The paper develops an approach for analyzing the dynamics of a nonlinear time series that is represented by a nonparametric estimate of its one-step ahead conditional density. The approach entails examination of conditional moment profiles corresponding to certain shocks; a conditional moment...

This dissertation consists of three related chapters that study financial market volatility,jumps and the economic factors behind them. Each of the chapters analyzes adifferent aspect of this problem.The first chapter examines tests for jumps based on recent asymptotic results.Monte Carlo...

estimates and examines the empirical plausibility of asset pricing models that attempt to explain features of financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long-run risks (LRR) model of Bansal and Yaron, low-frequency...

describes the use of the Gallant-Tauchen efficient method of moments (EMM) technique for diagnostic checking of stochastic differential equations (SDEs) estimated from financial market data. The EMM technique is a simulation-based method that uses the score function of an auxiliary model as the...

A common model for security price dynamics is the continuous-time stochastic volatility model. For this model, Hull and White (1987) show that the price of a derivative claim is the conditional expectation of the Black-Scholes price with the forward integrated variance replacing the...

The primary objectives of this research are to develop andstudy estimators for generalized linear measurement errormodels when the mean function contains error-free predictorsas well as predictors measured with error and interactions between error-free and error-prone predictors. Attention is...

In the first part of the dissertation, we derive two methods for responders analysis in longitudinal data with random missing data. Often a binary variable is generated by dichotomizing an underlying continuous variable measured at a specific point in time according to a prespecified threshold...

In many clinical studies, researchers are interested in theeffects of a set of prognostic factors on the hazard of death from a specific disease even though patients may die from other competing causes. Often the time to relapse is right-censored for some individuals due to incomplete follow-up....

The estimated parameters of output distance functions frequently violate the monotonicity, quasi-convexity and convexity constraints implied by economic theory, leading to estimated elasticities and shadow prices that are incorrectly signed, and ultimately to perverse conclusions concerning the...

This dissertation consists of three essays, first two of which consider a new estimation method of dynamic panel data models and the last one considers an application of these models. The first essay (Chapter 1) offers empirical likelihood (EL) estimation of dynamic panel data models, which...