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High dimensional covariance matrix estimation is considered in the context of empirical asset pricing. In order to see the effects of covariance matrix estimation on asset pricing, parameter estimation, model specification test, and misspecification problems are explored. Along with existing...
Persistent link: https://www.econbiz.de/10009476067
Includes bibliographical references (leaves [21-25]).
Persistent link: https://www.econbiz.de/10009477725
This thesis examines the impact of exchange rate risk on asset pricing under varying market structures. To understand this effect, in the first part of the thesis the analytical derivation of an international asset-pricing model within a mean-variance framework is attempted. In the second part,...
Persistent link: https://www.econbiz.de/10009451016
Research in this thesis deals with some unexplored, or only partially explored, issues relating to the information content of volatility of the idiosyncratic component of asset returns at the firm and industry-level, both in the context of developed and emerging stock markets. Specific issues we...
Persistent link: https://www.econbiz.de/10009482095