Log in

Relevant bibliographies by topics / Finance Australia Econometric models / Dissertations / Theses

To see the other types of publications on this topic, follow the link: Finance Australia Econometric models.

Dissertations / Theses on the topic 'Finance Australia Econometric models'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the top 50 dissertations / theses for your research on the topic 'Finance Australia Econometric models.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.

1

Eadie, Edward Norman. "Small resource stock share price behaviour and prediction." Title page, contents and abstract only, 2002. http://web4.library.adelaide.edu.au/theses/09CM/09cme11.pdf.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Limkriangkrai, Manapon. "An empirical investigation of asset-pricing models in Australia." University of Western Australia. Faculty of Business, 2007. http://theses.library.uwa.edu.au/adt-WU2007.0197.

Full text

Abstract:

[Truncated abstract] This thesis examines competing asset-pricing models in Australia with the goal of establishing the model which best explains cross-sectional stock returns. The research employs Australian equity data over the period 1980-2001, with the major analyses covering the more recent period 1990-2001. The study first documents that existing asset-pricing models namely the capital asset pricing model (CAPM) and domestic Fama-French three-factor model fail to meet the widely applied Merton?s zero-intercept criterion for a well-specified pricing model. This study instead documents th

APA, Harvard, Vancouver, ISO, and other styles

3

Shen, Gensheng University of Ballarat. "The determinants of capital structure in Chinese listed companies." University of Ballarat, 2008. http://archimedes.ballarat.edu.au:8080/vital/access/HandleResolver/1959.17/12728.

Full text

Abstract:

Traditional financial theories see capital structure as a result of mainly financial, tax and growth factors (Modigliani & Miller, 1958). But corporate governance theories (Jensen & Meckling, 1976) and business strategy theories (Barton & Gordon, 1988) suggest that ownership structure and ownership concentration, product diversification and asset specificity may also influence capital structure. Focusing on the examination of the determinants of capital structure in Chinese listed companies, this research goes beyond financial factors and considered business strategy and corporate governance a

APA, Harvard, Vancouver, ISO, and other styles

4

Shen, Gensheng. "The determinants of capital structure in Chinese listed companies." University of Ballarat, 2008. http://archimedes.ballarat.edu.au:8080/vital/access/HandleResolver/1959.17/15395.

Full text

Abstract:

Traditional financial theories see capital structure as a result of mainly financial, tax and growth factors (Modigliani & Miller, 1958). But corporate governance theories (Jensen & Meckling, 1976) and business strategy theories (Barton & Gordon, 1988) suggest that ownership structure and ownership concentration, product diversification and asset specificity may also influence capital structure. Focusing on the examination of the determinants of capital structure in Chinese listed companies, this research goes beyond financial factors and considered business strategy and corporate governance a

APA, Harvard, Vancouver, ISO, and other styles

5

Klongkratoke, Pittaya. "Econometric models in foreign exchange market." Thesis, University of Glasgow, 2016. http://theses.gla.ac.uk/7333/.

Full text

Abstract:

According to the significance of the econometric models in foreign exchange market, the purpose of this research is to give a closer examination on some important issues in this area. The research covers exchange rate pass-through into import prices, liquidity risk and expected returns in the currency market, and the common risk factors in currency markets. Firstly, with the significant of the exchange rate pass-through in financial economics, the first empirical chapter studies on the degree of exchange rate pass-through into import in emerging economies and developed countries in panel evide

APA, Harvard, Vancouver, ISO, and other styles

6

Wongwachara, Warapong. "Essays on econometric errors in quantitative financial economics." Thesis, University of Cambridge, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.609240.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

Marshall, Peter John 1960. "Rational versus anchored traders : exchange rate behaviour in macro models." Monash University, Dept. of Economics, 2001. http://arrow.monash.edu.au/hdl/1959.1/9048.

