In the first chapter, we consider the joint estimation of objective and risk-neutral parameters for SV option pricing models. We propose a strategy which exploits the information contained in large heterogeneous panels of options, and we apply it to S&P 500 index and index call options data. Our approach breaks the stochastic singularity between contemporaneous option prices by assuming that every observation is affected by measurement error. We evaluate the likelihood function by using a MC-IS strategy combined with a Particle Filter algorithm. The second chapter examines the impact of different categories of traders on market transactions. We estimate a model which takes into account traders’ identities at the transaction level, and we find that the stock prices follow the direction of institutional trading. These results are carried out with data from an anonymous market. To explain our estimates, we examine the informativeness of a wide set of market variables and we find that most of them are unambiguously significant to infer the identity of traders. The third chapter investigates the relationship between the categories of market traders and three definitions of financial durations. We consider trade, price and volume durations, and we adopt a Log-ACD model where we include information on traders at the transaction level. As to trade durations, we observe an increase of the trading frequency when informed traders and the liquidity provider intensify their presence in the market. For price and volume durations, we find the same effect to depend on the state of the market activity. The fourth chapter proposes a strategy to express order aggressiveness in quantitative terms. We consider a simultaneous equation model to examine price and volume aggressiveness at Euronext Paris, and we analyse the impact of a wide set of order book variables on the price-quantity decision.

No description available.

In the framework of the Jacobi-weighted Besov and Sobolev spaces, we analyze the approximation to singular and smooth functions. We construct stable and compatible polynomial extensions from triangular and square faces to prisms, hexahedrons and pyramids, and introduce quasi Jacobi projection operators on individual elements, which is a combination of the Jacobi projection and the interpolation at vertices and on sides of elements. Applying these results we establish the convergence of the h-p version of the finite element method with quasi uniform meshes in three dimensions for elliptic problems with smooth solutions or singular solutions on polyhedral domains in three dimensions. The rate of convergence interms of h and p is proved to be the best.

This thesis explores the relevant systems which model the choices speakers make when referring to objects. Referring expressions have received relatively little attention in Systemic Functional Linguistics, although from a purely structural perspective some work has attempted to account for postmodification in the nominal group. The main goal of this thesis is to produce a theoretical and analytical approach to referring expressions including complex referring expressions in particular. This requires a shift in perspective from structural (‘nominal group’) to functional (‘referring expression’).

Small-scale dynamic stochastic general equilibrium have been treated as the benchmark of much of the monetary policy literature, given their ability to explain the impact of monetary policy on output, inflation and financial markets. One cause of the empirical failure of New Keynesian models is partially due to the Rational Expectations (RE) paradigm, which entails a tight structure on the dynamics of the system. Under this hypothesis, the agents are assumed to know the data genereting process. In this paper, we propose the econometric analysis of New Keynesian DSGE models under an alternative expectations generating paradigm, which can be regarded as an intermediate position between rational expectations and learning, nameley an adapted version of the "Quasi-Rational" Expectatations (QRE) hypothesis. Given the agents' statistical model, we build a pseudo-structural form from the baseline system of Euler equations, imposing that the length of the reduced form is the same as in the `best' statistical model.

