Ragnar Frisch's concept of econometrics was broader in scope than the more restricted connotation it has today as a sub-discipline of economics, it may be more properly rendered as a reconstruction of economics along principles inspired and drawn from natural sciences. In this reconstruction an...

This dissertation consists of three stand-alone research papers, all of which treat the topic of estimation and dynamic modelling of multivariate volatility by employing the information contained in high-frequency data, which became available in the last 10 - 15 years. The main focus of all...

This dissertation introduces three novel approaches for the econometric evaluation of heterogeneous treatment effects. The proposed methods consider the effects of a binary treatment on different characteristics of the outcome distribution.Section 1 proposes an estimation method for various...

The main focus of this work is theanalysis of price direction processes at transaction level ofdifferent stocks traded at the NYSE. Three different models havebeen applied to the data, namely the autoregressive conditionalmultinomial model, a probit model with latent ARMA-process anddifferent...

In recent years high-frequency finance has become one of the most active research fields in finance and economics. The wide-spread availability of high-frequency datasets has particularly spurred research within this field and has, in turn, given birth to the rapidly expanding bridge between...

This dissertation is comprised of three essays on nonparametric Bayesian modeling in microeconometrics. The introduction discusses some basic concepts of Bayesian nonparametrics including the Dirichlet process and the mixture of Dirichlet processes model. Further, the literature on estimating...

The development of a feasible and flexible model for the intraday transaction process is an ongoing topic in the empirical analysis of market microstructure. This work attempts to modify and extend the models of the transaction process suggested by Rydberg and Shephard (1998) and Russell and...