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Implied Volatility And Risk Preference From Option Prices., Kenneth Steven Bartunek
Implied Volatility And Risk Preference From Option Prices., Kenneth Steven Bartunek
LSU Historical Dissertations and Theses
This dissertation consists of two empirical studies on options. In the first study, an estimate of the constant proportional risk aversion parameter is implied from the equivalent martingale measure framework. Within this framework, we use call options as opposed to the traditional consumption data to imply our estimate. We compare forecasts of volatility for the asset underlying an option in the second study. Three methods have been used to forecast volatility in the past. These are an historical estimate, an estimate implied from the Black-Scholes European call option pricing model, and an estimate based on generalized autoregressive conditional heteroscedasticity. The …
An Empirical Analysis Of Ricardian Equivalence And Macroeconomic Interdependence In Korea., Jang Cheon Jin
An Empirical Analysis Of Ricardian Equivalence And Macroeconomic Interdependence In Korea., Jang Cheon Jin
LSU Historical Dissertations and Theses
The dissertation research has two objectives. The first is to investigate the relevance of Ricardian equivalence to the Korean economy. The second objective is to investigate the empirical validity of the proposition of macroeconomic interdependence in Korea. The above two issues are examined by specifying and estimating a vector autoregressive (VAR) model as a compact approximation of macroeconomic reality in Korea. The nine variables selected for the VAR model are based upon theoretical and institutional considerations. Monthly Korean data for the period 1973:5-1989:11 are used in the analysis. First differencing for eight of the system variables is determined by unit …
Modeling Nonlinear Dynamics In Nasdaq Stock Returns., Salil Kumar Sarkar
Modeling Nonlinear Dynamics In Nasdaq Stock Returns., Salil Kumar Sarkar
LSU Historical Dissertations and Theses
This dissertation investigates the nonlinear dynamics of the returns generation process of individual stocks listed on national market system from national association of security dealers automated quotation system (NASDAQ/NMS) and compares them to a similar sample from New York Stock Exchange (NYSE). One of the most prominent tools that has emerged for characterizing nonlinear processes is the Autoregressive Conditional Heteroscedasticity (ARCH) model, and its various extensions, the most significant being the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. From the stocks listed on the Center for Research in Security Prices (CRSP) tapes, a group of NASDAQ/NMS and NYSE stocks are chosen …
Dynamic Random Coefficient Regression Model For Electricity Demand: The Small Sample Case., Susan Mu-Lan Zee
Dynamic Random Coefficient Regression Model For Electricity Demand: The Small Sample Case., Susan Mu-Lan Zee
LSU Historical Dissertations and Theses
This paper develops a dynamic random coefficient regression model for electricity demand. Six estimation procedures are proposed for the model. An empirical study of the comparative performance of these six estimators is presented. In addition, a Monte Carlo simulation study is reported where we examine the small sample properties of the distributions of the coefficients and observe the behavior of the estimators as the sample size increases.
Three Essays On Sampling Techniques: Small Sample Performances Of Estimators And Predictors., Parisun Chantanahom
Three Essays On Sampling Techniques: Small Sample Performances Of Estimators And Predictors., Parisun Chantanahom
LSU Historical Dissertations and Theses
The dissertation addresses the issues of small sample properties of estimators and predictors. Economic analysis usually relies on the asymptotic properties of estimators and predictors which may not be the same as their asymptotic counterparts. Furthermore, some biased estimators and predictors used in economic studies have certain asymptotic properties which are not fully understood. Consequently, sampling techniques are used to explore the small sample properties and construct confidence intervals for predictors and estimators. In the dissertation, first, Monte Carlo experiments are used to find an appropriate estimation procedure for a system of simultaneous equations which involves a latent endogenous variable. …