Social and Behavioral Sciences Commons^™

Essays On Applied Machine Learning For Implied Volatility Interpolation And Artificial Counterfactuals, Pablo A. Crespo

Dissertations, Theses, and Capstone Projects

This dissertation consists of two chapters.

Chapter 1: Volatility estimates under the risk neutral density have become a much revisited topic of interest in recent years. The density proves itself a powerful tool for sentiment analysis, since its moments provide insights about expectations in price trends. A standard procedure for its extraction utilizes artificial volatility predictions to form a dense enough grid for approximating a complete probability distribution. This paper proposes two common machine learning technique variations to produce implied volatility predictions when data is very scarce. First, a model using regularization through a variation of a generalized LASSO path …

Effects Of Innovations In Health Care Provision And Financing, Hoda Nouri Khajavi

Dissertations, Theses, and Capstone Projects

This dissertation consists of four chapters that study the impacts of innovations in health care provision and financing. The relentless rise in US health care costs has led the Centers for Medicare and Medicaid Services to launch various pilot programs to create financial incentives for health care providers, suppliers, and local communities to improve the efficiency of the health care system. The fist chapter of this manuscript reviews the main pilot programs implemented and/or funded by the Centers for Medicare and Medicaid Services since the 111th United States Congress passed the Patient Protection and Affordable Care Act, also known as …

Essays In Empirical Economics, Agustin Indaco

Dissertations, Theses, and Capstone Projects

This dissertation consists of two chapters that utilize distinct econometric methods and novel datasets.

In the first chapter, “From Twitter to GDP: Estimating Economic Activity From Social Media”, I collect all geo-located image tweets shared on Twitter in 2012-2013 to study whether the volume of tweets is a valid proxy for estimating current GDP in USD at the country level. My preferred model explains 94 percent of the cross-country variation and the residuals from the model are negatively correlated to a data quality index, indicating that my estimates of GDP are more accurate for countries with more reliable GDP data. …

Empirical Analysis Of China’S Exchange Rate And Macroeconomic Policy, Jia Ji

Dissertations, Theses, and Capstone Projects

This dissertation examines the effects of exchange rate and macroeconomic policy in China. It consists of three chapters. Chapter 1 explores the dynamics of monetary transmission mechanism. As China’s domestic financial markets deepen and develop further toward a market-based system, the country’s monetary policy transmission should continue to improve in the sense that the policy instrument’s influence on economic conditions increases in magnitude and stabilized across time. Using a short-term key interest rate as a standard monetary policy tool and time-varying parameter techniques, this study empirically demonstrates that China’s monetary policy framework is in the midst of transitioning to a …

Shapes And Transitions Of The Interest Rate Term Structure, Biwei Chen

Dissertations, Theses, and Capstone Projects

I analyze different shapes of Treasury yield curves in order to better reflect and predict the U.S. economy. Since the late 1980s, macroeconomists have found that the slope of the yield curve predicts economic activity such as inflation, output growth, and recessions, but they have not fully examined the links between various shapes of yield curve and the macroeconomy. To fill the gap, I classify yield curve shapes with the U.S. Treasury yield data, detect the shape patterns over the business cycles, and map these shapes onto corresponding inflation and production states. Although the downward-sloping yield curve reliably predicts U.S. …