Full text

APA, Harvard, Vancouver, ISO, and other styles

8

Enzinger, Sharn Emma 1973. "The economic impact of greenhouse policy upon the Australian electricity industry : an applied general equilibrium analysis." Monash University, Centre of Policy Studies, 2001. http://arrow.monash.edu.au/hdl/1959.1/8383.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

Emiris, Marina. "Essays on macroeconomics and finance." Doctoral thesis, Universite Libre de Bruxelles, 2006. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210764.

Full text

APA, Harvard, Vancouver, ISO, and other styles

10

Venditti, Fabrizio. "Essays on models with time-varying parameters for forecasting and policy analysis." Thesis, Queen Mary, University of London, 2017. http://qmro.qmul.ac.uk/xmlui/handle/123456789/24868.

Full text

Abstract:

The aim of this thesis is the development and the application of econometric models with time-varying parameters in a policy environment. The popularity of these methods has run in parallel with advances in computing power, which has made feasible estimation methods that until the late '90s would have been unfeasible. Bayesian methods, in particular, benefitted from these technological advances, as sampling from complicated posterior distributions of the model parameters became less and less time-consuming. Building on the seminal work by Carter and Kohn (1994) and Jacquier, Polson, and Rossi

APA, Harvard, Vancouver, ISO, and other styles

11

Lee, Chui-yan, and 李翠恩. "Inflation in Hong Kong: a structuralist interpretation." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1997. http://hub.hku.hk/bib/B4389382X.

Full text

APA, Harvard, Vancouver, ISO, and other styles

12

Ng, Fo-chun, and 伍科俊. "Some topics in correlation stress testing and multivariate volatility modeling." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/206653.

Full text

Abstract:

This thesis considers two important problems in finance, namely, correlation stress testing and multivariate volatility modeling. Correlation stress testing refers to the correlation matrix adjustment to evaluate potential impact of the changes in correlations under financial crises. Very often, some correlations are explicitly adjusted (core correlations), with the remainder left unspecified (peripheral correlations), although it would be more natural for both core correlations and peripheral correlations to vary. However, most existing methods ignored the potential change in peripheral co

APA, Harvard, Vancouver, ISO, and other styles

13

Forrester, David Edward Economics Australian School of Business UNSW. "Market probability density functions and investor risk aversion for the australia-us dollar exchange rate." Awarded by:University of New South Wales. School of Economics, 2006. http://handle.unsw.edu.au/1959.4/27199.

Full text

Abstract:

This thesis models the Australian-US Dollar (AUD/USD) exchange rate with particular attention being paid to investor risk aversion. Accounting for investor risk aversion in AUD/USD exchange rate modelling is novel, so too is the method used to measure risk aversion in this thesis. Investor risk aversion is measured using a technique developed in Bliss and Panigirtzoglou (2004), which makes use of Probability Density Functions (PDFs) extracted from option markets. More conventional approaches use forward-market pricing or Uncovered Interest Parity. Several methods of estimating PDFs from option

APA, Harvard, Vancouver, ISO, and other styles

14

Li, Fuchun. "Testing for and dating structural change in econometric models and nonparametric methods in finance." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0017/NQ58145.pdf.

Full text

APA, Harvard, Vancouver, ISO, and other styles

15

Hadjiantoni, Stella. "Numerical methods for the recursive estimation of large-scale linear econometric models." Thesis, Queen Mary, University of London, 2015. http://qmro.qmul.ac.uk/xmlui/handle/123456789/27003.

Full text

Abstract:

Recursive estimation is an essential procedure in econometrics which appears in many applications when the underlying dataset or model is modi ed. Data arrive consecutively and thus already estimated models will have to be updated with new available information. Moreover, in many cases, data will have to be deleted from a model in order to remove their effect, either because they are old (obsolete) or because they have been detected to be outliers or extreme values and further investigation is required. The aim of this thesis is to develop numerically stable and computationally efficient metho

APA, Harvard, Vancouver, ISO, and other styles

16

Yin, Jiang Ling. "Financial time series analysis." Thesis, University of Macau, 2011. http://umaclib3.umac.mo/record=b2492929.

