Business Commons^™

Arma-Garch Model Applied To Exchange-Traded Funds, Rebecca Davis

Open Access Theses & Dissertations

In this paper, time-varying volatility of some of the leading exchange-traded funds are studied. The ARMA mean equation with GARCH errors is used to model the series correlations and the conditional heteroscadesticity in the asset

returns. The conditional distributions of the standardized residuals are assumed to be skew-generalized error distribution. The high kurtosis and fat tail of the returns, were captured in all the data by fitting an ARMA-GARCH model with the conditional distribution of, skew-generalized error distribution.

Furthermore, the sample cross-correlations of these significant exchange-traded funds and the corresponding financial indices they mimic were computed. The empirical conclusion was …

Go Niche Or Go Home: Influence Maximization In The Presence Of Strong Opponent, Long Foong Liow

Dissertations and Theses Collection (Open Access)

In hotly contested product categories dominated by a few powerful firms, it is quite common for weaker or late entrants to focus only on particular segments of the whole market. The rationale for such strategy is intuitive: to avoid direct confrontation with heavy-weight firms, and to concentrate in segments where these weaker firms have comparative advantages. In marketing, this is what people called “go niche or go home”. The niche-building strategy may rely on “homophily”, which implies that consumers in a particular market segment might possess certain set of attributes that cause them to appreciate certain products better (in other …

Study Of Volatility Structures In Geophysics And Finance Using Garch Models, Francis Biney

Open Access Theses & Dissertations

This work investigates the underlying volatility processes in earthquake series, explosive series, high frequency (tick) data and financial indices. Furthermore it examines the applicability of a range of GARCH specifications for modeling volatility of these series in order to identify similarities and differences in the volatility structures. The GARCH

variants considered include the basic GARCH, IGARCH, ARFIMA (0,d,0)-GARCH and FIGARCH specifications. In all the applications the methodology provides insight into features of these series volatility.

Global Csr And Photographic Credibility: Exploring How International Companies Portray Efforts Through Photographs In Csr Reports, Janel Lynn Norton

USF Tampa Graduate Theses and Dissertations

We are living in the age of the visual. Imagery is an important element in constructing and deriving meaning through symbols, colors, and context. Images may hold persuasive power, be used as evidence, or simply provide a moment of beauty. Organizations rely on photographs to help them convey an image to their stakeholders within annual reports. Telling an organizations' story through photographs has become an intrinsic part of their efforts to convey sustainability. We live in the age of transparency, and organizations that construct an image that is not truthful will face consequences in today's socially connected and conscious world. …

Analysis Of Intermittence And Log-Periodicity Of Foreign Exchange Rates Near A Crash, Arturo Casillas

Open Access Theses & Dissertations

Many believe that financial indices near a crash exhibit a type of critical point characterized by log-periodic signatures. Models have been developed based on these ideas in an attempt to mathematically characterize financial data about to crash. Few of these models consider the property of intermittency. Intermittency is a concept borrowed from fluid dynamics that essentially implies that a system alternates between a stable, or predictable, state and unstable state. One model that attempts to characterize crashes incorporates intermittency in the form of log-stationary intervals. It models the asset price as a step function that follows an underlying power law. …

Shaping The Future Past: Finding History, Creating Identity In The Kwan Hsu Papers, Lisa Chere' Donnelly

Dissertations and Theses

Dr. Kwan Hsu was neither a superstar nor a celebrity. Her name does not come up in conversations about important contributors to her field of biophysics nor is she instantly recognizable for her contributions to Portland State University's international program or the state of Oregon's business ties with China. Yet she was a contributor, a cog-in-the-wheel, at the very least, in all of these areas and more. She was a peripheral member of a well-known Chinese family, but few in the United States know of or perhaps have interest in, but otherwise, she had no great connections or family ties …

The Distribution Of Individual Stock Returns In A Modified Black-Scholes Option Pricing Model, Daniel Lee Richey

Electronic Theses and Dissertations

Author's abstract: There have been many attempts to find a model that can accurately price options. These models are built on many assumptions, including which probability distribution stock returns follow. In this paper, we test several distributions to see which best fit the log returns of 20 different companies over a period between November 1, 2006 to October 31, 2011. If a "best" distribution is found, a modified Black-Scholes model will be defined by modifying the Weiner process. We use Monte Carlo simulations to generate estimated prices under specified parameters, and compare these prices to those simulated by the model …

Economic Culture And Trading Behaviors In Information Markets, Khalid Nasser Alhayyan

USF Tampa Graduate Theses and Dissertations

There are four main components for influencing traders' behaviors in an information market context: trader characteristics, organizational characteristics, market design, and external information. This dissertation focuses on investigating the impact of individual trader characteristics on trading behaviors. Two newly-developed constructs, highly relevant to information market contexts, were identified to increase our understanding about trading behaviors: trader's economic culture and trader independence. The theory of planned behavior is used as the theoretical basis to postulate hypotheses for empirical testing. Data collected from subjects through a series of web-based experiments shows that trader participation can be fostered through recruiting individuals who are …