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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.
101

Econometric analysis of ARCH models with persistent covariates

Han, Heejoon January 2006 (has links)
We consider a volatility model, named ARCH-NNH model, that is specifically an ARCH process with a nonlinear function of a persistent, integrated or nearly integrated, explanatory variable. We first establish the asymptotic theories showing that the time series properties of our model successfully describe stylized facts about volatility in financial time series. Due to persistent covariates, the model generates time series showing the long memory property in volatility and leptokurtosis which are commonly observed in speculative return series. Next, we derive the asymptotic distribution theory of the maximum likelihood estimator in our model. In particular, we establish the consistency and asymptotic mixed normality of the maximum likelihood estimator in the model, which ensure the standard inference procedure is valid in our model. Additionally, we conduct misspecification analysis and provide an explanation of the commonly observed IGARCH behavior of financial time series. Our theory shows that the IGARCH behavior could be spurious and could be the result of ignoring persistent covariates in ARCH type models. Finally, we present two empirical applications and a forecast evaluation of our model. Both empirical applications show that our model fits the data very well, and the estimation results confirm the findings of other literature. It is shown that the default premium (the yield spread between Baa and Aaa corporate bonds) predicts stock return volatility, and the interest rate differential between two countries accounts for exchange rate return volatility. The forecast evaluation shows that our model generally performs better than other standard volatility models at relatively lower frequencies.
102

Essays in game theory on investment and social organization

Fisher, James C.D. 15 April 2015 (has links)
<p> This dissertation uses cooperative and non-cooperative game theory to examine the role of investment (broadly defined) in social organization. It's composed of three chapters. The first chapter examines bidirectional investment in partnerships and characterizes the stable relationships among the benefits players produce and receive, their costs, and their payoffs. The second chapter extends the model of the first chapter to allow for multilateral matching and investment; it shows that many of the results of the bilateral case remain true in the more general case. The third chapter examines investment in social links to secure future help and characterizes the equilibrium network/linking architecture and welfare.</p>
103

Essays in dynamic mechanism design

Lamba, Rohit 03 September 2014 (has links)
<p> Questions of design in real economic situations are often dynamic. Managerial compensation, repeated auctions, and taxation are good examples. These demand the economic theory of mechanism design to be adept to changing underlying environments and evolving information. Adjusting existing static results to the dynamic models and introducing new ones is thus what the doctor orders. This collection of essays is a contribution to the theory and applications of dynamic mechanism design. </p><p> Chapter 1 asks the question: <i>when can efficient institutions be made self enforcing?</i> To answer it, the setting of bargaining with two sided asymmetric information is chosen&ndash; a buyer has a hidden valuation for a good and a seller can produce the good at a hidden cost, both of which can change over time. The essay provides necessary and sufficient conditions for efficiency in this bilateral trading problem. In the process of establishing this result, a new notion of budget balance is introduced that allows the budget to be balanced dynamically, borrowing from the future but in a bounded fashion. Through a set of simple examples the comparative statics of the underlying economics forces of discounting and level of asymmetric information are explored. </p><p> In chapter 2, a <i>dynamic and history dependent version of the payoff equivalence</i> result is established. It provides an equivalence class of all mechanisms that are incentive compatible. Given two mechanisms that implement the same allocation, expected utility of an agent after any history in one must differ from the other through a history dependent constant. This result is then exploited to unify a host of existing results in efficient dynamic mechanism design. In particular a mechanism, and necessary and sufficient conditions are provided for the implementation of the efficient allocation in a general <i>N</i>-player dynamic mechanism design problem under participation constraints and budget balance. </p><p> Finally, in chapter 3 (coauthored with Marco Battaglini), we explore the <i>applicability and limitations of the first-order approach in solving dynamic contracting models, and the nature of contracts when local constraints are not sufficient to characterize the optimum.</i> A dynamic principal-agent model in which the agent's types are serially correlated forms the backbone of the analysis. It is shown that the first-order approach is violated in general environments; when the time horizon is long enough and serial correlation is sufficiently high, global incentive compatibility constraints generically bind. By fully characterizing a simple two period example, we uncover a number of interesting features of the optimal contract that cannot be observed in special environments in which the standard approach works. Finally, we show that even in complex environments, approximately optimal allocations can be easily characterized by focusing on a class of contracts in which the allocation is forced to be monotonic.</p>
104

