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...

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...

We consider the problem of model assessment by risk estimation. Variousapproaches to risk estimation are considered in a uni ed framework. This a discussion of various complexity dimensions and approaches to obtainingbounds on covering numbers is also presented.The second type of training sample...

Previous research implementing stratification on the propensity score has generally relied on using five strata, based on prior theoretical groundwork and minimal empirical evidence as to the suitability of quintiles to adequately reduce bias in all cases and across all sample sizes. This study...

In terms of risk measurement, probability and quantile risk estimation have developed enormously in the past decade, from value-at-risk measures to coherent measures such as expected shortfall. These measures allow an investor to determine their risk profile accounting for losses (quantiles) at...

To overcome the curse of dimensionality, dimension reduction is important andnecessary for understanding the underlying phenomena in a variety of fields.Dimension reduction is the transformation of high-dimensional data into ameaningful representation in the low-dimensional space. It can be...

This thesis is concerned with simulation output analysis. In particular, we are inter-ested in estimating the variance parameter of a steady-state output process. The estimationof the variance parameter has immediate applications in problems involving (i) the precisionof the sample mean as a...

Determnation of the structure of a medium from normal-incidenceacoustic reflection data is a basic problem in fieldsas diverse as medical technology and the earth sciences; thisresearch examines the accuracy with which quantitative structureestimates can be made from noise-corrupted...

Log-linear modeling is a popular statistical tool for analysing a contingency table. This presentation focuses on an alternative approach to modeling ordinal categorical data. The technique, based on orthogonal polynomials, provides a much simpler method of model fitting than the conventional...

Log-linear modeling is a popular statistical tool for analysing a contingency table. This presentation focuses on an alternative approach to modeling ordinal categorical data. The technique, based on orthogonal polynomials, provides a much simpler method of model fitting than the conventional...