Full text

APA, Harvard, Vancouver, ISO, and other styles

17

He, Ting. "Three essays in corporate finance and corporate governance." HKBU Institutional Repository, 2011. http://repository.hkbu.edu.hk/etd_ra/1230.

Full text

APA, Harvard, Vancouver, ISO, and other styles

18

Ji, Inyeob Economics Australian School of Business UNSW. "Essays on testing some predictions of RBC models and the stationarity of real interest rates." Publisher:University of New South Wales. Economics, 2008. http://handle.unsw.edu.au/1959.4/41441.

Full text

Abstract:

This dissertation contains a series of essays that provide empirical evidence for Australia on some fundamental predictions of real business cycle models and on the convergence and persistence of real interest rates. Chapter 1 provides a brief introduction to the issues examined in each chapter and provides an overview of the methodologies that are used. Tests of various basic predictions of standard real business cycle models for Australia are presented in Chapters 2, 3 and 4. Chapter 2 considers the question of great ratios for Australia. These are ratios of macroeconomic variables that are

APA, Harvard, Vancouver, ISO, and other styles

19

Kummerow, Max F. "A paradigm of inquiry for applied real estate research : integrating econometric and simulation methods in time and space specific forecasting models : Australian office market case study." Curtin University of Technology, School of Economics and Finance, 1997. http://espace.library.curtin.edu.au:80/R/?func=dbin-jump-full&object_id=11274.

Full text

Abstract:

Office space oversupply cost Australia billions of dollars during the 1990-92 recession. Australia, the United States, Japan, the U.K., South Africa, China, Thailand, and many other countries have suffered office oversupply cycles. Illiquid untenanted office buildings impair investors capital and cash flows, with adverse effects on macroeconomics, financial institutions, and individuals. This study aims to develop improved methods for medium term forecasting of office market adjustments to inform individual project development decisions and thereby to mitigate office oversupply cycles. Methods

APA, Harvard, Vancouver, ISO, and other styles

20

方柏榮 and Pak-wing Fong. "Topics in financial time series analysis: theory and applications." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31241669.

Full text

APA, Harvard, Vancouver, ISO, and other styles

21

Casas, Villalba Isabel. "Statistical inference in continuous-time models with short-range and/or long-range dependence." University of Western Australia. School of Mathematics and Statistics, 2006. http://theses.library.uwa.edu.au/adt-WU2006.0133.

Full text

Abstract:

The aim of this thesis is to estimate the volatility function of continuoustime stochastic models. The estimation of the volatility of the following wellknown international stock market indexes is presented as an application: Dow Jones Industrial Average, Standard and Poor’s 500, NIKKEI 225, CAC 40, DAX 30, FTSE 100 and IBEX 35. This estimation is studied from two different perspectives: a) assuming that the volatility of the stock market indexes displays shortrange dependence (SRD), and b) extending the previous model for processes with longrange dependence (LRD), intermediaterange dependence

APA, Harvard, Vancouver, ISO, and other styles

22

Armstrong, Mark. "Pricing in multiproduct firms." Thesis, University of Oxford, 1993. http://ora.ox.ac.uk/objects/uuid:3af11153-479b-48b6-a8ea-3aa2318effb6.

Full text

Abstract:

This thesis is a theoretical analysis of optimal pricing by firms when consumer demands are uncertain. The purpose is to extend the familiar literature on single-product nonlinear pricing in two directions: to cases where the firm is regulated and to the case where the firm produces several products. Chapter 1 embeds these problems into the general setting of models of asymmetric information and, as well as covering existing work on the pricing decisions of firms facing adverse selection, discusses other areas including repeated contracts, auctions, signalling and the uses of what is known as

APA, Harvard, Vancouver, ISO, and other styles

23

Corres, Stelios. "Essays on the dynamics of qualitive aspects of firms' behavior." Diss., Virginia Tech, 1993. http://hdl.handle.net/10919/40187.

