Doctor of Philosophy

We propose a new procedure for estimating the survival function of a time-to-event random variable under arbitrary patterns of censoring. Under mild smoothness assumptions, this procedure allows a unified approach to handling different kinds of censoring, while in many cases increasing...

In educational research, students often exist in a multilevel social setting that can be identified by students within classrooms, classrooms nested in schools, schools nested in school districts, school districts nested in school counties, and school counties nested in states. These are...

There has been an on-going debate about choices of the most suitable model amongst avariety of model specifications and parameterizations. The first dissertation essay investigateswhether asymmetric leptokurtic return distributions such as Hansen’s (1994) skewed tdistributioncombined with...

1. Ecological data sets often use clustered measurements or use repeated sampling in a longitudinal design. Choosing the correct covariance structure is an important step in the analysis of such data, as the covariance describes the degree of similarity among the repeated observations. 2. Three...

There has been an on-going debate about choices of the most suitable model amongst a variety of model specifications and parameterizations. The first dissertation essay investigates whether asymmetric leptokurtic return distributions such as Hansen's (1994) skewed tdistribution combined with...

The asymptotic efficiency of indirect estimation methods, such as the efficient method of moments and indirect inference, depends on the choice of the auxiliary model. To date, this choice has been somewhat ad hoc and based on an educated guess. In this article we introduce a class of...

The implied volatility of an option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface (IVS) in a...

This study attempts to investigate the financial market contagion in a global perspective. We use a large sample of 26 countries representing different regions in the world and focus on the spillover effects of the 1998 Russian crisis. We use daily observations on three financial market...

We presents a global model linking individual country vector error-correcting models in which domestic variables are related to country-specific variables as an approximate solution to a global common factor model. The model is estimated for 26 economies. It provides a theoretical framework...