In this dissertation new test statistics for the (panel) unit root hypothesis are presented. Besides a novel approach to testing the unit root hypothesis in univariate time series, the major part of this thesis is dedicated to unit root testing in cross sectionally dependent panels with...

This paper investigates the hypotheses that the recently established Mexican stock index futures market effectively serves the price discovery function, and that the introduction of futures trading has provoked volatility in the underlying spot market. We test both hypotheses simultaneously with...

Essays in Empirical Finance: Evaluating Risk in FinancialMarketsBy Alysa V. ShcherbakovaThis dissertation is comprised of two parts, each addressing animportant type of financial risk. The first part is composed of anessay discussing Market Risk. This essay examines a causalrelationship between...

We consider the hedging of derivative securities when the price movement of the underlying asset can exhibit random jumps. Under a one factor Markovian setting, we derive a spanning relation between a long term option and a continuum of short term options. We then apply this spanning relation to...

A novel procedure is described for accelerating the convergence of Markov chain Monte Carlo computations. The algorithm uses an adaptive bootstrap technique to generate candidate steps in the Markov Chain. It is efficient for symmetric, convex probability distributions, similar to multivariate...

In order to analyse risks and to choose from different decision-making strategies simulation models are often applied in several areas of animal breeding. We developed an improved Monte Carlo model for analysing laying hen breeding combined with Bayes’ statistics. On the basis of data from a...

The vast majority of crop and revenue insurance policies sold in the United States are single-crop policies that insure against low yields or revenues for each crop grown on the farm. But, increasingly, producer income is based more on the value of crops that have been converted into a...

The research deals with bootstrap interval estimation of wildlife population sizes frommultiple surveys in the Hluhluwe-Umfolosi Park. The jackknife procedure was also usedto provide the standard errors for the survey estimates. The main wildlife speciese studiedin the research were the White...