Econometrics Commons^™

On The Estimation Of Heston-Nandi Garch Using Returns And/Or Options: A Simulation-Based Approach, Xize Ye

Electronic Thesis and Dissertation Repository

In this thesis, the Heston-Nandi GARCH(1,1) (henceforth, HN-GARCH) option pricing model is fitted via 4 maximum likelihood-based estimation and calibration approaches using simulated returns and/or options. The purpose is to examine the benefits of the joint estimation using both returns and options over the fundamental returns-only estimation on GARCH models. From our empirical studies, with the additional option sample, we can improve the efficiency of the estimates for HN-GARCH parameters. Nonetheless, the improvements for the risk premium factor, both from empirical standard errors, and sample RMSEs, are insignificant. In addition, option prices are simulated with a pre-defined noise structure and …

Essays In Financial Econometrics And Machine Learning, Fred Liu

Electronic Thesis and Dissertation Repository

Financial econometrics is a highly interdisciplinary field that integrates finance, economics, probability, statistics, and applied mathematics. Machine learning is a growing area in finance that is particularly suitable for studying problems with many variables. My thesis contains three chapters that explore financial econometrics and machine learning in the fields of asset pricing and risk management.

Chapter 2 studies the implications of the new Basel 3 regulations. In 2019, the BCBS finalized the Basel 3 regulatory regime, which changes the regulatory measure of market risk and adds new complex calculations based on liquidity and risk factors. This chapter is motivated by …

Understanding The Determinants Of The Cost Of Coronary Artery Bypass Graft Surgery, Hun Lee

Electronic Thesis and Dissertation Repository

Introduction: The relationship between patient demographics, clinical factors, and cost of coronary artery bypass graft (CABG) is complex. Investigation of these relationships is important to aid clinical practice and inform reimbursement models. This thesis analyzes multiple different domains in order to understand the significant factors that impact the cost of CABG at the London Health Sciences Centre (LHSC).

Methods: Model selection, construction of nested descriptive models, exploration of mediation analysis of the impact of peri-operative factors and cost through length of stay, and construction of estimative models were performed.

Results: Several baseline characteristics, socio-demographics, peri-operative variables, and post-operative variables were …

Renewable-Energy Resources, Economic Growth And Their Causal Link, Yiyang Chen

Electronic Thesis and Dissertation Repository

This thesis examines the presence and strength of predictive causal relationship between re-newable energy prices and economic growth. We look for evidence by investigating the cases of Norway, New Zealand, and Canada’s two provinces of Alberta and Ontario. The usual vectorautoregressive model (VAR) and its various improved versions still assume constant parametersover time. We devise a Markov-switching VAR (MS-VAR) model in order to accommodate the observed time-dependent causal relation changes. Our proposed modelling approach is induced by the hidden Markov model methodologies in terms of an online parameter estimationthrough recursive filtering. The parameters of the MS-VAR model are governed by …

Essays On Criminal Behaviour, Human Capital Formation, And Mental Health, Diego F. Salazar

Electronic Thesis and Dissertation Repository

My thesis consists of three chapters that contribute to the study of some of the negative consequences of incarceration and their relation with the life-cycle choices of juvenile offenders.

Chapter 2 studies the causal relationship between incarceration and mental health problems. In this chapter, I use different matching estimators to identify the causal effects of incarceration over several dimensions of mental health using data from a survey of juvenile offenders, the Pathways to Desistance (PTD) survey. My findings show that being incarcerated for the first time, between 17 and 18 years old, increases depression by at least 0.18 standard deviations …

Non-Linear Time Series Modelling With Applications To Equity And Fixed Income Markets, Galyna Grynkiv

Electronic Thesis and Dissertation Repository

My thesis focuses on theoretical and empirical aspects of modelling time series during different financial and economic conditions. It consists of three separate chapters in which the properties of Threshold Vector Autoregressive Model (TVAR) models are addressed with subsequent applications to equity and fixed income markets. In the first chapter, which is a joint work with my supervisor Lars Stentoft, we examine the steady state properties of the TVAR model. Assuming the trigger variable is exogenous and the regime process follows a Bernoulli distribution, we derive the necessary and sufficient conditions for existence of a stationary distribution. The derived stationarity …

Volatility Modelling With Applications To Equity And Foreign Exchange Markets, Sergii Pypko

Electronic Thesis and Dissertation Repository

My thesis consists of three chapters describing volatility forecasting during periods of financial booms and busts, the economic and statistical benefits of flexible data generating process of index returns, and multivariate model of exchange rate returns and their options. In the first chapter, I propose a non-linear threshold model for realized volatility of S\&P 500 index, allowing us to obtain a more accurate volatility forecast, especially during periods of financial crisis. The changes in volatility regimes are driven by negative past returns, where the threshold equals approximately $-$1\%. This finding remains robust to different functional forms of volatility and different …

Essays In Market Structure And Liquidity, Adrian J. Walton

Electronic Thesis and Dissertation Repository

Market structure concerns the mechanisms for negotiating trades and the composition of trading participants, and can affect liquidity and price efficiency. More gains from trade can be realized from an asset that is more liquid, and a better allocation of risk and capital can be achieved when an asset’s price is more efficient so it is important to understand market structure. This thesis uses theory and empirical methods to examine the effects of a few specific aspects of market structure.

