This paper studies residential, commuting and car ownership decisions in the Greater Wellington Region of New Zealand. We establish an estimation methodology that is robust to endogeneity between house prices and residential decisions. The paper also makes extensive use of Geographic Information...

We examine the decision to prepay a fixed rate mortgage in the UK Canada Ireland Australia and New Zealand. These countries are characterised by having substantial fees which are associated with breaking a fixed rate mortgage. We develop a model which allows for fluctuations both in banks'...

Electricity is a non-storable commodity frequently traded in complex markets characterized by oligopolistic structures and uniform-price auctions. These particularities confer to electricity prices idiosyncratic patterns not addressed by the usual commodity pricing literature. This paper allows...

This paper examines the importance of jumps in asset prices for investment problems potentially incorporating consumption decisions. We present a technique for solving investment-consumption problems when asset prices jump. We also demonstrate how to quantify utility losses using an "optimal...

Presentation made by Toby Daglish to Otago University on 4 November 2011. Based on a working paper (forthcoming) by Toby Daglish NZ Institute for the Study of Competition and Regulation and Lyndon Moore University of Melbourne.

This paper proposes a new approach to modeling volatility changes and clustering. In particular, we use a parsimonious high-order Markov chain which allows for duration dependence. As in the standard 1st-order Markov-switching model, this structure can capture turning points and shifts in...

This paper investigates if component GARCH models introduced by Engle and Lee(1999) and Ding and Granger(1996) can capture the long-range dependence observed in measures of time-series volatility. Long-range dependence is assessed through the sample autocorrelations, two popular semiparametric...

This thesis consists of three essays in empirical finance and macroeconomics. The first essay proposes a new structural-break vector autoregressive model for predicting real output growth by the nominal yield curve. The model allows for the possibility of both in-sample and out-of-sample breaks...

This thesis develops new hidden Markov models and applies them to financial marketand macroeconomic time series.Chapter 1 proposes a probabilistic model of the return distribution with rich andheterogeneous intra-regime dynamics. It focuses on the characteristics and dynamics of bear market...