Advances in computational power and data storage have spawned a new research area in financial economics and statistics called high-frequency finance. The defining feature of high-frequency finance is the analysis of financial processes over short intraday time horizons. This time horizon may be the trade-by-trade behavior of the market, or it may be locally aggregated behavior over intraday intervals. The analysis of intraday financial processes is motivated by the micro-foundations of aggregate market behavior. It is hoped that micro-level market properties can help explain macro-level market properties. Two topics of particular interest are the statistical modeling of these intraday processes and the temporal aggregation of these intraday statistical models. This dissertation examines the statistical modeling of intraday trading dynamics. The particular aspect of trading dynamics of interest is the relationship between the trade and quote processes. The affect of trading activity on quoting behavior is one of the central problems in the economic theory of market microstructure. In order to investigate this relationship at the transaction level, the dynamics of the trade and quote processes for eight securities traded on the New York Stock Exchange (NYSE) are modeled in a market microstructure framework. We begin by defining the EL Model and the EL Model framework developed in Engle and Lunde (2003). We propose an alternative to the EL Model for the modeling of trade and quote dynamics using the Cox regression model. The Cox regression model has many data analytic advantages. With the Cox regression model we are able to perform a thorough statistical analysis of transaction level trade and quote behavior. We conclude by investigating a local Poisson approximation of intraday trade and quote behavior in five minute intervals using the Poisson generalized linear model with dispersion.

This dissertation consists of two papers on international capital movements. The first part theoretically analyzes the macroeconomic effects of restrictions imposed by official authorities on foreign investment. The main result from the theoretical model is that restrictions on foreign investment by domestic residents can produce a source of cheap investment funds for domestic industries. This in turn would stimulate investment and domestic economic growth and could lead to a favorable judgment on the policy. However, economic welfare as measured by expected utility is reduced despite the high capital accumulation and increased economic growth. The second part of this dissertation examines the Japanese economy to see how closely its financial market has been connected to the world financial market and how well the theoretical model corresponds to reality. Japan is now well internationalized so far as some measures of internationalization are concerned: the volume of financial transactions, the correlation between domestic saving and domestic investment and covered interest parity. The empirical research also provides some evidence that financial services promote domestic production but an increase in net capital outflows retards its growth. However, it seems not to be clear how policy changes relating to international financial transactions affect physical capital accumulation.

A new type of prepayment model for use in the valuation of mortgage-backed securities is presented. The model is based on a simple axiomatic characterization of the prepayment decision by the individual in terms of a continuous time, discrete state stochastic process. One advantage of the stochastic approach compared to a traditional regression model is that information on the variability of prepayments is retained. This information is shown to have a significant effect on the value of mortgage-backed derivative securities. Furthermore, the model explains important path dependent properties of prepayments such as seasoning and burnout in a natural way, which improves fit accuracy for mean prepayment rates. This is demonstrated by comparing the stochastic mean to a nonlinear regression model based on time and mortgage rate information for generic Ginnie Mae collateral.

The existence of equilibrium is a test of the internal consistency of an economic model. In any model with domestic moneys and dividend-yielding assets, the first question is: will money be dominated by assets in equilibrium? In cash-in-advance models domestic moneys always have positive liquidity value as instruments for domestic commodity transactions. If a non-dominated liquidity role for domestic currencies is posited existence of equilibrium is not usually problematic. For the case where information flows lead to binding cash-in-advance constraints an equilibrium exists in which domestic moneys have positive liquidity value. This equilibrium possesses the unit velocity property, but leads to a sharper characterization of equilibrium market and shadow prices in relation to fundamentals. That fiat money should be the unique provider of liquidity services is not necessary for equilibrium. It is possible to construct models with well-defined equilibria in which financial assets provide liquidity services. In these models the pricing equations for liquidity-providing assets contain premia for these services over and above risk premia and returns for delaying consumption. Such models can also generate new relationships between the velocity of money or the spot exchange rate and asset returns. That markets be information-efficient is, however, necessary for equilibrium. Consequently, any rejection of efficient-markets is evidence against the assumptions of the equilibrium theory. Consider, for instance, the case of the efficiency of forward exchange rates vis-a-vis spot rates. Depending on whether forward speculation is consummated through arbitrage of currencies or of assets (e.g., covered and uncovered bonds) the forward efficiency condition will or will not involve liquidity premia. In testing forward efficiency in both models we find, however, there is no material change in the results. Forward efficiency appears to be robust as well to specifications of the utility function. However there is evidence that forward efficiency is not robust to either the measurement of consumption risk, or the choice of covariance estimator of the forecast error.

