Doctor of Philosophy

We demonstrate that the process of generating smooth transitions Call be viewed as a natural result of the filtering operations implied in the generation of discrete-time series observations from the sampling of data from an underlying continuous time process that has undergone a process of...

With the acceptance of the new Basel II banking regulation (implemented in South Africa in January 2008) the search for improved ways of modeling the most important banking activities has become very topical. Since the notion of Levy-process was introduced, it has emerged as an important tool...

In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are...

The main purpose of this paper is to derive unbiased Monte Carlo estimators of various sensitivity indices for an averaged asset price dynamics governed by the gamma Lévy process. The key idea is to apply a scaling property of the gamma process with respect to the Esscher density transform...

Providing appropriate forecasts of time series data into the future depends crucially on whether the time series under consideration is non-stationary (i.e. has a unit root) or stationary. In the context of a Stochastic Volatility Model (SVM), the presence of a unit root in financial data has...

The theme of unit roots in macroeconomic time series have received a great amount of attention in terms of theoretical and applied research over the last three decades. Since the seminal work by Nelson and Plosser (1982), testing for the presence of a unit root in the time series data has become...

The purpose of this study is to investigate the impact of economic reforms on poverty levels in India during the period 1975 - 2006. We construct a comprehensive measure of economic reforms index made up of seven subcomponents and percentage of population living below poverty line is used as...

In recent years the world economy has become closely integrated due to increasing trade and financial capital flows across countries. In this study we investigate the cointegrating relationships between the stock price indices of 7 emerging Asian economies (Malaysia, South Korea, Singapore,...

The low power of available econometric tests is an important problem in applied research on unit roots and related issues. Based on the principle of methodological triangulation, the problem should be analyzed from different points of view in order to increase the validity of the results....