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Essays on monetary economics and financial economics
Jansen, Dennis (contributor) - 2006
In this dissertation three different economic issues have been analyzed. The firstissue is whether monetary policy rules can improve forecasting accuracy of inflation.The second is whether the preference of a central bank is symmetry or not. The last issueis whether the behavior of aggregate...
Persistent link: https://www.econbiz.de/10009465152
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Two essays on the predictability of asset prices:"Benchmarking problems and long horizon abnormal returns"and,"Low R square in the cross section of expected returns"
Sanchez, Benito - 2007
This dissertation consists of two essays on predictability of asset prices. "Benchmarkingproblems and long horizon …
Persistent link: https://www.econbiz.de/10009468641
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The research of usage of shares valuation models for stock market predictability in Vilnius stock exchange
Jagminas, Lauras - 2008
The purpose of this diploma paper is to choose the most suitable methods and models of stock market predictability … after the evaluation of the peculiarities of Lithuanian’s and perform the research of stock price predictability. This … predictability are analysed in the first chapter of this work. The methodology of predictability research of Lithuanian’s stock …
Persistent link: https://www.econbiz.de/10009478732
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Dynamic Portfolio Construction and Portfolio Risk Measurement
Mazibas, Murat - 2011
The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together....
Persistent link: https://www.econbiz.de/10009440952
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Applications of Time Series in Finance and Macroeconomics
Jansen, Dennis W. (contributor) - 2010
This dissertation contains three applications of time series in finance and macroeconomics. The first essay compares the cumulative returns for stocks and bonds atinvestment horizons from one to ten years by using a test for spatial dominance.Spatial dominance is a variation of stochastic...
Persistent link: https://www.econbiz.de/10009464998
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Three Essays on Bayesian Factor Models
Piatek, Rémi - 2010
The present dissertation consists of three stand-alone research papers that all deal with factor models from a Bayesian perspective, both in a theoretical and an empirical setup. More precisely, the thesis is organized in a progressive way as follows: Chapter 1 briefly presents the general...
Persistent link: https://www.econbiz.de/10009471699
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Machine Learning with Dirichlet and Beta Process Priors: Theory and Applications
Paisley, John William - 2010
Bayesian nonparametric methods are useful for modeling data without having to define the complexity of the entire model a priori, but rather allowing for this complexity to be determined by the data. Two problems considered in this dissertation are the number of components in a mixture model,...
Persistent link: https://www.econbiz.de/10009475409
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Forecasting Economic Activity for Estonia
Schulz, Christian - 2008
This work contains three papers employing common factor methodologies to economic forecasting for Estonia. The methods employed are State-space modelling with Kalman filtering, static principal components and dynamic principal components. The last paper also investigates Inflation dynamics and...
Persistent link: https://www.econbiz.de/10009449682
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Four essays on probabilistic forecasting in econometrics
Krüger, Fabian - 2013
Die vorliegende Dissertation befasst sich mit probabilistischen Prognosen, die seit einigen Jahren ein aktives ökonometrisches Forschungsgebiet darstellen. Da solche Prognosen eine vollständige Verteilung für die interessierende Zufallsvariable angeben, beinhalten sie Information über...
Persistent link: https://www.econbiz.de/10010243223
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Making the business case for process safety using value-at-risk concepts
Ford, David M. (contributor) - 2006
business decisions. A relatively new technique for performing valuation under uncertainty, Value at Risk (VaR), has been … developed in the financial world. VaR is a method of evaluating the probability of a gain or loss by a complex venture, by … examining the stochastic behavior of its components. We believe that combining quantitative risk assessment techniques with VaR …
Persistent link: https://www.econbiz.de/10009464795