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 …

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 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 …