Full text

APA, Harvard, Vancouver, ISO, and other styles

24

King, Daniel Jonathan. "Modelling stock return volatility dynamics in selected African markets." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1006452.

Full text

Abstract:

Stock return volatility has been shown to occasionally exhibit discrete structural shifts. These shifts are particularly evident in the transition from ‘normal’ to crisis periods, and tend to be more pronounced in developing markets. This study aims to establish whether accounting for structural changes in the conditional variance process, through the use of Markov-switching models, improves estimates and forecasts of stock return volatility over those of the more conventional single-state (G)ARCH models, within and across selected African markets for the period 2002-2012. In the univariate po

APA, Harvard, Vancouver, ISO, and other styles

25

Weiss, Maurício Andrade 1983. "Dinâmica dos fluxos financeiros para os países em desenvolvimento no contexto da globalização financeira." [s.n.], 2014. http://repositorio.unicamp.br/jspui/handle/REPOSIP/286432.

Full text

Abstract:

Orientador: Daniela Magalhães Prates<br>Tese (doutorado) - Universidade Estadual de Campinas, Instituto de Economia<br>Made available in DSpace on 2018-08-25T03:18:03Z (GMT). No. of bitstreams: 1 Weiss_MauricioAndrade_D.pdf: 3099937 bytes, checksum: f12ba1741353723f160b9105d03c2349 (MD5) Previous issue date: 2014<br>Resumo: Uma das características fundamentais da dinâmica das finanças internacionais no contexto de globalização financeira é a volatilidade dos fluxos de capitais. Essa volatilidade é decorrente da dominância da lógica financeira sobre a produtiva no capitalismo contemporâneo e

APA, Harvard, Vancouver, ISO, and other styles

26

Kotak, Akshay. "Essays on financial intermediation, stability, and regulation." Thesis, University of Oxford, 2015. http://ora.ox.ac.uk/objects/uuid:112b32a7-fa60-4baa-a325-15e014798cea.

Full text

Abstract:

Modern banking theories provide a host of explanations for the existence of intermediaries, highlight their important influence on economic growth, delineate the risks inherent in the services they provide, and illustrate the market failures and real costs of bank failures that precipitate the need for regulation and oversight of the sector. This thesis is a collection of three essays that looks at three of these key aspects of financial intermediaries - the development of financial intermediaries, the function of the lender of last resort that has emerged as an important part of the safety ne

APA, Harvard, Vancouver, ISO, and other styles

27

Okumu, Ibrahim Mike. "Essays on governance, public finance, and economic development." Thesis, University of St Andrews, 2014. http://hdl.handle.net/10023/5282.

Full text

Abstract:

This thesis is composed of three distinct but related essays. The first essay studies the role of the size of the economy in mitigating the impact of public sector corruption on economic development. The analysis is based on a dynamic general equilibrium model in which growth occurs endogenously through the invention and manufacture of new intermediate goods that are used in the production of output. Potential innovators decide to enter the market considering the fraction of future profits that may be lost to corruption. We find that depending on the number of times bribes are demanded, the si

APA, Harvard, Vancouver, ISO, and other styles

28

Geissler, Johannes. "Lower inflation : ways and incentives for central banks." Thesis, University of St Andrews, 2011. http://hdl.handle.net/10023/1719.

Full text

Abstract:

This thesis is a technical inquiry into remedies for high inflation. In its center there is the usual tradeoff between inflation aversion on the one hand and some benefit from inflation via Phillips curve effects on the other hand. Most remarkable and pioneering work for us is the famous Barro-Gordon model - see (Barro & Gordon 1983a) respectively (Barro & Gordon 1983b). Parts of this model form the basis of our work here. Though being well known the discretionary equilibrium is suboptimal the question arises how to overcome this. We will introduce four different models, each of them giving a

APA, Harvard, Vancouver, ISO, and other styles

29

Wong, Siu-kei, and 黃紹基. "The performance of property companies in Hong Kong: a style analysis approach." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B26720401.

