This dissertation studies topics in capital markets from the perspectives of financial econometrics and empirical finance. It consists of three essays, each corresponding to one chapter. In the first chapter, we analyze whether the systematic asymmetry factor, proxied by skewness of the market,...

Mean-variance optimization provides a framework for constructing portfolios that have minimum risk for a given level of expected return. The required inputs are the expected asset returns, the asset covariance matrix, and a set of investment constraints. While portfolio optimization always leads...

We assess and apply the term-structure model introduced by Nelson and Siegel (1987) and re-interpreted by Diebold and Li (2003) as a modern three-factor model of level, slope and curvature. First, we ask whether the model is a member of the affine class, and we find that it is not. Hence the...