The three essays of this thesis touch a variety of topics in financial econometrics. The first is an empirical investigation of aspects of transactions dynamics of currency futures. Based on the analysis of years of transactions data, the author describes the seasonal dynamic component of trade and price durations of futures and then analyses dynamics of durations using the stochastic conditional duration model (SCD). / The second essay develops a model for the robust analysis of time series. Asymptotic properties of the parameter estimates of this model are established. The model is applied to the analysis of dynamics of conditional quantiles of the quadratic variation in currency exchange rates. Forecasting properties of the model are also evaluated. / Finally; the third essay uses recent advances in the theory of extremal events to analyse the effects of institutional changes in financial markets on the extremal behaviour of major stock indices, as far as this behaviour is reflected in the evolution of Hill's estimator of the tail index.
| Identifer | oai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:QMM.85031 |
| Date | January 2004 |
| Creators | Zernov, Serguei |
| Publisher | McGill University |
| Source Sets | Library and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada |
| Language | English |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Format | application/pdf |
| Coverage | Doctor of Philosophy (Department of Economics.) |
| Rights | All items in eScholarship@McGill are protected by copyright with all rights reserved unless otherwise indicated. |
| Relation | alephsysno: 002187796, proquestno: AAINR06357, Theses scanned by UMI/ProQuest. |
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