This dissertation comprises of three stand-alone research papers, all considering the use of high frequency financial data for financial market risk measurement. The first chapter considers the extraction of liquidity information from the intraday limit order book to enhance the daily market...

This study was prepared by Beate Schirwitz while she was working at the Ifo Institute’s Dresden Branch. It was completed in February 2012 and accepted as a doctoral thesis by the Faculty of Law, Management, and Economics at the Johannes Gutenberg University Mainz in July 2012. It focuses on a...

This dissertation consists of five distinct empirical papers covering two large areas of research that are rather independent from each other: the economics of ageing and the economics of innovation. The first three chapters cover the impact of intergeneration interaction on the parents of adult...

This dissertation consists of five independent projects. In each project, a novelstatistical method was developed to address a practical problem encountered in genomiccontexts. For example, we considered testing for constant nonparametric effectsin a general semiparametric regression model in...

Model selection and nonnested hypothesis testing procedures are considered in three papers. The papers generalize the existing testing procedures and propose methods to improve approximations to the sampling distribution of the test statistics. The first paper proposes robust tests which...

This thesis consists of three chapters on economic and econometric applications of Bayesian parameter estimation and model comparison. The first two chapters study the incidental parameter problem mainly under a linear autoregressive (AR) panel data model with fixed effect. The first chapter...

Despite their success and widespread usage in industry and business, ES methods have received little attention from the statistical community. We investigate three types of statistical models that have been found to underpin ES methods. They are ARIMA models, state space models with multiple...

An important element of successful engineering design is the effective management of resources to support design decisions. Design decisions can be thought of as having two phasesa formulation phase and a solution phase. As part of the formulation phase, engineers must decide how much...

We study a special class of misspecified generalized linear models, where the true model is a mixed effect model but the working model is a fixed effect model with parameters of dimension increasing with sample size. We provide a sufficient condition both in linear models and generalized linear...

While model selection is viewed as a fundamental task in data analysis, it imposesconsiderable effects on the subsequent inference. In applied statistics, it is common tocarry out a data-driven approach in model selection and draw inference conditional on theselected model, as if it is given a...