Optimal Multi-parameter Auction Design

Haghpanah, Nima 30 October 2014 (has links)
<p>This thesis studies the design of Bayesian revenue-optimal auctions for a class of problems in which buyers have general (non-linear and multi-parameter) preferences. This class includes the classical linear single-parameter problem considered by Myerson (1981), for which he provided a simple characterization of revenue proving optimality of a mechanism, leading to numerous applications in theory and practice. However, for fully general preferences no generic and practical solution is known (various negative computational or structural results exist for special cases), even for the problem of designing a mechanism for a single agent. This thesis sets to identifies key conditions implying that the optimal mechanism is practical. Our main results are different in that they identify different conditions implying different notions of practicality, but are all similar in adopting a modular view to the problem that separates the task of designing a solution for the single-agent problem as the main module, from the task of combining these modules to form an optimal multi-agent mechanism. For multi-parameter linear settings, we specify a large class of distributions over values that implies that the optimal single-agent mechanism is posted pricing, and the optimal multi-agent mechanism maximizes \emph{virtual values} for players' favorite items (e.g., when agents are identical, second price auction with reserve for favorite items). More generally, we specify a condition called revenue-linearity (defined beyond multi-parameter linear settings) that implies that optimizing agents' marginal revenue maximizes revenue. Finally, adopting efficient computability as the notion of practicality, we show that for any setting in which single-agent solutions are efficiently computable, multi-agent solutions are also computable.
105

Two Essays on Corporate Policy and Corporate Governance

Cha, Taemin 26 February 2014 (has links)
<p> <b>Employee Ownership and Corporate Governance:</b> I find that firms that actively promote employee ownership through profit sharing and equity ownership plans pay their executives less and adopt more provisions favorable to shareholders. Furthermore, my empirical evidence shows that the shareholders in firms with higher employee ownership tend to be more active in corporate governance through the execution of proxy voting. The corporate boards in firms with higher employee ownership are younger, more diverse, and more representative of employees. My findings suggest that in the shareholder-manager conflict, employee ownership tends to shift power in the direction of shareholders and could significantly mitigate existing agency problems in the firm. </p><p> <b>Leadership and Corporate Culture:</b> Evidence from Executive Migrations across Firms This paper examines the importance of leadership for corporate culture by studying changes in firm environmental policy around executive successions. I find that firms improve significantly their environmental performance following the arrival of executives from firms with strong pro-environmental culture and firms tend to decrease their environmental standards following the arrival of executives with poor environmental record. However, the economic impact is much weaker for an executive with poor environmental record. The findings provide insight into the formation of organizational culture and the diffusion of cultural norms in the economy.</p>
106

Essays in monetary policy and comprehensive income accounting: Inferring time-varying central bank preferences and the value of ideas

Beechey, Meredith Jane. Unknown Date (has links)
Thesis (Ph.D.)--University of California, Berkeley, 2005. / (UnM)AAI3186988. Source: Dissertation Abstracts International, Volume: 66-08, Section: A, page: 3013. Chair: Charles I. Jones.
107

Essays in empirical asset pricing

Spitzer, Jonathan F. Unknown Date (has links)
Thesis (Ph.D.)--New York University, Graduate School of Business Administration, 2006. / (UMI)AAI3248822. Source: Dissertation Abstracts International, Volume: 68-01, Section: A, page: 0291. Advisers: Stephen J. Brown; Edwin J. Elton.
108

Essays on market microstructure

Yin, Hao. January 2008 (has links)
Thesis (Ph.D.)--Indiana University, Dept. of Economics, 2008. / Title from PDF t.p. (viewed on May 11, 2009). Source: Dissertation Abstracts International, Volume: 69-08, Section: A, page: 3258. Advisers: Craig Holden; Konstantin Tyurin.
109

Exchange-rate-based-stabilization in the Middle East 2000-2001 Turkish ERBS Program /

Aytac, Ozlem. January 2008 (has links)
Thesis (Ph.D.)--Indiana University, Dept. of Economics, 2008. / Title from PDF t.p. (viewed on May 14, 2009). Source: Dissertation Abstracts International, Volume: 69-09, Section: A, page: 3639. Adviser: Edward F. Buffie.
110

Three essays on empirical corporate finance /

Julio, Brandon, January 2007 (has links)
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2007. / Source: Dissertation Abstracts International, Volume: 68-11, Section: A, page: 4809. Adviser: Michael S. Weisbach. Includes bibliographical references (leaves 154-159) Available on microfilm from Pro Quest Information and Learning.

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