Author: Xiaokang Zhu
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 422
Book Description
Three Essays in Econometrics and Financial Economics
Author: Xiaokang Zhu
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 422
Book Description
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 422
Book Description
Three essays on financial econometrics
Author: Jiang Liang
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 0
Book Description
"This dissertation develops several econometric techniques to address three issues in financial economics, namely, constructing a real estate price index, estimating structural break points, and estimating integrated variance in the presence of market microstructure noise and the corresponding microstructure noise function. Chapter 2 develops a new methodology for constructing a real estate price index that utilizes all transaction price information, encompassing both single-sales and repeat-sales. The method is less susceptible to specification error than standard hedonic methods and is not subject to the sample selection bias involved in indexes that rely only on repeat sales. The methodology employs a model design that uses a sale pairing process based on the individual building level, rather than the individual house level as is used in the repeat-sales method. The approach extends ideas from repeat-sales methodology in a way that accommodates much wider datasets. In an empirical analysis of the methodology, we fit the model to the private residential property market in Singapore between Q1 1995 and Q2 2014, covering several periods of major price fluctuation and changes in government macroprudential policy ..."--Author's abstract.
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 0
Book Description
"This dissertation develops several econometric techniques to address three issues in financial economics, namely, constructing a real estate price index, estimating structural break points, and estimating integrated variance in the presence of market microstructure noise and the corresponding microstructure noise function. Chapter 2 develops a new methodology for constructing a real estate price index that utilizes all transaction price information, encompassing both single-sales and repeat-sales. The method is less susceptible to specification error than standard hedonic methods and is not subject to the sample selection bias involved in indexes that rely only on repeat sales. The methodology employs a model design that uses a sale pairing process based on the individual building level, rather than the individual house level as is used in the repeat-sales method. The approach extends ideas from repeat-sales methodology in a way that accommodates much wider datasets. In an empirical analysis of the methodology, we fit the model to the private residential property market in Singapore between Q1 1995 and Q2 2014, covering several periods of major price fluctuation and changes in government macroprudential policy ..."--Author's abstract.
Three Essays in Financial Econometrics
Author: Jianxun Li
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Three Essays in Financial Economics
Author: Biplab K. Ghosh
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Three Essays in Financial Economics
Author: Jose Vicente Martinez
Publisher:
ISBN:
Category :
Languages : en
Pages : 294
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 294
Book Description
Three Essays in Financial Economics
Author: Andrey Dmitrievich Ukhov
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Three Essays in Financial Economics
Author: Rajiv Sobti
Publisher:
ISBN:
Category :
Languages : en
Pages : 190
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 190
Book Description
Three Essays in Financial Economics
Author: Adrien Alvero
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
In the third chapter, "Fuzzy Bunching", we introduce a new fuzzy bunching approach that is robust to noise. The existing bunching approach identifies the extent of bunching from a sharp spike in the probability density function. In many finance settings, however, the sharp spike could be diffused by data noise. The key idea behind our fuzzy bunching estimator is to identify bunching from the area of a bulge in the cumulative distribution function. The fuzzy bunching approach also avoids density estimation, which makes it easy to implement in sparse data. We provide the theoretical foundation of this approach and illustrate the advantages by using simulated and real data.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
In the third chapter, "Fuzzy Bunching", we introduce a new fuzzy bunching approach that is robust to noise. The existing bunching approach identifies the extent of bunching from a sharp spike in the probability density function. In many finance settings, however, the sharp spike could be diffused by data noise. The key idea behind our fuzzy bunching estimator is to identify bunching from the area of a bulge in the cumulative distribution function. The fuzzy bunching approach also avoids density estimation, which makes it easy to implement in sparse data. We provide the theoretical foundation of this approach and illustrate the advantages by using simulated and real data.
Essays in Financial Economics and Econometrics
Author: Canlin Li
Publisher:
ISBN:
Category :
Languages : en
Pages : 143
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 143
Book Description
Three Essays in Financial Economics
Author: Kap-Soo Oh
Publisher:
ISBN:
Category :
Languages : en
Pages : 164
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 164
Book Description