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Field of examination is theoretical and empirical review of dynamic CAPM models that assume non constant volatility and correlation. In other words time evolution is considered in estimation process. As theoretical basement is recommended to be R. Engle's (Dynamic Conditional Beta) research and other sources.

This thesis has studied short and long-term dependence structures between European stock markets. Johansen's test for cointegration and Granger's test for non-causality have been applied in order to measure the degree of financial integration in Europe. The cointegration analysis has employed a comparative perspective in which different countries with different institutional adaptation to the economic cooperation within Europe have been considered. The study finds strong support for the existence of cointegration between the Belgian, Norwegian, Swiss and British stock markets in the period after the launch of the euro. This result indicates that financial integration has increased in Europe since no cointegration was identified prior to the introduction of the euro. However, it is more difficult to determine to what extent the European financial cooperation has affected the degree of integration because of the difficulties with isolating formal treaties contribution to the stationary equilibrium. Both the EU and the euro's importance may have affected the integration process, but this thesis finds that this is not the only explanation. Thus, it is more likely that the liberalization of financial markets and the overall integration process best explain the increase in financial integration. The most significant finding is that the cointegrated stock markets in the long-term can be regarded as a regional financial market characterized by similar systematic risk factors. This has implications for both policy-makers who adjust existing policies in Europe and investors looking to allocate portfolios in an efficient manner.

論文摘要 為探討中國證券市場A股、H股雙重上市的情況、中國內資股對外資股價格相對較高的現象及中國政府陸續開放市場的措施，本文首先使用Engle- Granger共整合模型探討中國QFII、QDII及港股直通車等政策，對A股與H股市場的影響。研究樣本為中國A股與香港H股雙重上市的十六檔股票，研究期間自2002年起至2008年年底，採用日資料進行實證分析。研究結果發現自QDII實施後，A股與H股市場呈現顯著共整合現象，且一直延續到2008年年底；接著本文亦針對相對流動性、相對股票供給量、資訊不對稱程度與匯率變動等四項因素，探討其對個別公司A股、H股的價差影響程度，實證顯示這些因素皆對A股、H股價差有顯著的影響。H股的流動性、公司規模和港幣兌換人民幣的匯率都會對A股、H股的價差產生反向的影響，H股的供給量則會對A股、H股的價差產生正向的影響。另外，藉由2002年至2008年研究期間股價的觀察，發現在中國政策開放下，A股與H股股價亦有逐漸靠攏的趨勢，價差逐漸縮小，顯示中國的市場開放政策的確改善了原本市場區隔的現象，促進境內與境外的資金流動與市場效率，未來兩市場股價的整合應可預期。

The thesis deals with the relationship between the stock prices of commodity companies and commodity prices produced by these companies. Each commo-dity was testing with three related companies. In this thesis was used various methods for testing. Namely Engle-Granger test of cointegration, the correlation analysis, Granger causality test and VAR-GARCH model for testing volatility spilloves between markets. Empirical results show that effect of commodity to shares is different for each group of commodities. The most evident effect appears at the impact of industrial and precious metals on mining companies and the effect of oil prices on the shares of the oil companies. In contrast, the prices of gas and agricultural commodities did not influence the prices of those commodities shares significantly.

The rediscovery of a number of Walt Whitman's early fictions prompts a discussion of where they belong within the larger web of Whitman scholarship. Though we have been aware of the existence of these writings for quite some time, frequently these works return to obscurity soon after being discovered due to the lack of research regarding them. This thesis presents an alternative framework whereby these novels can be integrated into a hypertextual model centered on Leaves of Grass (1855) and Whitman's overall authorial identity. I build on Ed Folsom and Kenneth Price's work creating a hypertext archive incorporating Whitman's works, allowing constraints associated with traditional print form to be overcome. My analysis centers on the recently rediscovered novel The Life and Adventures of Jack Engle (1852) due to its unique publication date. Because we possess so little of Whitman's public writing from the immediate leadup to his first publication of Leaves of Grass, I focus on tracing linguistic and thematic development across the two works. With the help of digital textual analytical tools, I find specific links between the works and argue that Whitman used the novel to experiment with transcendental language and themes that would characterize his later poetic voice. Based on this connection, novels like The Life and Adventures of Jack Engle thrive due to their ability to offer new perspectives on the source text of Leaves of Grass. Within this model, Leaves of Grass also gains new importance due to highlighting the value of the satellite texts like The Life and Adventure of Jack Engle, remedying their previous ambiguous value when isolated. I then discuss how this hypertextual model aids scholars to more easily incorporate Whitman's fiction into future research due to the increased accessibility it provides. Finally, the thesis discusses how this model repositions the role of the archive as more than simply a receptacle of preservation. Instead, it now operates as a source of redefinition by providing artifacts that reimagine period and authorial narratives through this hypertextual model.

The U.S. furniture industry has faced the challenge from increasing imports of furniture from foreign countries over the last decades. In the first part of this thesis, the import pattern of wooden bedroom furniture and the antidumping investigation against China were summarized, and furthermore, intervention analysis was employed to assess its impacts on the import value and unit price of China. The results revealed that the impact on import values was temporary but there was no significant impact on unit prices. The traditional suppliers have been substituted by the newly developing countries such as China and Vietnam. In the second part of this thesis, to explain the market structure change, a dynamic AIDS model was used to analyze the consumer behavior and evaluate the impacts of antidumping investigation on the major competitors in the second part. The results indicated that most imported wooden bedroom furniture can be substituted between suppliers and trade diversion occurred from China to Vietnam, Indonesia, and Brazil.

For this creative project, I am exploring alternate methods of navigating urban environments, and ways in which this activity can inspire creativity. This process is intended to create a new awareness of the urban landscape, break out of the prescribed, and to inspire innovation. The range of possibilities for this way of navigating is vast, and part of the challenge of my experience has been defining boundaries, assigning variables, and using strategies for exploration – making my process inherently morphological. I hope that my work here will encourage others to step out of their comfort zone and experience their environment in a new way.

The main objective of this research paper is to find the association between unemployment rate and GDP growth which is presented empirically by Arthur Okun’s in early 1960s. For this purpose I have used annual time series data during the period 1981-2005 of Pakistan. I applied difference version of Okun’s law which is more appropriate to access results directly from empirical data. In order to find long run relation between the variables I used Engle-Granger cointegration technique and Error Correction Mechanism (ECM) to find the short term behavior of GDP growth to its long run value. This paper verifies negative relationship between unemployment rate and GDP growth and both variables have long run relation with each other. Moreover GDP growth will adjust more quickly towards equilibrium in the long run.

Economic decline in Zimbabwe has manifested in several ways, one of which is in the form of persistent trade deficits. This is not unique to Zimbabwe alone, with trade imbalances also extending to its neighbouring countries. The purpose of this study is to investigate whether PPP deviations can be used to manage bilateral trade balances in such a way that parties concerned benefit from the trade proportionally. The literature review analysed research done on the validity of PPP theory in developing and developed countries all over the world. Studies generally confirmed that the long-run PPP holds strong for developed countries and weak for developing countries. The study makes use of secondary yearly data from international financial institutions and employs unit root tests and the Engle Granger cointegration test to investigate the Purchasing Power Parity theory. In addition, Granger causality tests were also performed on the observed deviations and trade balances to find out if a relationship is present. It was noted that PPP theory does not hold between Zimbabwe and its neighbouring countries (Botswana, Namibia, Zambia, South Africa, and Mozambique). As such, PPP deviations cannot be used to improve bilateral trade balances between Zimbabwe and its trading partners.