Full text

APA, Harvard, Vancouver, ISO, and other styles

30

Malherbe, Frédéric. "Essays on the macroeconomic implications of information asymmetries." Doctoral thesis, Universite Libre de Bruxelles, 2010. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210085.

Full text

Abstract:

Along this dissertation I propose to walk the reader through several macroeconomic<p>implications of information asymmetries, with a special focus on financial<p>issues. This exercise is mainly theoretical: I develop stylized models that aim<p>at capturing macroeconomic phenomena such as self-fulfilling liquidity dry-ups,<p>the rise and the fall of securitization markets, and the creation of systemic risk.<p>The dissertation consists of three chapters. The first one proposes an explanation<p>to self-fulfilling liquidity dry-ups. The second chapters proposes a formalization<p>of the concept of

APA, Harvard, Vancouver, ISO, and other styles

31

Lenza, Michèle. "Essays on monetary policy, saving and investment." Doctoral thesis, Universite Libre de Bruxelles, 2007. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210659.

Full text

Abstract:

This thesis addresses three relevant macroeconomic issues: (i) why<p>Central Banks behave so cautiously compared to optimal theoretical<p>benchmarks, (ii) do monetary variables add information about<p>future Euro Area inflation to a large amount of non monetary<p>variables and (iii) why national saving and investment are so<p>correlated in OECD countries in spite of the high degree of<p>integration of international financial markets.<p><p>The process of innovation in the elaboration of economic theory<p>and statistical analysis of the data witnessed in the last thirty<p>years has greatly enric

APA, Harvard, Vancouver, ISO, and other styles

32

Duong, Lien Thi Hong. "Australian takeover waves : a re-examination of patterns, causes and consequences." UWA Business School, 2009. http://theses.library.uwa.edu.au/adt-WU2009.0201.

Full text

Abstract:

This thesis provides more precise characterisation of patterns, causes and consequences of takeover activity in Australia over three decades spanning from 1972 to 2004. The first contribution of the thesis is to characterise the time series behaviour of takeover activity. It is found that linear models do not adequately capture the structure of merger activity; a non-linear two-state Markov switching model works better. A key contribution of the thesis is, therefore, to propose an approach of combining a State-Space model with the Markov switching regime model in describing takeover activity.

APA, Harvard, Vancouver, ISO, and other styles

33

Mnjama, Gladys Susan. "Exchange rate pass-through to domestic prices in Kenya." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002709.

Full text

Abstract:

In 1993, Kenya liberalised its trade policy and allowed the Kenyan Shillings to freely float. This openness has left Kenya's domestic prices vulnerable to the effects of exchange rate fluctuations. One of the objectives of the Central Bank of Kenya is to maintain inflation levels at sustainable levels. Thus it has become necessary to determine the influence that exchange rate changes have on domestic prices given that one of the major determinants of inflation is exchange rate movements. For this reason, this thesis examines the magnitude and speed of exchange rate pass-through (ERPT) to domes

APA, Harvard, Vancouver, ISO, and other styles

34

Savanhu, Tatenda. "Financial liberalization, financial development and economic growth: the case for South Africa." Thesis, Rhodes University, 2012. http://hdl.handle.net/10962/d1006197.

Full text

Abstract:

Financial liberalization in South Africa was a process that took the form of various legal reforms very a long period of time. This study uses quarterly financial data from 1969 quarter one to 2009 quarter four to analyse this process. The data used was pertinent to the financial liberalization theorem by McKinnon (1973) and Shaw (1973). The examination of the relationships between the various macro economic variables has important implications for effective policy formulation. The empirical analysis is carried out in four phases: the preliminary analysis, the principal component analysis (PCA

APA, Harvard, Vancouver, ISO, and other styles

35

Dominicy, Yves. "Quantile-based inference and estimation of heavy-tailed distributions." Doctoral thesis, Universite Libre de Bruxelles, 2014. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209311.