This thesis analyses tense and aspect, in particular the Aspect Hypothesis (Salaberry & Shirai 2002; Bardovi-Harlig 2000; Andersen & Shirai 1996) and introduces an approach to teaching it: sociocognitive metaphorm (SCM). Sociocognitive is a combination of sociocultural theory (Lantolf & Appel 1996; Lantolf 2000) and cognitive grammar (Langacker 1987,1991). These theories are compatible because they share the psycholinguistic position that language and language development are conceptually based. Metaphorm is a combination of metaphor and form. Metaphor is central to concept development (i.e., conceptual metaphor). Form refers to grammatical structure. Much of temporal relations are expressed metaphorica1ly and hence metaphor also plays an essential role in the tense-aspect conceptualisation, grammaticalisation and acquisition process. The thesis is divided into four parts: Developing SCM, SCM Theory, Researching SCM and Applying SCM. Developing SCM contains a second language acquisition analysis of the Aspect Hypothesis as well as a diachronic and synchronic grammatical meta-analysis of aspect. SCM Theory outlines the process of integrating cognitive grammar with sociocultural theory. Vygotskian (1978, 1986) approaches to learning development, in particular, the zone of proximal development (ZPD), playa prominent role in this part. Researching SCM presents quantitative and qualitative results from a holistic (i.e., metaphoric) empirical classroom study designed to illuminate teaching tense-aspect as sociocognitive metaphorm as well as results from a more analytical (i.e., metonymic) follow-up study investigating the sequence and rate of acquisition of perfect aspect and future tense. The holistic study was longitudinal involving eleven different taskplans to teach grammar through metaphor. The follow-up research study analyses a sequence of instruction based upon conceptualisation processes. The tmal part, Applying SCM, to illustrate the sociocognitive pedagogical approach to teaching grammar as metaphor, includes revised taskplans that were utilised in the empirical research part of this study. The thesis concludes with a summary of the conceptual nature of tense-aspect as well as suggestions for teaching it.

No description available.

The goal of this dissertation is to use statistical tools to analyze specific financial risks that have played dominant roles in the US financial crisis of 2008-2009. The first risk relates to the level of aggregate stress in the financial markets. I estimate the impact of financial stress on economic activity and monetary policy using structural VAR analysis. The second set of risks concerns the US housing market. There are in fact two prominent risks associated with a US mortgage, as borrowers can both prepay or default on a mortgage. I test the existence of unobservable heterogeneity in the borrower's decision to default or prepay on his mortgage by estimating a multinomial logit model with borrower-specific random coefficients.

In the framework of the Jacobi-weighted Besov and Sobolev spaces, we analyze the approximation to singular and smooth functions. We construct stable and compatible polynomial extensions from triangular and square faces to prisms, hexahedrons and pyramids, and introduce quasi Jacobi projection operators on individual elements, which is a combination of the Jacobi projection and the interpolation at vertices and on sides of elements. Applying these results we establish the convergence of the h-p version of the finite element method with quasi uniform meshes in three dimensions for elliptic problems with smooth solutions or singular solutions on polyhedral domains in three dimensions. The rate of convergence interms of h and p is proved to be the best.

The present study reports on a research project conducted in Mauritius in 1992/93. The project was designed to investigate patterns of language use, language choice and language attitudes of a subsection of the Mauritian population: adolescents in full-time education. Mauritius has been a French and British colony and therefore, both English and French are used in formal and official contexts. Furthermore, a French Creole is the lingua franca of the island and several Indian and Chinese languages, often called Oriental languages, are also spoken. The research was carried out in the field, and data was collected by means of a questionnaire and interview from a representative sample of the secondary school population. The basic questions raised in this study are the following: (i) Which language(s) is/are used in a given context, Creole, English, French, Indian or Chinese? (ii) What are the linguistic choices of this particular section of the population? (iii) What kind of attitudes do informants have towards Creole in education? (iv) What is the influence of social factors on the language use, language choice and language attitudes of the informants? The findings of this investigation are compared to the results of the 1990 census on language use. They reveal that although the present sample cannot be considered as representative of the whole Mauritian population, it is representative of the adolescent population in education. The responses indicate that Creole is the first language of the home, but that French and English, to a lesser extent, are also spoken. The majority of the sample seems to be against the idea of studying Creole in school, and yet, accept Creole as the national language of Mauritius. Despite the efforts of successive governments to promote Indian and Chinese languages as "ancestral languages", their use is generally declining, and the majority of informants see little or no use for them in practical terms. The statements made by informants interviewed appear to suggest that there are no conflicting attitudes relating to languages. There is a widespread feeling that Creole should not be used as the language of instruction, but should remain the national language for informal communication. English and French are more useful than Creole and Oriental languages, since they allow success in education and upward social mobility. Oriental languages are not important in daily life, but they represent cultural values, as such they are primarily used in religious practices and learnt as third languages in schools.