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...

In this thesis we are interested in financial risk and the instrument we want to use is Value-at-Risk (VaR). VaR is the maximum loss over a given period of time at a given confidence level. Many definitions of VaR exist and some will be introduced throughout this thesis. There two main ways to...

Šio darbo tikslas – išsiaiškinti, kokią įtaką atskiros paskolų charakteristikos (terminas, suma, palūkanų norma, tipas) turėjo įsipareigojimų nevykdymo rizikai Lietuvos kredito unijose 2006-2008 metais. Darbą sudaro trys pagrindinės dalys. Pirmoje darbo dalyje pateikiami kredito...

University of Minnesota Ph.D. dissertation. August 2009. Major: Business Administration. Advisor: Rajesh K. Aggarwal. 1 computer file (PDF); vii, 233 pages.

This dissertation consists of three essays which are all devoted to the credit risk of non-financial companies and follow the so-called “structural approach”. In the first chapter I propose a new structural model, which tries to focus on three specific aspects, which, I argue, are especially...

Central to the explosive growth of the Internet has been the desire of dispersed buyers and sellers to interact readily and in a manner hitherto impossible. Underpinning these interactions, auction pricing mechanisms have enabled Internet transactions in novel ways. Despite this massive...

University of Minnesota Ph.D. dissertation. June 2010. Major: Business Administration. Advisors: George John and Om Narasimhan. 1 computer file (PDF); ix, 160, appendices p. 142-160.

The problem of determining whether or not a theoretical model is an accurate representation of an empirically observed phenomenon is one of the most challenging in the empirical scientific investigation. The following study explores the problem of stochastic model validation. Special attention...

Die vorliegende Dissertation befasst sich mit probabilistischen Prognosen, die seit einigen Jahren ein aktives ökonometrisches Forschungsgebiet darstellen. Da solche Prognosen eine vollständige Verteilung für die interessierende Zufallsvariable angeben, beinhalten sie Information über...