Full text

Abstract:

This thesis is divided in four chapters. The two first chapters introduce a parametric quantile-based estimation method of univariate heavy-tailed distributions and elliptical distributions, respectively. If one is interested in estimating the tail index without imposing a parametric form for the entire distribution function, but only on the tail behaviour, we propose a multivariate Hill estimator for elliptical distributions in chapter three. In the first three chapters we assume an independent and identically distributed setting, and so as a first step to a dependent setting, using quantiles

APA, Harvard, Vancouver, ISO, and other styles

36

Nyasha, Sheilla. "Financial development and economic growth : new evidence from six countries." Thesis, 2014. http://hdl.handle.net/10500/18576.

Full text

Abstract:

Using 1980 - 2012 annual data, the study empirically investigates the dynamic relationship between financial development and economic growth in three developing countries (South Africa, Brazil and Kenya) and three developed countries (United States of America, United Kingdom and Australia). The study was motivated by the current debate regarding the role of financial development in the economic growth process, and their causal relationship. The debate centres on whether financial development impacts positively or negatively on economic growth and whether it Granger-causes economic growt

APA, Harvard, Vancouver, ISO, and other styles

37

"Essays in monetary theory and finance." 2004. http://library.cuhk.edu.hk/record=b5891997.

Full text

Abstract:

Cheung Ho Sang.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.<br>Includes bibliographical references (leaves 185-187).<br>Abstracts in English and Chinese.<br>Curriculum Vitae --- p.ii<br>Acknowledgments --- p.iii<br>Abstract --- p.v<br>Table of Contents --- p.viii<br>Chapter Chapter 1. --- Introduction --- p.1<br>Chapter Chapter 2. --- The behavior of income velocity of money --- p.3<br>Chapter 2.1 --- Introduction --- p.3<br>Chapter 2.2 --- Literature Review --- p.4<br>Chapter 2.3 --- Data Description --- p.9<br>Chapter 2.4 --- Methodology --- p.9<br>Chapter 2.5 --- E

APA, Harvard, Vancouver, ISO, and other styles

38

Han, Heejoon. "Econometric analysis of ARCH models with persistent covariates." Thesis, 2006. http://hdl.handle.net/1911/18912.

Full text

Abstract:

We consider a volatility model, named ARCH-NNH model, that is specifically an ARCH process with a nonlinear function of a persistent, integrated or nearly integrated, explanatory variable. We first establish the asymptotic theories showing that the time series properties of our model successfully describe stylized facts about volatility in financial time series. Due to persistent covariates, the model generates time series showing the long memory property in volatility and leptokurtosis which are commonly observed in speculative return series. Next, we derive the asymptotic distribution theory

APA, Harvard, Vancouver, ISO, and other styles

39

"Nonparametric analysis of hedge ratio: the case of Nikkei Stock Average." 1998. http://library.cuhk.edu.hk/record=b5889511.

Full text

Abstract:

by Lee Chi Kau.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 1998.<br>Includes bibliographical references (leaves 115-119).<br>Abstract also in Chinese.<br>ACKNOWLEDGMENTS --- p.iii<br>LIST OF TABLES --- p.iv<br>LIST OF ILLUSTRATIONS --- p.vi<br>CHAPTER<br>Chapter ONE --- INTRODUCTION --- p.1<br>Chapter TWO --- THE LITERATURE REVIEW --- p.6<br>Parametric Models<br>Nonparametric Estimation Techniques<br>Chapter THREE --- ANALYTICAL FRAMEWORKS --- p.21<br>Parametric Models<br>Nonparametric Models<br>Chapter FOUR --- EMPIRICAL FINDINGS --- p.36<br>Data<br>Estimation Results<br>Eva

APA, Harvard, Vancouver, ISO, and other styles

40

Padungrat, Teardchart. "Capacity utilization and inflation : international evidence." Thesis, 1995. http://hdl.handle.net/1957/35192.