We lay a unified foundation for a theory of general equilibrium by proving the existence of an equilibrium for a grand model which covers all the well-known general equilibrium models under the convexity and continuity assumptions. The grand model allows an economy to have an extended list of commodities including assets which can be traded on unlimited short sales. The conceptual framework we develop for the existence problem is simple. Consider an economy consisting of two agents. If there were a commodity bundle which is always desirable to one agent and always undesirable to the other agent, the economy could not reach an equilibrium because they can increase their utility through an indefinite give-and-take process. What we need for the existence of an equilibrium is to exclude the presence of commodity bundles that can bring an economy into this state of "economic symbiosis." We proceed further by taking the Closedness Hypothesis that the utility possibility set is compact. The finite dimensional findings do not hold for an economy with an infinite dimensional commodity space so that we investigate under what circumstances the Closedness Hypothesis holds. We develop sufficient conditions for the Closedness Hypothesis to hold and prove the existence of an equilibrium of an infinite dimensional economy under some spanning conditions on consumption sets.

In many survival analysis settings, the assumption of non-informative (i.e. independent) censoring is not valid. Zheng and Klein (1995, 1996) develop a copula-based method for estimating the marginal survival functions of bivariate dependent competing risks data. We expand upon this earlier work and adapt their method to data in which there are three competing risks representing both dependent and independent censoring. Specifically, our extension allows for the estimation of the survival functions of dependent competing risks X and Y in the presence of a third independent competing risk Z. An application to dividend initiation data is presented.

This thesis extends the research on the calculation of the effective tax rate on capital income and the effects of taxes on foreign direct investment. The first essay applies the King and Fullerton marginal effective tax rate methodology to a wide range of industries, investors and different types of investments for 1984 to 1997. In the second essay, I modify the basic methodology to analyze the taxation of foreign investors in the United States. The interaction between foreign tax systems and the tax system of the US is analyzed and the marginal effective tax rates for investors from five countries (Canada, France, Germany, Japan and United Kingdom) are calculated. The third essay uses the marginal effective tax rates estimated in the second essay to carry out a quantitative analysis of the determinants of foreign direct investment in the United States. Non-tax variables included in this model include proxies for intangible assets, imperfect competition in an industry, and a variable that captures the notion of knowledge capital. By integrating the public finance and industrial organization literature on foreign direct investment, I obtain more accurate estimates of the determinants of foreign direct investment in the United States. The empirical results show that both the overall and corporate marginal effective tax rates exert a significant influence over foreign direct investment flows into the United States.