In Chapter 1, we study a novel market structure on the New York Stock Exchange (NYSE), the Retail Liqudity Program …

Essays On Portfolio Optimization, Simulation And Option Pricing, Zhibo Jia

Electronic Thesis and Dissertation Repository

This thesis consists of three papers which cover the efficient Monte Carlo simulation in option pricing, the application of realized volatility in trading strategies and geometrical analysis of a four asset mean variance portfolio optimization problem. The first paper studies different efficient simulation methods to price options with different characters such as moneyness and maturity times. The incomplete market environments are also been considered. The second paper uses realized volatility based on high frequency data to improve the volatility trading strategy. The performance is compared with that using the implied volatility. The last paper re-examines the Markowitz's portfolio optimization problem …

A Free Exchange E-Marketplace For Digital Services, Wafa M. I. Ghonaim

Electronic Thesis and Dissertation Repository

The digital era is witnessing a remarkable evolution of digital services. While the prospects are countless, the e-marketplaces of digital services are encountering inherent game-theoretic and computational challenges that restrict the rational choices of bidders. Our work examines the limited bidding scope and the inefficiencies of present exchange e-marketplaces. To meet challenges, a free exchange e-marketplace is proposed that follows the free market economy. The free exchange model includes a new bidding language and a double auction mechanism. The rule-based bidding language enables the flexible expression of preferences and strategic conduct. The bidding message holds the attribute-valuations and bidding rules …

Abortion And Crime In Canada: A Test Of The Bmdl Hypothesis, Timothy Kang

Electronic Thesis and Dissertation Repository

Donohue and Levitt (2001) argued that the legalization of abortion in the US during the 1970s contributed to 50 percent of the dramatic decline in crime that occurred in the 1990s. Although a lengthy debate in the literature has proliferated and remains inconclusive, this controversial theory has been popularized by the Freakonomics (2005) franchise. The liberalization of abortion services that occurred in Canada in 1988 offers an improved focal intervention to perform an empirical test of this theory. The methods that have emerged from the debate are reviewed. The most promising strategies, namely time-series plots of crime, “effective abortion rate” …

News, Copulas And Independence, Ivan Medovikov

Electronic Thesis and Dissertation Repository

This dissertation contributes to the theory and the applications of copulas to problems in economics, econometrics and finance. The second chapter proposes a new measure of macroeconomic news which is termed the "Macroeconomic News Index". Using the copula approach, new findings about the relationship between macroeconomic news and the stock markets are revealed. The third chapter aims to improve the existing non-parametric copula-based tests for stochastic independence. It provides an extension to the test statistic of Kojadinovic and Holmes (2009), which is obtained through the introduction of a weighted functional norm. The addition of the weights creates a channel through …

Volatility, Duration, And Value-At-Risk, Pujun Liu

Electronic Thesis and Dissertation Repository

The thesis consists of three essays dealing with the modeling of volatility in financial markets, trade durations, and Value-at-Risk (VaR). The first essay models nonlinearities in the return series to estimate time-varying volatility by incorporating both regime changes and jumps. Two types of regime-switching GARCH-jump models with autoregressive jump intensity are presented. The first model follows the traditional Markov regime-switching model proposed in Hamilton (1989). As the unknown regimes in the Markov model lead to difficulty in forecasting, a threshold GARCH-jump model, in which regimes are known after observing the threshold variable in the previous period, is also proposed. The …

Essays On Financial Return And Volatility Modeling, Jing Wu

Electronic Thesis and Dissertation Repository

My dissertation consists of three essays focusing on modeling financial asset return and volatility.

The first essay proposes a threshold GARCH model to describe the regime-switching in volatility dynamics of financial asset returns. In the threshold model the switching of regimes is triggered by an observable variable, while volatility follows a GARCH process within each regime. We establish theoretical conditions, which ensure that the return process in the threshold model is strictly stationary, as well as conditions for the existence of finite variance and fourth moment. A simulation study is further conducted to examine the finite sample properties of the …

A Collection Of Portfolio Management Issues, Mike Mccausland

Electronic Thesis and Dissertation Repository

This thesis consists of three chapters of interest to a portfolio manager. The first paper examines how the profitability of trading rules depends on volatility. In particular, a question of interest is whether one rule dominates all others regardless of the level of volatility, or whether it is more profitable to vary the choice of trading rule corresponding to volatility. Certain rules, such as the KST indicator using overbought/oversold levels, appear to excel under highly volatile conditions, while exponential moving average rules perform better with low volatility. In the second paper, a Value-at-Risk (VaR) model capable of producing accurate and …