Lin Haizhen. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 58-61). / Abstracts in English and Chinese. / Chapter I. --- Essay One --- p.1 / Chapter 1 --- Introduction --- p.2 / Chapter 2 --- A CIA Model with Endogenous Investment --- p.5 / Chapter 2.1 --- The Economic Environment --- p.5 / Chapter 2.2 --- Equilibrium Dynamics --- p.9 / Chapter 3 --- An Extended Model with Stockman CIA Constraint --- p.16 / Chapter 3.1 --- The Economic Environment --- p.17 / Chapter 3.2 --- Equilibrium Dynamics --- p.19 / Chapter 4 --- Conclusion --- p.22 / Chapter II. --- Essay Two --- p.25 / Chapter 1 --- Introduction --- p.26 / Chapter 2 --- A MIUF Model with Non-Separable Leisure --- p.28 / Chapter 2.1 --- The Economic Environment --- p.28 / Chapter 2.2 --- Equilibrium and Local Dynamics --- p.31 / Chapter 3 --- Conclusion --- p.36 / Chapter III. --- Essay Three --- p.38 / Chapter 1 --- Introduction --- p.39 / Chapter 2 --- Productive Money and Investment in a Sticky Price Model --- p.41 / Chapter 2.1 --- The Economic Environment --- p.41 / Chapter 2.2 --- Equilibrium Dynamics --- p.45 / Chapter 3 --- Endogenous Labor Supply --- p.50 / Chapter 4 --- Conclusion --- p.56 / Chapter IV. --- References --- p.58

Leung Wai-Kit. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 84-89). / Chapter 1 --- Acknowledgment --- p.6 / Chapter I --- Introduction and a Structural Change Model --- p.7 / Chapter 2 --- Introduction --- p.7 / Chapter 3 --- A Structural Change Model and the Estimated Specification --- p.10 / Chapter II --- Behavior of the Model under Stationarity --- p.13 / Chapter 4 --- Assumptions for Stationary Regressors and Error --- p.13 / Chapter 5 --- Consistency of the Break Point Estimator when Regressors and Error are Stationary and Correlated --- p.14 / Chapter 6 --- Limiting Distribution of the Break Point Estimator when Regressors and Error are Stationary and Correlated --- p.19 / Chapter 7 --- Sup-Wald Test when Regressors and Error are Stationary and Correlated --- p.21 / Chapter III --- Behavior of the Model under Nonstationarity --- p.23 / Chapter 8 --- Assumptions for Nonstationary Regressors and I(d) Error --- p.23 / Chapter 9 --- Consistency of the Break Point Estimator under Nonstationary Regres- sors and I(d) Error --- p.26 / Chapter 10 --- F Test under Nonstationary Regressors and I(d) Error --- p.31 / Chapter IV --- Finite Sample Properties and Conclusion --- p.33 / Chapter 11 --- Finite Sample Properties of the Break Point Estimator --- p.33 / Chapter 12 --- Conclusion --- p.38 / Chapter V --- Appendix and Reference --- p.40 / Chapter 13 --- Appendix --- p.40 / Chapter 14 --- References --- p.84

Sun, Wu. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 43-45). / Abstracts in English and Chinese. / Abstract --- p.I / 摘要 --- p.II / Acknowledgments --- p.III / Chapter Essay 1. --- The Effect of Impatience on Determinacy --- p.1 / Chapter 1.1 --- Introduction --- p.1 / Chapter 1.2 --- The model --- p.2 / Chapter 1.3 --- Conclusion --- p.8 / Chapter Essay 2. --- Determinacy under Non-separable Utility --- p.9 / Chapter 2.1 --- Introduction --- p.9 / Chapter 2.2 --- The basic model --- p.10 / Chapter 2.3 --- Conclusion --- p.21 / Chapter Essay 3. --- Determinacy under Calvo-Style Sticky Price Model --- p.23 / Chapter 3.1 --- Introduction --- p.23 / Chapter 3.2 --- The model --- p.24 / Chapter 3.2.1 --- With staggered price only --- p.24 / Chapter 3.2.2 --- Incorporating firm-specific capital --- p.30 / Chapter 3.2.3 --- Incorporating staggered wages --- p.35 / Chapter 3.3 --- Conclusion --- p.41 / Reference --- p.43 / Appendix --- p.46 / Table 1: Baseline Calibration --- p.46 / Table 2: Baseline Calibration --- p.46

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Optimization programming techniques were applied to develop the least cost formulations for Pacific whiting surimi-based seafood (PWSBS). To develop the quality constraint functions, texture and color of whiting surimi gels were determined by torsion test and colorimeter, respectively. Whiting surimi gels were produced by heating at 90��C for 15 min. with 2% NaCl, five final moisture contents (74, 76, 78, 80, 82%), and various combinations of beef plasma protein (0-2%), potato starch (0-8%), and two whey protein concentrates (0-8%). Due to the non-linear constraint functions describing texture and color, a non-linear programming search technique was required to solve the least cost model for PWSBS. Results for target quality constraints are reported in this study and show that whey protein concentrate increases the texture properties and can remain economically competitive with other ingredients which similarly influence functionality in PWSBS. Water holding capacity indicated by thermal transition was also studied as a measure of gel quality. The water evaporization process was quantified using differential scanning calorimetry (DSC) for surimi gels with added potato starch or whey protein concentrate. Pacific whiting surimi gels were produced by heating in a sealed DSC pan from 30 to 90��C at a rate of 5��C/min.; gelled samples were then re-heated from 30 to 180��C at 2��C/min. in an open pan using an equivalent water mass as a reference. The DSC thermogram showed one exothermic peak followed by one endothermic peak, the former indicating a relative energy flow from the protein gels due to the delayed water evaporation. DSC parameters derived in this study showed good correlation with the texture properties of protein gels. The addition of whey protein concentrate and the increase of heating rate increased the water holding capacity of whiting surimi gels. / Graduation date: 1996

The term structure of interest rates shows the relationship between yields of zero-coupon bonds and their maturities. The empirical performance of the single-factor model of the affine term structure models, such as Vasicek (1977) and Cox, Ingersoll, and Ross (1985), has not been entirely satisfactory. The curve fitting methods, and particularly the spline method, used in practice to estimate the term structure are ad hoc and thus subject to arbitrage opportunities. Guo (1998) used the fundamental Partial Differential Equation (PDE) for bond pricing to derive a linear discount function, which is consistent with no-arbitrage. He showed that this is the unique linear solution to the PDE. This solution, the exponential-polynomial model or EP model for short, has n unobserved state factors that drive a stochastic discount process for pricing bonds so as to rule out arbitrage opportunities. In this thesis, we conduct an extensive cross-sectional analysis of the EP model on two different data sets: prices for daily Treasury bills, notes and bonds from the New York Federal Reserve Bank quotation sheets from July 1989 to October 1996, and daily Canadian bills, notes and bonds prices for the time period from June 1992 to May 1995. We estimate the model by applying a minimization criterion. The cross-sectional analysis shows that the EP model is able to describe adequately the term structure of interest rates. For the US data, we find that every term structure from the sampling period can be fully represented by either nine or ten state factors. Eigenvalue analysis indicates that the first three principal components are underlying the term structure movements. We conduct a time series analysis on the three principal components. They are found to be best described by ARMA/GARCH processes. We form two types of GARCH forecasts of the three principal components and test their out-of-sample performance. We conclude that the three principal components are predictable in a statis

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.

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