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11 
Essays in Macroecometrics: methodological aspects and empirical applicationsGunnella, Vanessa <1985> 11 June 2015 (has links)
In the first chapter, I develop a panel nocointegration test which extends Pesaran, Shin and Smith (2001)'s bounds test to the panel framework by considering the individual regressions in a Seemingly Unrelated Regression (SUR) system. This allows to take into account unobserved common factors that contemporaneously affect all the units of the panel and provides, at the same time, unitspecific test statistics. Moreover, the approach is particularly suited when the number of
individuals of the panel is small relatively to the number of time series observations.
I develop the algorithm to implement the test and I use Monte Carlo simulation to analyze the properties of the test. The small sample properties of the test are remarkable, compared to its single equation counterpart. I illustrate the use of the test through a test of Purchasing Power Parity in a panel of EU15 countries.
In the second chapter of my PhD thesis, I verify the Expectation Hypothesis of the Term Structure in the repurchasing agreements (repo) market with a new testing approach. I consider an "inexact" formulation of the EHTS, which models a timevarying component in the risk premia and I treat the interest rates as a nonstationary cointegrated system. The effect of the heteroskedasticity is controlled by means of testing procedures (bootstrap and heteroskedasticity correction) which are robust to variance and covariance shifts over time.
I fi#nd that the longrun implications of EHTS are verified. A rolling window analysis clarifies that the EHTS is only rejected in periods of turbulence of #financial markets.
The third chapter introduces the Stata command "bootrank" which implements the bootstrap likelihood ratio rank test algorithm developed by Cavaliere et al. (2012). The command is illustrated through an empirical application on the term structure of interest rates in the US.

12 
Modelos de mudança de regime: uma aplicação em finanças empíricasAlmeida, Nuno Miguel Campos Guapo de 21 December 2000 (has links)
Esta dissertação tem como objetivo básico aplicar os modelos de mudança de regime para as séries financeiras tanto brasileiras quanto americanas. O período em análise compreende um conjunto amplo de choques, nos quais os modelos de mudança de regime tem um comportamento melhor visàvis os modelos tradicionais. Para verificar a maior eficácia destes modelos foram usados vários critérios tanto estatísticos quanto de mercado.

13 
Econometric models for the analysis of electricity marketsFezzi, Carlo <1980> 29 March 2007 (has links)
No description available.

14 
Topics in econometrics of financial marketsCoroneo, Laura <1980> 16 June 2008 (has links)
No description available.

15 
Bayesian Analysis of Linear Inverse Problems with Applications in Economics and FinanceSimoni, Anna <1980> 10 June 2009 (has links)
In my PhD thesis I propose a Bayesian nonparametric estimation method for structural econometric models where the functional parameter of interest describes the economic agent's behavior. The structural parameter is characterized as the solution of a functional equation, or by using more technical words, as the solution of an inverse problem that can be either illposed or wellposed.
From a Bayesian point of view, the parameter of interest is a random function and the solution to the inference problem is the posterior distribution of this parameter. A regular version of the posterior distribution in functional spaces is characterized. However, the infinite dimension of the considered spaces causes a problem of non continuity of the solution and then a problem of inconsistency, from a frequentist point of view, of the posterior distribution (i.e. problem of illposedness).
The contribution of this essay is to propose new methods to deal with this problem of illposedness. The first one consists in adopting a Tikhonov regularization scheme in the construction of the posterior distribution so that I end up with a new object that I call regularized posterior distribution and that I guess it is solution of the inverse problem.
The second approach consists in specifying a prior distribution on the parameter of interest of the gprior type. Then, I detect a class of models for which the prior distribution is able to correct for the illposedness also in infinite dimensional problems.
I study asymptotic properties of these proposed solutions and I prove that, under some regularity condition satisfied by the true value of the parameter of interest, they are consistent in a "frequentist" sense.
Once I have set the general theory, I apply my bayesian nonparametric methodology to different estimation problems. First, I apply this estimator to deconvolution and to hazard rate, density and regression estimation. Then, I consider the estimation of an Instrumental Regression that is useful in microeconometrics when we have to deal with problems of endogeneity. Finally, I develop an application in finance: I get the bayesian estimator for the equilibrium asset pricing functional by using the Euler equation defined in the Lucas'(1978) treetype models.

