitment can create and manage counterparty risk in a sequentially and bilaterally traded market. I find that the equilibrium price...
- Keyword:
- Counterparty Risk, Bubble, Asynchronized Trading, Central Clearing, Derivatives, and Heterogeneous Beliefs
- Subject:
- Finance
- Creator:
- Hao Sun
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 10/14/2019
- Date Modified:
- 10/14/2019
- Resource Type:
- Dissertation
-
- Description:
- Chapter 1: Product Market Strategy and Capital Structure: Evidence from Resale Price Maintenance', "This paper studies how a firm's pricing strategy affects its financial leverage. Retailers vary in pricing strategy, ranging from low markup (i.e., ``discount''), no frills retailers to high markup retailers that offer extensive service. The choice of...
- Keyword:
- Finance
- Subject:
- Finance
- Creator:
- Grant Thomas Clayton
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 09/30/2019
- Date Modified:
- 09/30/2019
- Date Created:
- 1/1/2018
- Resource Type:
- Dissertation
-
- Description:
- Chapter 1 examines the question of how to sell a firm when potential buyers do not know how many other potential buyers there are. The seller can choose to sell the firm either through bilateral negotiations or through an auction. In equilibrium, if the seller observes the number of buyers...
- Keyword:
- Informed Principal, Product Markets, Negotiations, Mergers and Acquisitions, Contracts, and Auctions
- Subject:
- Finance
- Creator:
- Rajkamal Vasu
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 04/22/2019
- Date Modified:
- 04/22/2019
- Date Created:
- 2018-01-01
- Resource Type:
- Dissertation
-
- Description:
- This dissertation studies whether stock mergers creates value for acquirers. The first chapter of this dissertation conducts a comprehensive review of the existing merger literature relevant to this topic. It includes existing merger theories, empirical studies on whether mergers are value destroying or value creating, and methodological issues on empirical...
- Keyword:
- Economics and Finance
- Subject:
- Finance
- Creator:
- Qi Lu
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 09/17/2018
- Date Modified:
- 09/17/2018
- Date Created:
- 2008-10-02
- Resource Type:
- Dissertation
-
- Description:
- Hedge funds' existence and activity have a dramatic impact on both financial markets and the real economy. The first chapter of this thesis analyzes the tradeoff between access to financing and disclosure of valuable trading information hedge funds are facing when interacting with their brokers. The next two chapters model...
- Keyword:
- Prime Brokers, Credit Default Swap, Hedge Fund, Creditor Board, Voting, and Capital Structure Strategy
- Subject:
- Finance
- Creator:
- Ioan Florian I. Olaru
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 09/10/2018
- Date Modified:
- 09/10/2018
- Date Created:
- 2008-05-09
- Resource Type:
- Dissertation
-
- Description:
- In this dissertation we analyze the decision process of firms and individuals along two dimensions which are central to the field of asset pricing and macroeconomics. In the first chapter, we study the pricing decision of the firm in a framework where customer base matters. Surveys of managers show that...
- Keyword:
- Finance
- Subject:
- Finance
- Creator:
- Yizhaq Kleshchelski
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 09/07/2018
- Date Modified:
- 09/07/2018
- Date Created:
- 2008-05-08
- Resource Type:
- Dissertation
-
- Description:
- The first chapter of this dissertation studies a continuous-time agency model where the agent controls the drift of the geometric Brownian motion firm size. The changing firm size generates partial incentives, analogous to awarding the agent equity shares according to her continuation payoff. When the agent is as patient as...
- Keyword:
- Economics and Finance
- Subject:
- Finance
- Creator:
- Zhiguo He
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 08/31/2018
- Date Modified:
- 08/31/2018
- Date Created:
- 2008-04-23
- Resource Type:
- Dissertation
-
- Description:
- The first chapter of this dissertation investigates the pricing of systematic variance risk in the equity options market. Cross sectional tests on synthetic variance swap returns reveal no evidence of a negative market variance risk premium. Furthermore, we show that a class of linear factor models cannot simultaneously explain index...
- Keyword:
- dispersion trading, pairs trading, correlation trading, equity options, variance swaps, and volatility forecasting
- Subject:
- Finance
- Creator:
- Vadim di Pietro
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 08/16/2018
- Date Modified:
- 08/16/2018
- Date Created:
- 2007-06-22
- Resource Type:
- Dissertation
-
- Description:
- In chapter 1, we study the investment behavior of firms faced with uncertainty, irreversibility and non-convex adjustment costs when output can be stored. A discrete-time dynamic optimization problem is solved numerically using neural networks to study the investment problem. Our numerical results suggest that whether or not firms can store...
- Keyword:
- Commodity prices, Storage, Disclosure, Convenience yield, Investment, and Irreversibility
- Subject:
- Finance
- Creator:
- Caroline-Anne Sasseville
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 08/14/2018
- Date Modified:
- 08/14/2018
- Date Created:
- 2007-07-09
- Resource Type:
- Dissertation
-
- Description:
- This dissertation is a comprehensive study on mutual fund flows and the portfolio liquidity of mutual funds. The dissertation is organized into three chapters. In the first chapter, I consider the problem of aligning the incentives between the mutual fund investor and the mutual fund manager. I show that the...
- Keyword:
- Mutual Fund Flows, Mutual Funds, and Liquidity
- Subject:
- Finance
- Creator:
- Grace Koo
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 06/27/2018
- Date Modified:
- 06/27/2018
- Date Created:
- 2007-05-14
- Resource Type:
- Dissertation
-
- Description:
- This dissertation studies two long-standing asset pricing anomalies: "Value and Growth Effects" and "Momentum Effects" via the channel of market imperfections. These market imperfections stem from basic information asymmetry problem, and take forms of contracting problems and less than perfectly competitive information intermediaries. The first essay (joint with Zhi Da)...
- Keyword:
- Finance
- Subject:
- Finance
- Creator:
- Pengjie Gao
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 06/25/2018
- Date Modified:
- 06/25/2018
- Date Created:
- 2007-05-14
- Resource Type:
- Dissertation
-
- Description:
- The present dissertation includes my research on modeling financial market returns and volatility on high frequency data. It consists of three chapters. The first chapter introduces a novel high-frequency volatility estimator based on large price moves, which constitutes a generalization of the standard range. An asymptotic theory is developed in...
- Keyword:
- Normality Tests, Jump Detection, Generalized Range, Realized Volatility, Jump-Diffusion Processes, and High-Frequency Data
- Subject:
- Finance
- Creator:
- Dobrislav Dobrev
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 05/28/2018
- Date Modified:
- 05/28/2018
- Date Created:
- 2007-05-11
- Resource Type:
- Dissertation