Based on twelve months of fieldwork from August 2001--July 2002, the dissertation analyzes of the venture market in South Korea which, at the time, had undergone a significant depreciation of its national currency and instituted a series of market reforms, which included a novel experiment with an emergent financial organization in the form of venture capital market. This project is an anthropological inquiry into the events that followed. My ethnographic project analyzes the full arc of development and the present demise of venture industry in South Korea from 1997--2002 through two enduring points of reference: venture firm and venture capital firm. I place this development within the context of interaction between a new global financial form and articulation of Korea's social imaginary in its anxiety with celerity as an immanent expression of its modernity. In the end, I outline how venture industry fits into this narrative and give an overview of how the notion and practice of rapidity functioned in the making of the imaginaries and instantiation of venture not only as a market phenomena but as an immanent expression of the structure of rapidity itself as a cultural form. In doing so, I identify celerity as one of the central preoccupation of Korea's modernity. I frame my inquiry by placing the objective phenomenon of explosive growth and quick demise of venture market within the collective cultural idioms of hurriedness, or celerity. While taking into account of the local institutions and larger global reasons for failure of the venture market, I argue that, in Korea at least, two interacting logics were at work. First, instantiation of new financial technologies---in their conception and implementation---cannot be reduced to the logic of these technologies alone. In this case, the logic of the financial form was absorbed into a socio-structural logic, transforming both in the process. As such, celerity is seen as part of the mechanics of the structure of the market itself, and not only as an explanatory framework ex post to events. To open up that language of "mechanics" is to understand celerity as a cultural tempo, a structural component to the actual characteristic of the market. Second, drawing from the participant observation and interviews with venture participants themselves, as well as from my own cultural knowledge, I found that celerity has a thick social imaginary particular to the narrative of Korea's history and modernity. Or, put in another way, much of the discourse of venture market pointed to two spheres: the narrative of Korean history as an economic unfolding of troubled ascent into modernity, and the logic of what Koreans call pali-pali (hurry, hurry) syndrome, what I have chosen to call the problem of celerity. By this, I mean: the rush to and out of venture industry was seen as the manifestation of a long-standing historical problem of the uncertain status of Korea's modernity resolved through an intense but episodic engagement with signaling practices, practices that briefly absorb the attention of many in the middle and elite classes in Korea. This is the social and cultural manifestation of rapidity as a cultural phenomena that partakes polythetically in the language of speed but, at the same time, expresses the particular history of Korea in its engagement with modernity.

A new portfolio selection system is presented which weights components in a target major market index such that the resulting portfolio consistently outperforms the underlying market index by most any multi-period return measure. This is accomplished by use of the simugram, which gives a simulation-based distribution of outcomes of a stochastic experiment. This distribution is time- or space indexed and presents the whole distribution instead of a few moments. When applied to financial engineering problems, it provides a time-indexed risk profile of positions, which is applied as the objective function in the non-linear optimization of portfolio weights. This technique is in contrast to the mean-variance selection model, which seeks to minimize portfolio variance subject to a target return. The simugram-based selection system maximizes portfolio return subject to a non-linear risk tolerance parameter based on the simugram risk profile of all possible portfolio outcomes. For the SP-100 stock index portfolio in the 33-year study period, using multi-period return measures of annualized return and terminal value, the simugram annualized return is on the order of 3 times that of the market benchmark. And for every $l million the market returned in terminal value over this time, the simugram portfolio returned $45 million.

This dissertation consists of three essays on the taxation of capital income. The first essay examines the effects of the interactions of home and host country tax provisions on capital investment decisions by a U.S. multinational before and after a capital-importing country switches from a conventional corporate income tax to a consumption-based business cash flow tax. The analysis considers the cases in which the U.S. deems the cash flow tax to be creditable, non-creditable or partially creditable. In addition, two methods of implementing a consumption-based business tax are considered--the R-base and the R+F-base--and the importance of the firm's choices between local debt finance and parent multinational finance is analyzed. A numerical application considers the case in which a U.S. multinational invests in Thailand. The second essay examines the incidence of a general and a classified property tax, using an n-community, two-sector, three-factor general equilibrium model in which residents are assumed to benefit from property taxation. The government distributes residential tax revenues so that a worker, a capitalist or a landlord receives benefits equal to the amount of housing tax paid, and distributes commercial property tax revenues such that either each resident receives equal benefits, or only workers receive equal benefits. Aggregate welfare depends on labor population and most of the tax burden is borne by the individuals whose resources are taxed. The third essay provides a review of the literature on the optimal taxation of capital income in a small open economy setting and of the econometric evidence that examines the effects of taxation on business location decisions. Theoretical analyses generally suggest that the optimal tax on capital income is zero, although there are some exceptions. Various explanations of why capital may not be perfectly mobile are also discussed. In the econometric review, it is argued that if the tax has a negative effect on business location measures, the small open economy assumption is to some extent a valid proposition. The essay argues that this assumption is a valid one.