16 
Network Externalities in Developing EconomiesComola, Margherita <1979> 16 June 2008 (has links)
This thesis contains three essays on microeconometrics, networks and economic development. In the first two essays I focus on developing country settings (Tanzania and Nepal respectively) to study how rural villagers form their social networks, and how the existence of these informal links impacts their welfare. The third essay focuses on the international trade of arms to investigate whether the political orientation of government in power makes any difference to arms export policy.

17 
Topics in financial econometricsFerriani, Fabrizio <1983> 04 July 2012 (has links)
In the first chapter, we consider the joint estimation of objective and riskneutral parameters for SV option pricing models. We propose a strategy which exploits the information contained in large heterogeneous panels of options, and we apply it to S&P 500 index and index call options data. Our approach breaks the stochastic singularity between contemporaneous option prices by assuming that every observation is affected by measurement error. We evaluate the likelihood function by using a MCIS strategy combined with a Particle Filter algorithm.
The second chapter examines the impact of different categories of traders on market transactions. We estimate a model which takes into account traders’ identities at the transaction level, and we find that the stock prices follow the direction of institutional trading. These results are carried out with data from an anonymous market. To explain our estimates, we examine the informativeness of a wide set of market variables and we find that most of them are unambiguously significant to infer the identity of traders.
The third chapter investigates the relationship between the categories of market traders and three definitions of financial durations. We consider trade, price and volume durations, and we adopt a LogACD model where we include information on traders at the transaction level. As to trade durations, we observe an increase of the trading frequency when informed traders and the liquidity provider intensify their presence in the market. For price and volume durations, we find the same effect to depend on the state of the market activity.
The fourth chapter proposes a strategy to express order aggressiveness in quantitative terms. We consider a simultaneous equation model to examine price and volume aggressiveness at Euronext Paris, and we analyse the impact of a wide set of order book variables on the pricequantity decision.

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Estimation of QuasiRational DSGE ModelsAngelini, Giovanni <1986> 03 February 2015 (has links)
Smallscale dynamic stochastic general equilibrium have been treated as the benchmark of much of the monetary policy literature, given their ability to explain the impact of monetary policy on output, inflation and financial markets. One cause of the empirical failure of New Keynesian models is partially due to the Rational Expectations (RE) paradigm, which entails a tight structure on the dynamics of the system. Under this hypothesis, the agents are assumed to know the data genereting process. In this paper, we propose the econometric analysis of New Keynesian DSGE models under an alternative expectations generating paradigm, which can be regarded as an intermediate position between rational expectations and learning, nameley an adapted version of the "QuasiRational" Expectatations (QRE) hypothesis. Given the agents' statistical model, we build a pseudostructural form from the baseline system of Euler equations, imposing that the length of the reduced form is the same as in the `best' statistical model.

19 
Econometric models of financial risksCastelli, Francesca <1982> 03 February 2012 (has links)
The goal of this dissertation is to use statistical tools to analyze specific financial risks that have played dominant roles in the US financial crisis of 20082009.
The first risk relates to the level of aggregate stress in the financial markets. I estimate the impact of financial stress on economic activity and monetary policy using structural VAR analysis.
The second set of risks concerns the US housing market. There are in fact two prominent risks associated with a US mortgage, as borrowers can both prepay or default on a mortgage. I test the existence of unobservable heterogeneity in the borrower's decision to default or prepay on his mortgage by estimating a multinomial logit model with borrowerspecific random coefficients.

20 
Econometrics of default riskAgosto, Arianna <1985> 21 January 2014 (has links)
This thesis is the result of a project aimed at the study of a crucial topic in finance: default risk, whose measurement and modelling have achieved increasing relevance in recent years. We investigate the main issues related to the default phenomenon, under both a methodological and empirical perspective. The topics of default predictability and correlation are treated with a constant attention to the modelling solutions and reviewing critically the literature. From the methodological point of view, our analysis results in the proposal of a new class of models, called Poisson
Autoregression with Exogenous Covariates (PARX). The PARX models, including both autoregressive end exogenous components, are able to capture the dynamics of default count time series, characterized by persistence of shocks and slowly decaying autocorrelation.
Application of different PARX models to the monthly default counts of US industrial firms in the period 19822011 allows an empirical insight of the defaults dynamics and supports the identification of the main default predictors at an aggregate level.

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