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Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect
Dunbar, Kwamie; Edwards, Albert J. - 2007
In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co … that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the …
Persistent link: https://www.econbiz.de/10009430120
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The Role of Emerging Market in Investment Portfolios
Hallinan, Kelly - 2011
This thesis explores the role of emerging markets in investment portfolios. Could an investment portfolio consisting of emerging market securities have outperformed similar portfolios that did not contain emerging markets over recent years? Gathering data from January 1, 2009 to December 31,...
Persistent link: https://www.econbiz.de/10009430255
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14.123 Microeconomic Theory III, Spring 2009
Eso, Peter - 2009
This half-semester course discusses decision theory and topics in game theory. We present models of individual decision …, supermodularity, monotone comparative statics, background risk, game theory, rationalizability, iterated strict dominance multi …-stage games, sequential equilibrium, trembling-hand perfection, stability, signaling games, theory of auctions, global games …
Persistent link: https://www.econbiz.de/10009432546
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Testing non-linear dependence in the hedge fund industry
Mencía González, Javier - 2010
This paper proposes a parsimonious approach to test non-linear dependence on the conditional mean and variance of hedge funds with respect to several market factors. My approach introduces non-linear dependence by means of empirically relevant polynomial functions of the factors. For comparison...
Persistent link: https://www.econbiz.de/10012530285
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Shared Versus Separate Networks - The Impact of Reprovisioning
Sen, Soumya; Guérin, Roch A; Hosanagar, Kartik - 2009
As networks improve and new services emerge, questions arise that affect service deployments and network choices. The Internet is arguably a successful example of a network shared by many services. However, combining heterogeneous services on the same network need not always be the right answer,...
Persistent link: https://www.econbiz.de/10009438861
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Essays in international finance and search theory.
Wicas, Nelson Walter - 1992
This dissertation contains three essays that can be read independently. The first chapter examines how a debt crisis can occur and persist as a result of unanticipated, transitory, real interest rate and commodity price shocks. Using an optimal stopping framework, the debtor country's optimal...
Persistent link: https://www.econbiz.de/10009439095
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Equilibrium, efficient-markets, and liquidity in the cash-in-advance model
Arroyo, Cristino Rodriguez; Arroyo, Cristino Rodriguez - 1991
equilibrium theory. Consider, for instance, the case of the efficiency of forward exchange rates vis-a-vis spot rates. Depending …
Persistent link: https://www.econbiz.de/10009441845
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ESTIMATION OF THE LINEAR AND QUADRATIC EXPENDITURE SYSTEMS FOR COLOMBIAN HOUSEHOLDS
MARTIN, THOMAS LEE; MARTIN, THOMAS LEE - 1981
This study is an empirical analysis of household expenditure behavior using the Linear and Quadratic Expenditure Systems. The expenditure systems are estimated using data collected in 1972 by the Departmento Administrativo Nacional de Estadisticas (DANE) of Bogota, Colombia. The Linear...
Persistent link: https://www.econbiz.de/10009441861
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Essays on parametric and nonparametric modeling and estimation with applications to energy economics
Gao, Weiyu; Gao, Weiyu - 1999
My dissertation research is composed of two parts: a theoretical part on semiparametric efficient estimation and an applied part in energy economics under different dynamic settings. The essays are related in terms of their applications as well as the way in which models are constructed and...
Persistent link: https://www.econbiz.de/10009441863
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Three essays on time series with nonstandard nonstationary models
Miller, James Isaac; Miller, James Isaac - 2005
In the first chapter; we consider nonlinear transformations of random walks driven by thick-tailed innovations with infinite means or variances. In particular, we show how nonlinearity, nonstationarity, and thick tails interact to generate persistency in memory, and we clearly demonstrate that...
Persistent link: https://www.econbiz.de/10009441866