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Political macroeconomy of agricultural policy : rice policy adjustments in KoreaKwŏn, Yŏng-dae January 1989 (has links)
Typescript. / Thesis (Ph. D.)--University of Hawaii at Manoa, 1989. / Includes bibliographical references (leaves 149-156) / Microfiche. / x, 156 leaves, bound ill. 29 cm
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Life expectancy, labor force, and savingKinugasa, Tomoko January 2004 (has links)
Mode of access: World Wide Web. / Thesis (Ph. D.)--University of Hawaii at Manoa, 2004. / Includes bibliographical references (leaves 186-194). / Electronic reproduction. / Also available by subscription via World Wide Web / xi, 194 leaves, bound ill., 29 cm
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Smooth transitions in macroeconomic relationshipsEliasson, Ann-Charlotte January 1999 (has links)
The purpose of this thesis is to explore the possibilities and advantages of describing macroeconomic relationships with a certain well-defined class of parametric nonlinear econometric models, called smooth transition regressions (STR). An STR model is a flexible nonlinear specification with a continuum of regimes. It is locally linear transitions from one extreme regime to another are determined by a function of a continuous variable, the transition variable.The thesis consists of four essays and the macroeconomic relationships that are considered are: Consumption, Money Demand and the Phillips Curve. The essays of this dissertation emphasise the importance of allowing for a flexible functional form when dealing with macroeconomic relationships. / Diss. Stockholm : Handelshögsk.
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Modelling and valuing multivariate interdependencies in financial time seriesMilunovich, George, Economics, Australian School of Business, UNSW January 2006 (has links)
This thesis investigates implications of interdependence between stock market prices in the context of several financial applications including: portfolio selection, tests of market efficiency and measuring the extent of integration among national stock markets. In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found in numerous empirical studies but that no one, to my knowledge, has evaluated their effects in the general portfolio framework. I dynamically forecast two multivariate GARCH models, one that accounts for volatility spillovers and one that does not, and construct optimal mean-variance portfolios using these two alternative models. I show that accounting for volatility spillovers lowers portfolio risk with statistical significance and that risk-averse investors would prefer realised returns from portfolios based on the volatility spillover model. In Chapter 3, I develop a structural MGARCH model that parsimoniously specifies the conditional covariance matrix and provides an identification framework. Using the model to investigate interdependencies between size-sorted portfolios from the Australian Stock Exchange, I gain new insights into the issue of asymmetric dependence. My findings not only confirm the observation that small stocks partially adjust to market-wide news embedded in the returns to large firms but also present evidence that suggests that small firms in Australia fail to even partially adjust (with statistical significance) to large firms??? shocks contemporaneously. All adjustments in small capitalisation stocks occur with a lag. Chapter 4 uses intra-daily data and develops a new method for measuring the extent of stock market integration that takes into account non-instantaneous adjustments to overnight news. This approach establishes the amounts of time that the New York, Tokyo and London stock markets take to fully adjust to overnight news and then uses this This thesis investigates implications of interdependence between stock market prices in the context of several financial applications including: portfolio selection, tests of market efficiency and measuring the extent of integration among national stock markets. In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found in numerous empirical studies but that no one, to my knowledge, has evaluated their effects in the general portfolio framework. I dynamically forecast two multivariate GARCH models, one that accounts for volatility spillovers and one that does not, and construct optimal mean-variance portfolios using these two alternative models. I show that accounting for volatility spillovers lowers portfolio risk with statistical significance and that risk-averse investors would prefer realised returns from portfolios based on the volatility spillover model. In Chapter 3, I develop a structural MGARCH model that parsimoniously specifies the conditional covariance matrix and provides an identification framework. Using the model to investigate interdependencies between size-sorted portfolios from the Australian Stock Exchange, I gain new insights into the issue of asymmetric dependence. My findings not only confirm the observation that small stocks partially adjust to market-wide news embedded in the returns to large firms but also present evidence that suggests that small firms in Australia fail to even partially adjust (with statistical significance) to large firms??? shocks contemporaneously. All adjustments in small capitalisation stocks occur with a lag. Chapter 4 uses intra-daily data and develops a new method for measuring the extent of stock market integration that takes into account non-instantaneous adjustments to overnight news. This approach establishes the amounts of time that the New York, Tokyo and London stock markets take to fully adjust to overnight news and then uses this
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Model misspecification theory and applications /McCloud, Nadine. January 2008 (has links)
Thesis (Ph. D.)--State University of New York at Binghamton, Department of Economics, 2008. / Includes bibliographical references.
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Value of pharmaceutical innovation the access effects, diffusion process, and health effects of new drugs /Cong, Ze. January 2009 (has links) (PDF)
Thesis (Ph.D.)--Pardee Rand Graduate School, 2009. / Title from PDF t.p. Includes bibliographical references.
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A modified cluster-weighted approach to nonlinear time series /Lyman, Mark B. January 2007 (has links) (PDF)
Thesis (M.S.)--Brigham Young University. Dept. of Statistics, 2007. / Includes bibliographical references (p. 35-37).
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The robustness of real interest rate parity tests to alternative measures of real interest ratesPipatchaipoom, Onsurang. Norrbin, Stefan C. January 2005 (has links)
Thesis (Ph. D.)--Florida State University, 2005. / Advisor: Dr. Stefan Norrbin, Florida State University, College of Social Sciences, Dept. of Economics. Title and description from dissertation home page (viewed Sept. 21, 2005). Document formatted into pages; contains xii,163 pages. Includes bibliographical references.
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Scale mixture modeling and shape parameter estimation of security returns new theories and analyses /Turk, George Watson. Song, Kaisheng. Peterson, David R. January 2006 (has links)
Thesis (Ph. D.)--Florida State University, 2006. / Advisor: Kai-Sheng Song, Florida State University,College of Arts and Sciences, Dept. of Statistics; David R. Peterson, Florida State University, College of Business, Dept. of Finance. Title and description from dissertation home page (viewed Sept. 27, 2006). Document formatted into pages; contains ix, 147 pages. Includes bibliographical references.
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Essays on theories and applications of spatial econometric modelsLin, Xu, January 2006 (has links)
Thesis (Ph. D.)--Ohio State University, 2006. / Title from first page of PDF file. Includes bibliographical references (p. 114-119).
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