Search results
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Title
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American Options Pricing using HJM Approach
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Author
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Fernando, Wedige
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Date Created
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2017
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Description
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With the development of financial markets and increasing demand for managing risk exposure, researchers and practitioners have developed various financial instruments over the years. Options, Futures, Forwards, Swaps are few examples of such instr...
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Title
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American Options Pricing using HJM Approach
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Author
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Fernando, Wedige
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Date Created
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2017
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Description
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With the development of financial markets and increasing demand for managing risk exposure, researchers and practitioners have developed various financial instruments over the years. Options, Futures, Forwards, Swaps are few examples of such instr...
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Title
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American Options Pricing using HJM Approach
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Author
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Fernando, Wedige
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Date Created
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2017
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Subjects--Topical
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Mathematics
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Description
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With the development of financial markets and increasing demand for managing risk exposure, researchers and practitioners have developed various financial instruments over the years. Options, Futures, Forwards, Swaps are few examples of such instr...
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Title
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Dynamic Modeling of Incomplete Event History Data
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Author
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Heng, Fei
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Date Created
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2019
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Description
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Event history analysis has important applications in many fields, such as medicine, engineering, econometrics, actuarial science, and social studies. We usually encounter missing data problems in the modeling of event history data. One typical pro...
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Title
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Dynamic Modeling of Incomplete Event History Data
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Author
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Heng, Fei
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Date Created
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2019
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Subjects--Topical
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Statistics
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Description
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Event history analysis has important applications in many fields, such as medicine, engineering, econometrics, actuarial science, and social studies. We usually encounter missing data problems in the modeling of event history data. One typical pro...
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Title
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EXCHANGE RATE REGIMES, FX LIQUIDITY RISK, AND CARRY TRADE RETURNS
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Author
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Abankwa, Samuel
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Date Created
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2016
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Description
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The dissertation consists of three related topics: FX market-wide liquidity measure and individual currency-pair liquidity co-movements, FX liquidity risk and carry trade returns, and the forward premium puzzle in foreign exchange markets. This is...
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Title
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EXCHANGE RATE REGIMES, FX LIQUIDITY RISK, AND CARRY TRADE RETURNS
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Author
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Abankwa, Samuel
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Date Created
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2016
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Subjects--Topical
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Finance, Industrial management, Economics
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Description
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The dissertation consists of three related topics: FX market-wide liquidity measure and individual currency-pair liquidity co-movements, FX liquidity risk and carry trade returns, and the forward premium puzzle in foreign exchange markets. This is...
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Title
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Essays in Empirical Asset Pricing
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Author
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Mo, Xi
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Date Created
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2021
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Description
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This dissertation contains two essays on empirical asset pricing. The first essay tests a two-beta currency pricing model that features betas with risk-premium news and real-rate news of the currency market. I find that the beta associated with ri...
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Title
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Essays in Empirical Asset Pricing
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Author
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Mo, Xi
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Date Created
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2021
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Subjects--Topical
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Finance
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Description
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This dissertation contains two essays on empirical asset pricing. The first essay tests a two-beta currency pricing model that features betas with risk-premium news and real-rate news of the currency market. I find that the beta associated with ri...
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Title
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Goodness-of-Fit Tests Under Permutations
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Author
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Chen, Chen
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Date Created
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2019
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Description
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Several new goodness-of-fit tests are proposed on countable alphabets, where certain fundamental statistical concepts associated with random variables, such as cumulative distribution functions, characteristic functions and moments, may not exist....
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Title
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Goodness-of-Fit Tests Under Permutations
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Author
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Chen, Chen
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Date Created
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2019
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Subjects--Topical
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Statistics, Mathematics, Information science
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Description
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Several new goodness-of-fit tests are proposed on countable alphabets, where certain fundamental statistical concepts associated with random variables, such as cumulative distribution functions, characteristic functions and moments, may not exist....
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Title
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Improving Semiparametric Estimation of Longitudinal Data with Covariance Function
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Author
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Fang, Fang
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Date Created
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2018
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Subjects--Topical
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Mathematics, Statistics, Biometry
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Description
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In this dissertation, we aim to improve efficiency of estimation in longitudinal data under generalized semi-parametric varying-coefficient models.First, we investigate a profile weighted least square approach for model estimation by utilizing wit...
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Title
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Interval Estimation for Semiparametric Predictive Regression
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Author
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Hong, Shaoxin
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Date Created
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2018
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Description
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Predictive regression is an important research topic in financial econometrics. Various estimation methods have been proposed for it, but they suffer from complicated asymptotic limits which depend on whether or not the predicting variable is stat...
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Title
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Interval Estimation for Semiparametric Predictive Regression
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Author
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Hong, Shaoxin
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Date Created
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2018
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Description
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Predictive regression is an important research topic in financial econometrics. Various estimation methods have been proposed for it, but they suffer from complicated asymptotic limits which depend on whether or not the predicting variable is stat...
