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Following the important work on unit roots and cointegration which started in the mid-1980s, a great deal of econometric works has been devoted to the study of the subtleties and varieties of near nonstationarity and persistence that characterize so many economic and financial time series. In recent years research activity has gained importance with outstanding contributions made on estimation and testing of a wide variety of long memory processes, together with many interesting and imaginative applications over a wide variety of different fields of economics and finance. For these reasons, this study provides empirical evidence to an aspect of fractional differencing and long memory processes, or the long memory of volatility. Evidence of long memory persistence is explored using stock price indices for eight emerging economies in both Asian and Latin American markets. The concern with the presence of long memory in higher moments of return series was first drawn by Ding, Granger and Engle (1993), using asset returns. Baillie, Bollerslev and Mikkelsen (1996) developed the fractionally integrated GARCH, or FIGARCH, process to represent long memory in volatility. The measure of long-memory persistence in the volatility is employed either using the original rescaled range statistic by Hurst (1951) and its modified version proposed by Lo (1991). Further analysis of the presence of long memory persistence is conducted using autocorrelation analysis. All the findings point in the same direction, that is, the existence of long memory in volatility irrespective of the measure chosen. Estimation of different models of volatility is undertaken beginning with the ARCH specification and until the FIGARCH model. The results show the effects to be higher in Latin American countries than in the Asian ones. This result seems consistent with the degree of intervention in the Latin American markets, known to be much higher. / Other possible explanations for the occurrence of long term persistence are also pursued such as the Regime Switching modelisation proposed first by Hamilton and Susnel (1994) with the SWARCH approach. Results show that this approach can bring another possible explanation for persistence, specially in economies like Brazil that, have very different regimes for the period covered in this study.

Increases in the prices of scholarly journals have exceeded the general rate of inflation for the last decade and more. In the face of this "serials crisis," libraries have found it increasingly difficult to maintain essential journal collections. This thesis investigates the causes of the serials crisis in biology using data generated for a study conducted by the Mann Library of Cornell University for 1988 and 1994 and updated by the author for 2001. The major goals of this thesis are to elaborate some alternative explanations of the crisis, identify econometrically the chief determinants of biology journal prices, and test the theory that prices are significantly determined by market structure. Existing literature sheds some light on price determinants specifically, technical characteristics (including frequency and size), publisher's legal form (profit vs. non-profit), location (domestic or foreign) and scale (circulation) have been found to be statistically significant--but this work is incomplete and sometimes contradictory. OLS and GLS regression analysis conducted in this thesis confirms that the determinants of biology journal prices are country of origin, journal size and frequency, circulation, and publisher's legal form. There is no evidence, however, that greater concentration increases prices. According to this analysis, monopoly power is not a problem in biology journal publishing. / Graduation date: 2003

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published_or_final_version / Real Estate and Construction / Doctoral / Doctor of Philosophy

Cheung Ho Sang. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 185-187). / Abstracts in English and Chinese. / Curriculum Vitae --- p.ii / Acknowledgments --- p.iii / Abstract --- p.v / Table of Contents --- p.viii / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- The behavior of income velocity of money --- p.3 / Chapter 2.1 --- Introduction --- p.3 / Chapter 2.2 --- Literature Review --- p.4 / Chapter 2.3 --- Data Description --- p.9 / Chapter 2.4 --- Methodology --- p.9 / Chapter 2.5 --- Empirical Result --- p.16 / Chapter 2.6 --- Conclusion --- p.26 / Chapter Chapter 3. --- The behavior of equity premium --- p.106 / Chapter 3.1 --- Introduction --- p.106 / Chapter 3.1 --- Literature Review --- p.106 / Chapter 3.2 --- Data Description --- p.112 / Chapter 3.3 --- Methodology --- p.112 / Chapter 3.4 --- Empirical Result --- p.120 / Chapter 3.5 --- Conclusion --- p.130 / Data Appendices --- p.182 / Bibliography --- p.185

This dissertation explores different aspects of the interaction between money and asset prices. The first chapter investigates how a firm’s financing affects its decision to update prices: does linking interest rates to inflation alter the firm’s optimal price updating strategy? Building on the state dependent pricing models of Willis (2000) and the price indexing literature of Azariadis and Cooper (1985) and Freeman and Tabellini (1998), this model investigates the financing and price updating decisions of a representative firm facing state-dependent pricing and a cash-in-advance constraint. The model shows the circumstances under which a firm’s financing decision affects its price updating decision, and how the likelihood of changing prices affects the amount borrowed. It also illustrates how the use of nominal (as opposed to inflation-linked) interest rates leads to a lower frequency of price updating and higher profits overall for a firm facing menu costs and sticky prices. The second chapter extends the bank run literature to present a theoretical mechanism that explains how money supply can affect asset prices and asset price volatility. In a two period asset allocation model, agents faced with uncertainty cannot perfectly allocate assets ex-ante. After income shocks are revealed, they will be willing to pay a premium over the future fundamental value for an asset in order to consume in the current period. The size of this premium is directly affected by the supply of money relative to the asset. This paper explores the relationship between economy-wide monetary liquidity on the mean and variance of equity returns and in relation to market liquidity. At an index level, I test the impact of money-based liquidity measures against existing measures of market liquidity. I proceed to do a stock level analysis of liquidity following Pastor and Stambaugh (2003). The results indicated that measures of aggregate money supply are able to match several of the observed relationships in stock return data much better than market liquidity. At an individual stock level, monetary liquidity is a priced factor for individual stocks. Taken together, these papers support the idea that changes in the money supply have consequences for the real economy. / text

published_or_final_version / Economics and Finance / Master / Master of Economics

The main objective of this thesis is to simulate, evaluate and discuss three standard methodologies of calculating Value-at-Risk (VaR) : Historical simulation, the Variance-covariance method and Monte Carlo simulations. Historical simulation is the most common nonparametric method. The Variance-covariance and Monte Carlo simulations are widely used parametric methods. This thesis defines the three aforementioned VaR methodologies, and uses each to calculate 1-day VaR for a hypothetical portfolio through MATLAB simulations. The evaluation of the results shows that historical simulation yields the most reliable 1-day VaR for the hypothetical portfolio under extreme market conditions. Finally, this paper concludes with a suggestion for further studies : a heavy-tail distribution should be used in order to imporve the accuracy of the results for the two parametric methods used in this study. / by Kyong Chung. / Thesis (M.S.)--Florida Atlantic University, 2012. / Includes bibliography. / Mode of access: World Wide Web. / System requirements: Adobe Reader.

The main objective of this thesis is to simulate, evaluate and discuss several methods for pricing European-style options. The Black-Scholes model has long been considered the standard method for pricing options. One of the downfalls of the Black-Scholes model is that it is strictly continuous and does not incorporate discrete jumps. This thesis will consider two alternate Levy models that include discretized jumps; The Merton Jump Diffusion and Kou's Double Exponential Jump Diffusion. We will use each of the three models to price real world stock data through software simulations and explore the results.Keywords: Levy Processes, Brownian motion, Option pricing, Simulation, Black-Scholes, Merton Jump Diffusion, Kou, Kou's Double Exponential Jump Diffusion. / Includes bibliography. / Thesis (M.S.)--Florida Atlantic University, 2013.