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This thesis considers the modelling of ultra high frequency (UHF) …nancial data from South African markets. The approach to be taken is that such irregularly spaced data can be viewed as a realization of a marked point process. We propose a statistical model that incorporates both the unequally spaced transaction times (the points) as well as the movements of the associated returns (the marks). In all data sets investigated, no change in the value of the mark accounts for more that half the observations. If “no change” is considered as the censoring of some underlying process, we can explicitly model both the censoring of marks and the underlying process by utilizing methods for Markov chains and missing values. All models considered hitherto in the literature assume homogeneity of structure within a UHF data set. Data analyses indicate strongly that such an assumption is not justi…ed. The proposed model aims to exploit this observation. The diurnal (time of day) e¤ect is a form of non-stationarity commonly found in UHF data sets. We show that the method currently considered standard practice is inadequate and we will propose modi…cations of it. Consideration is given to the classi…cation of heterogeneous subsets that arises naturally in UHF data, for instance daily subsets of a UHF data set. We …nd evidence in support of some market microstructure theories, but no theory is supported by all data sets considered. We pay attention to technical issues surrounding the application of certain tests to large samples. As large samples are common in UHF data sets methods that are sensitive to large sample size, for example the Ljung-Box test, are not suitable. / Professor Freek Lombard

Chan Chung Yan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 57-59). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iv / Table of Contents --- p.v / List of Figures --- p.vi / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- An Illustration with a Small Open Economy Model / Chapter 2.1 --- Review of Obstfeld (1990) --- p.4 / Chapter 2.2 --- A Model with Socially-Determined Time Preference --- p.6 / Chapter 3. --- Small Open Economy Models with Socially-Determined Time Preference --- p.15 / Chapter 3.1 --- The Laursen-Metzler Effect --- p.16 / Chapter 3.2 --- Exchange-Rate Dynamics --- p.21 / Chapter 3.3 --- Capital Mobility and Devaluation --- p.28 / Chapter 4. --- Dynamics of a Small Open Economy Model with Non-Flat Bond Curves --- p.35 / Chapter 4.1 --- Downward-Sloping Bond Curve --- p.38 / Chapter 4.2 --- Upward-Sloping Bond Curve --- p.38 / Chapter 5. --- Investment and Saving in a Small Open Economy Model with Capital Accumulation / Chapter 5.1 --- The Model --- p.41 / Chapter 5.2 --- Productivity Shocks --- p.46 / Chapter 6. --- Saddle-Path Stability of a Closed Economy Growth Model --- p.49 / Chapter 7. --- Conclusion --- p.54 / References --- p.57 / Appendix --- p.60

Bian Yong. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 34-37). / Abstracts in English and Chinese. / Chapter I. --- Introduction --- p.1 / Chapter II. --- Indeterminacy in a Small Open Economy Model with Endogenous Time Preference --- p.4 / Chapter 2.1 --- Economic Environment --- p.5 / Chapter 2.1.1 --- Technology --- p.5 / Chapter 2. 1. 2 --- Dynamic Model --- p.8 / Chapter 2.2 --- The indeterminacy result --- p.12 / Chapter 2.3 --- Conclusion --- p.12 / Chapter III. --- Indeterminacy in a Small Open Economy Model with Endogenous Labor Supply --- p.14 / Chapter 3. 1 --- Economic Environment --- p.17 / Chapter 3.2 --- Preference --- p.21 / Chapter 3.3 --- Dynamics of Equilibrium --- p.24 / Chapter 3.4 --- Indeterminacy and Scale Economies --- p.28 / Chapter 3. 4. 1 --- Case1 --- p.30 / Chapter 3.4.2 --- Case2 --- p.31 / Chapter 3.5 --- Conclusion --- p.32 / Chapter IV. --- References --- p.34 / Chapter V. --- Appendix --- p.38 / Chapter 5. 1 --- Technology --- p.38 / Chapter 5.2 --- Preference --- p.41 / Chapter 5. 3 --- Dynamics of Equilibrium --- p.43 / Chapter 5. 3. 1 --- Case1 --- p.49 / Chapter 5. 3. 2 --- Case2 --- p.50

Thesis (Ph. D.)--University of Texas at Austin, 2000. / Vita. Includes bibliographical references (leaves 137-140). Available also in a digital version from Dissertation Abstracts.

Thesis (Ph. D.)--University of California, San Diego, 2007. / Title from first page of PDF file (viewed January 11, 2008). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 61-63).

Thesis (Ph. D.)--University of California, San Diego, 2000. / Vita. Includes bibliographical references (leaves 125-135).

Thesis (Ph. D.)--University of California, San Diego, 2000. / Vita. Includes bibliographical references.

This thesis concerns three important issues related to the problem of time-inconsistency in decision-making and revealed preference analysis. The first chapter focuses on the welfare properties of equilibria in exchange economies with time-dependent preferences. We reintroduce the notion of time-consistent overall Pareto efficiency proposed by Herings and Rohde (2006) and show that, whenever the agents are sophisticated, any equilibrium allocation is efficient in this sense. Thereby, we present a version of the First Fundamental Welfare Theorem for this class of economies. Moreover, we present a social welfare function with maximisers that coincide with the efficient allocations and prove that every equilibrium can be represented by a solution to the social welfare optimisation problem. In the second chapter we concentrate on the observable implications of various models of time-preference. We consider a framework in which subjects are asked to choose between pairs consisting of a monetary payment and a time-delay at which the payment is delivered. Given a finite set of observations, we are interested under what conditions the choices of an individual agent can be rationalised by a discounted utility function. We develop an axiomatic characterisation of time-preference with various forms of discounting, including weakly present-biased, quasi-hyperbolic, and exponential, and determine the testable restrictions for each specification. Moreover, we discuss possible identification issues that may arise in this class of tests. Finally, in the third chapter, we discuss the testable restrictions for production technologies that exhibit complementarities. Suppose that we observe a finite number of choices of input factors made by a single firm, as well as the prices at which they were acquired. Under what conditions imposed on the set of observations is it possible to justify the decisions of the firm by profit-maximisation with production complementarities? In this chapter, we develop an axiomatic characterisation of such behaviour and provide an easy-to-apply test for the hypothesis which can be employed in an empirical analysis.