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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Three essays in financial econometrics

Zernov, Serguei January 2004 (has links)
No description available.
2

State and higher education financing collegiate education with special reference to arts and science colleges in Tamil Nadu

Loganathan, V 09 1900 (has links)
State and higher education financing collegiate education
3

Three essays in financial econometrics

Zernov, Serguei January 2004 (has links)
The three essays of this thesis touch a variety of topics in financial econometrics. The first is an empirical investigation of aspects of transactions dynamics of currency futures. Based on the analysis of years of transactions data, the author describes the seasonal dynamic component of trade and price durations of futures and then analyses dynamics of durations using the stochastic conditional duration model (SCD). / The second essay develops a model for the robust analysis of time series. Asymptotic properties of the parameter estimates of this model are established. The model is applied to the analysis of dynamics of conditional quantiles of the quadratic variation in currency exchange rates. Forecasting properties of the model are also evaluated. / Finally; the third essay uses recent advances in the theory of extremal events to analyse the effects of institutional changes in financial markets on the extremal behaviour of major stock indices, as far as this behaviour is reflected in the evolution of Hill's estimator of the tail index.
4

Economic fluctuations, structure, and measurement : three essays on 'soft' econometrics

Jain, Renuka. January 1984 (has links)
Research practices of econometricians evolve rapidly. They have changed as much in the last two decades as they did in the preceding two decades when the primacy of the simultaneous-equation model was established. Much of what econometricians do now does not fit into the framework indicated by a preoccupation with statistical inference. Given this background, it is convenient to distinguish soft econometrics from its hard counterpart, which stresses mathematical statistics. This distinction is derived from a parallel in Cox's discussion of the behaviour of statisticians, and of the nature of data. To clarify the substance of soft econometrics and to reveal its occurrence, three essays are provided. One essay considers the potential use of econometrics in long-wave research. A second essay looks at the impact of changing views on the concept of structure, while the final essay deals with the interaction of soft econometrics and significant issues of measurement. The concluding comments emphasize the complexity and variety of modern econometrics.
5

An econometric analysis of South African monetary phenomena

Hurwitz, A M January 1977 (has links)
Monetarism, and more particularly, the Monetary approach to the balance of payments has been the subject of important theoretical debate and empirical research over the last twenty years, and has assumed particular relevance in the world inflationary impasse of the present day. Although of great relevance to South Africa, the theory has received comparatively little attention locally and statistical studies are rare.
6

Economic fluctuations, structure, and measurement : three essays on 'soft' econometrics

Jain, Renuka. January 1984 (has links)
No description available.
7

Simultaneous equation models with measurement error

Geraci, Vincent J. January 1900 (has links)
Thesis (Ph. D.)--University of Wisconsin--Madison, 1974. / Typescript. Vita. eContent provider-neutral record in process. Description based on print version record. Includes bibliography.
8

ESSAYS IN HEALTH ECONOMICS AND ROBUST ECONOMETRICS

Li, Cong 04 1900 (has links)
<p>Formal economic analysis of tobacco products dates back to the middle of the 20<sup>th</sup> century. At the beginning, most of the research was done by the tobacco industry itself. Later, research interests switched to the public health perspective following the publication of British and American reports on smoking and health. Many papers consistently demonstrate that smoking significantly damages health and that the cigarette tax is a popular policy tool to reduce smoking. My first two essays focus on the issue of the cigarette excise tax and smoking. In the first essay, we analyze a possible tax avoidance behaviour measured by pack versus carton purchasing behaviour, since carton purchasing is associated with a substantial quantity discount. We find that smokers who intend to quit switch to packs in response to tax increases, while smokers who do not want to quit smoking systematically switch to cartons when taxes increase. In the second essay, we investigate whether the smoking participation of relatively older smokers is sensitive to cigarette taxes. The consensus in the literature is that older smokers are not price-responsive. Medical research, however, suggests quitting smoking even at an older age can still generate substantial health benefit for the old smokers. Using the most recent large tax increases across US, we find that both the older smokers’ desire to quit and actual smoking participation rate are responsive to tax increases. These results run contrary to most of the literature and may suggest that tax increases generate substantial health benefits for older smokers. In the last essay, we extend the model specification test proposed by Fan et al. (2006) to the extent that we also smooth the discrete dependent variable. We derive the null distribution of the test and also show that the test is consistent even when the null hypothesis fails to hold. Finally, a Monte Carlo simulation study shows that by smoothing the categorical dependent variable, our test enjoys substantial power gains.</p> / Doctor of Philosophy (PhD)
9

An econometric analysis of the eurozone sovereign debt crisis : the case of Greece / Gisele Mah