Full text

Abstract:

The relevance of domestic and foreign capacity utilization rates in forecasting future inflation rate has been investigated empirically, using five industrialized countries for which the comparable data are available. It has been found that capacity utilization rates, both domestic and foreign, have a long run stable relationship with domestic inflation rate and a positive shock in the capacity utilization rate results in a significant, although a little bit delayed, acceleration in the domestic inflation rate. Various econometric techniques have been used and led to consistent empirical findi

APA, Harvard, Vancouver, ISO, and other styles

41

"Inflation and relative price variability in China: theory and evidence." 2009. http://library.cuhk.edu.hk/record=b5894031.

Full text

Abstract:

Yuan, Jiang.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2009.<br>Includes bibliographical references (leaves 48-51).<br>Abstract also in Chinese.<br>Chapter Chapter 1 --- Introduction --- p.1<br>Chapter Chapter 2 --- Literature Review --- p.5<br>Chapter 2.1 --- Theoretical Literature --- p.5<br>Chapter 2.1.1 --- Menu Cost Model --- p.5<br>Chapter 2.1.2 --- Signal Extraction Model --- p.6<br>Chapter 2.1.3 --- Monetary Search Model --- p.7<br>Chapter 2.2 --- Empirical Literature --- p.8<br>Chapter Chapter 3 --- Inflation and Relative Price Variability in a Transitional Economy

APA, Harvard, Vancouver, ISO, and other styles

42

Brewbaker, Paul H. "Dynamic models of Hawaiʻi hotel investment". Thesis, 2004. http://proquest.umi.com/pqdweb?index=0&did=765924051&SrchMode=1&sid=2&Fmt=2&VInst=PROD&VType=PQD&RQT=309&VName=PQD&TS=1233272674&clientId=23440.

Full text

APA, Harvard, Vancouver, ISO, and other styles

43

"An empirical analysis of hedge ratio: the case of Nikkei 225 options." 2001. http://library.cuhk.edu.hk/record=b5890814.

Full text

Abstract:

Lam Suet-man.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2001.<br>Includes bibliographical references (leaves 111-117).<br>Abstracts in English and Chinese.<br>ACKNOWOLEDGMENTS --- p.iii<br>LIST OF TABLES --- p.iv<br>LIST OF ILLUSTRATIONS --- p.vi<br>CHAPTER<br>Chapter ONE --- INTRODUCTION --- p.1<br>Chapter TWO --- REVIEW OF THE LITERATURE --- p.6<br>Parametric Models<br>Nonparametric Estimation Techniques<br>Chapter THREE --- METHODOLOGY --- p.21<br>Parametric Models<br>Nonparametric Models<br>Chapter FOUR --- DATA DESCRIPTION --- p.33<br>Chapter FIVE --- EMPIRICAL FINDINGS

APA, Harvard, Vancouver, ISO, and other styles

44

"The impact of default barriers on corporate assets." 2004. http://library.cuhk.edu.hk/record=b5892210.

Full text

Abstract:

Choi Tsz Wang.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.<br>Includes bibliographical references (leaves 43-45).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 2 --- Review of Structural Models --- p.5<br>Chapter 2.1 --- The Merton model --- p.5<br>Chapter 2.2 --- The default barrier model of Black and Cox --- p.7<br>Chapter 3 --- Estimating the Merton model --- p.10<br>Chapter 3.1 --- The Variance Restriction (VR) method --- p.10<br>Chapter 3.2 --- The Maximum Likelihood estimation (ML) method --- p.12<br>Chapter 3.3 --- Compariso

APA, Harvard, Vancouver, ISO, and other styles

45

Rodriguez, Arnulfo. "Essays on inflation forecast based rules, robust policies and sovereign debt." Thesis, 2004. http://hdl.handle.net/2152/2174.

Full text

APA, Harvard, Vancouver, ISO, and other styles

46

Evans, Richard William 1975. "Three essays on openness, international pricing, and optimal monetary policy." Thesis, 2008. http://hdl.handle.net/2152/3962.