Mah, Gisele January 2012 (has links)
The European sovereign debt crisis started. in 2008 with the collapse of Iceland's banking system. Subsequently, several European countries faced the implosion of financial institutions, high government debt and rapidly rising bond yield spreads in government securities. In this context, Greece is an example of a country whose government debt is a matter of grave concern since it has received the second bailout but still threatens to default. This is ironic since a developed economy like Greece is considered to aide developing economies. The main aim of this dissertation is to conduct an econometric analysis of the determinants of the Greek sovereign debt crisis while the secondary aim is an extensive literature review of the Eurozone sovereign debt crisis. Regarding the former aim, the variables selected include the government deficit, current account balance, inflation, gross savings and general government debt of Greece. This annual data (from 1976 to 2010) was collected from the World Development Indicators, European Commission data base and the International Monetary Fund. The Vector Error Correction Model framework was used to estimate our model. Also, the Granger causality analysis helped to identify the direction of causation. Furthermore, the Variance Decomposition and the Generalized Impulse Response Function were employed to analyze the shocks of all our variables on each other. Finally, for the latter aim, we critically review the evolution, causes, consequences and cures of the Eurozone sovereign debt crisis and then formulate some suggestions on how to mitigate the effects of this crisis. The results of the econometric analysis show that there is a significant negative relationship between general government debt with government deficit and inflation. However, a significant positive relationship between general government debt and current account balance was found. There is an insignificant negative relationship between gross savings and general government debt. The past value of the general government debt and government deficit has the ability to determine the present value of inflation; and in turn, pass value of inflation, can predict the present value of current account balance and gross savings. Variation in most of our variables is highly explained by our variables itself, with the exception of current account balance where variation is explained mostly by general government debt. The response of general government debt to itself is positive. Gross government debt to government deficit and general government debt to current account balance is negative. General government debt to inflation is positive. A shock of gross government debt has an increasing negative effect on gross savings over the study period. Among the causes of the Eurozone sovereign debt crisis is the rapid growth of government debt levels, trade imbalances, monetary policy inflexibility, and loss of confidence. Consequences of this crisis involve disrupted bond markets and the banking sector, depreciation of the Euro, reduced economic growth, loss of confidence, reduced remittances and tight fiscal measures. Some measures were taken and many are proposed as a cure for this crisis. This dissertation recommends that policies aimed at decreasing the level of general government debt should increase expenditure hence deficit in an income generating investment, increase inflation while decreasing current account balance. / Thesis (M.Com.(Economics) North-West University, Mafikeng Campus, 2012
10

An econometric analysis of the eurozone sovereign debt crisis : the case of Greece / Gisele Mah

Mah, Gisele January 2012 (has links)
The European sovereign debt crisis started. in 2008 with the collapse of Iceland's banking system. Subsequently, several European countries faced the implosion of financial institutions, high government debt and rapidly rising bond yield spreads in government securities. In this context, Greece is an example of a country whose government debt is a matter of grave concern since it has received the second bailout but still threatens to default. This is ironic since a developed economy like Greece is considered to aide developing economies. The main aim of this dissertation is to conduct an econometric analysis of the determinants of the Greek sovereign debt crisis while the secondary aim is an extensive literature review of the Eurozone sovereign debt crisis. Regarding the former aim, the variables selected include the government deficit, current account balance, inflation, gross savings and general government debt of Greece. This annual data (from 1976 to 2010) was collected from the World Development Indicators, European Commission data base and the International Monetary Fund. The Vector Error Correction Model framework was used to estimate our model. Also, the Granger causality analysis helped to identify the direction of causation. Furthermore, the Variance Decomposition and the Generalized Impulse Response Function were employed to analyze the shocks of all our variables on each other. Finally, for the latter aim, we critically review the evolution, causes, consequences and cures of the Eurozone sovereign debt crisis and then formulate some suggestions on how to mitigate the effects of this crisis. The results of the econometric analysis show that there is a significant negative relationship between general government debt with government deficit and inflation. However, a significant positive relationship between general government debt and current account balance was found. There is an insignificant negative relationship between gross savings and general government debt. The past value of the general government debt and government deficit has the ability to determine the present value of inflation; and in turn, pass value of inflation, can predict the present value of current account balance and gross savings. Variation in most of our variables is highly explained by our variables itself, with the exception of current account balance where variation is explained mostly by general government debt. The response of general government debt to itself is positive. Gross government debt to government deficit and general government debt to current account balance is negative. General government debt to inflation is positive. A shock of gross government debt has an increasing negative effect on gross savings over the study period. Among the causes of the Eurozone sovereign debt crisis is the rapid growth of government debt levels, trade imbalances, monetary policy inflexibility, and loss of confidence. Consequences of this crisis involve disrupted bond markets and the banking sector, depreciation of the Euro, reduced economic growth, loss of confidence, reduced remittances and tight fiscal measures. Some measures were taken and many are proposed as a cure for this crisis. This dissertation recommends that policies aimed at decreasing the level of general government debt should increase expenditure hence deficit in an income generating investment, increase inflation while decreasing current account balance. / Thesis (M.Com.(Economics) North-West University, Mafikeng Campus, 2012

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