Full text

APA, Harvard, Vancouver, ISO, and other styles

47

Yuan, Kai. "Essays on Liquidity Risk and Modern Market Microstructure." Thesis, 2017. https://doi.org/10.7916/D8FR07W6.

Full text

Abstract:

Liquidity, often defined as the ability of markets to absorb large transactions without much effect on prices, plays a central role in the functioning of financial markets. This dissertation aims to investigate the implications of liquidity from several different perspectives, and can help to close the gap between theoretical modeling and practice. In the first part of the thesis, we study the implication of liquidity costs for systemic risks in markets cleared by multiple central counterparties (CCPs). Recent regulatory changes are trans- forming the multi-trillion dollar swaps market

APA, Harvard, Vancouver, ISO, and other styles

48

Shilongo, Fillemon. "An econometric analysis of the impact of imports on inflation in Namibia." Diss., 2019. http://hdl.handle.net/10500/26869.

Full text

Abstract:

This study investigated the impact of import prices on inflation in Namibia, using quarterly time series data over the period 1998Q2-2017Q4. The variables used in the study are inflation rate, M2, real GDP and import prices. The study found that all the variables are integrated of order one (1), and upon testing for cointegration using Johansen test, there was no cointegration. Therefore, the model was analysed using ordinary least squares (OLS) techniques of vector autoregression (VAR) approach, granger causality test and the impulse response function. The results of the study revealed that i

APA, Harvard, Vancouver, ISO, and other styles

49

"Three essays on financial econometrics." 2013. http://library.cuhk.edu.hk/record=b5549821.

Full text

Abstract:

本文由三篇文章構成。首篇是關於多維變或然分佈預測的檢驗。第三篇是關於非貝斯結構性轉變的VAR 模型。或然分佈預測的檢驗是基於檢驗PIT(probability integral transformation) 序的均勻份佈性質與獨性質。第一篇文章基於Clements and Smith (2002) 的方法提出新的位置正變換。這新的變換改善原有的對稱問題，以及提高檢驗的power。第二篇文章建對於多變或然分佈預測的data-driven smooth 檢驗。通過蒙特卡模擬，本文驗證這種方法在小樣本下的有效性。在此之前，由於高維模型的複雜性，大部分的研究止於二維模型。我們在文中提出有效的方法把多維變換至單變。蒙特卡模擬實驗，以及在組融據的應用中，都證實這種方法的優勢。最後一篇文章提出非貝斯結構性轉變的VAR 模型。在此之前，Chib(1998) 建的貝斯結構性轉變模型須要預先假定構性轉變的目。因此他的方法須要比較同構性轉變目模型的優。而本文提出的stick-breaking 先驗概，可以使構性轉變目在估計中一同估計出。因此我們的方法具有robust 之性質。通過蒙特卡模擬，我們考察存在著四個構性轉變的autoregressive VAR(2) 模型。結果顯示我們的方法能準確地估計出構性轉變的發生位置。而模型中的65 個估計都十分接近真實值。我們把這方法應用在多個對沖基回報序。驗測出的

APA, Harvard, Vancouver, ISO, and other styles

50

Cotton, Christopher David. "Low Inflation: Potential Causes, Effects and Solutions." Thesis, 2019. https://doi.org/10.7916/d8-tg4q-7n86.

Full text

Abstract:

My dissertation focuses upon low inflation. Many developed countries, especially Japan and the Eurozone, have recently experienced prolonged periods of below-target inflation. This has been blamed for many economic ills including worsening the Great Recession and generating a slow recovery, making monetary policy ineffective and leading to lower labor market flexibility. I study what has caused low inflation, its potential effects and how it could be prevented. In Chapter 1, I look at how effective raising the inflation target would be in mitigating the problems of low inflation. Many ec

APA, Harvard, Vancouver, ISO, and other styles

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!