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Dissertations / Theses on the topic 'Model of the financial market'

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Published: 28 May 2022
Last updated: 31 July 2025

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1

Cândido, Maria Teresa. "Financial market liquidity, asset pricing, and financial crises /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1998. http://wwwlib.umi.com/cr/ucsd/fullcit?p9914068.

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2

Mohti, Wahbeeah. "Essays on frontier markets: financial integration, financial market efficiency, financial contagion." Doctoral thesis, Universidade de Évora, 2019. http://hdl.handle.net/10174/24579.

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This thesis investigates financial integration, market efficiency, and financial contagion in frontier markets in order to evaluate the potentiality of portfolio diversification. The first essay evaluates Asian frontier and emerging equity markets’ regional and global integration using Gregory and Hansen co-integration tests and detrended cross correlation analysis (DCCA). The results suggest that Asian emerging markets show some evidence of integration with both regional and global markets. From Asian frontier markets, Pakistan is the only one with evidence of integration with both benchmarks
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3

Pang, Chung-kit, and 彭仲傑. "Financial market and Hong Kong economy." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1991. http://hub.hku.hk/bib/B31265066.

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4

Yildirak, Sahap Kasirga. "The Identificaton Of A Bivariate Markov Chain Market Model." Phd thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/1257898/index.pdf.

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This work is an extension of the classical Cox-Ross-Rubinstein discrete time market model in which only one risky asset is considered. We introduce another risky asset into the model. Moreover, the random structure of the asset price sequence is generated by bivariate finite state Markov chain. Then, the interest rate varies over time as it is the function of generating sequences. We discuss how the model can be adapted to the real data. Finally, we illustrate sample implementations to give a better idea about the use of the model.
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5

Martínez, Ortuno Fernando. "Financial market models for the grid." Thesis, Imperial College London, 2011. http://hdl.handle.net/10044/1/6827.

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The existing network of computing devices around the world created by the Internet gives the possibility of establishing a global market for computing power, where anybody connected to this network can acquire computing power or sell his own spare computing resources in exchange for real money. This potential global market for computing power, which does not exist yet, is what we study in this thesis. Specifically, we study the market with both analytic and simulated models. This thesis predicts how a future global market for Grid computing will behave. We give arguments that such a large mark
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Tsang, Yat-ming, and 曾日明. "Risk and return in financial markets: a studyof the Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1991. http://hub.hku.hk/bib/B31976736.

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7

Stádník, Bohumil. "Model dynamického finančního trhu." Doctoral thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-73090.

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The correct model of a liquid financial market is one of the most important matter for a management of all financial market activities including for example a stock or bond porfolio management or an asset pricing. Clear random walk models, which consider a market price/yield development on liquid financial markets to be a random walk within the meaning of a symmetric normal (gaussian) distribution, is very useful to explain quite accurately many financial market effects. If we study financial markets more closely, we recognize that such development can be partly causal and a clear random walk
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8

Boguta, Maria. "A New Space-Time Model for Interacting Agents in the Financial Market." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-3180.

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<p>In this thesis we present a new space-time model of interacting agents in the financial market. It is a combination of the Curie-Weiss model and a model introduced by Järpe. We investigate properties such as the critical temperature and magnetization of the system. The distribution of the Hamiltonian function is obtained and a hypothesis test of independence is derived. The results are illustrated in an example based on real data.</p>
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9

CRUCITTI, FRANCESCA. "HETEROGENEOUS FIRMS MODELS AND FINANCIAL MARKET FRICTIONS." Doctoral thesis, Università degli Studi di Milano, 2019. http://hdl.handle.net/2434/613188.

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The common thread in this thesis is represented by general equilibrium models with heterogeneous firms. Initiated by Huggett (1993) and Aiyagari (1994), a strand of general equilibrium literature characterized by the distribution of heterogeneous individuals has been developed. In recent years, the introduction of heterogeneity in macroeconomics increased exponentially. The thesis is developed in this context. The first chapter provides a methodological analysis. It examines the importance of the modelization choice of the idiosyncratic productivity process of individuals. The second chapter
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Rice, O. "A network model of financial markets." Thesis, University College London (University of London), 2015. http://discovery.ucl.ac.uk/1464036/.

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This thesis introduces a network representation of equity markets. The model is based on the premise that assets share dependencies on abstract ‘factors’ resulting in exploitable patterns among asset price levels. The network model is a collection of long-run market trends estimated by a 3 layer machine learning framework. The network model’s comprehensive validity is established with 2 simulations in the fields of algorithmic trading, and systemic risk. The algorithmic trading validation applies expectations derived from the network model to estimating expected future returns. It further util
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11

Elshqirat, Mohammad Kamel. "Multifactor Capital Asset Pricing Model in the Jordanian Stock Market." ScholarWorks, 2018. https://scholarworks.waldenu.edu/dissertations/5186.

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A valid and accurate capital asset pricing model (CAPM) may help investors and mutual funds managers in determining expected returns and thus, may increase profits which can be reflected on the community resources. The problem is that the traditional CAPM does not accurately predict the expected rate of return. A more accurate model is needed to help investors in determining the intrinsic price of the financial asset they want to sell or buy. The purpose of this study was to examine the validity of the single-factor CAPM and then develop and test the validity of a multifactor CAPM in the Jorda
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12

Munhumwe, Blessing. "The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market." Master's thesis, University of Cape Town, 2011. http://hdl.handle.net/11427/13042.

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Includes bibliographical references (leaves [51] - 55).<br>The purpose of this study is to price options under jump diffusions using Fourier Transforms and obtain the implied volatility surface from these option prices.
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CASPARY, MICHEL CARDONSKY. "GENETIC-NEURAL MODEL FOR PORTFOLIO OPTIMIZATION WITH FINANCIAL OPTIONS IN THE BRAZILIAN MARKET." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2011. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=19894@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>A presente dissertação tem por objetivo desenvolver um modelo inteligente que permita, por uma análise quantitativa e probabilística, gerar uma carteira otimizada composta de um ativo financeiro e opções sobre este ativo. Procurou-se estudar inicialmente as características da distribuição de retornos e da volatilidade das ações mais líquidas da Bolsa de Valores de São Paulo, no período de Jan/2005 a Jul/2010, através de regressões polinomiais univariadas e bivariadas. Observou
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14

Fausch, Jürg. "Essays on Financial Markets and the Macroeconomy." Doctoral thesis, Stockholms universitet, Nationalekonomiska institutionen, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-140151.

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Asset pricing implications of a DSGE model with recursive preferences and nominal rigidities. I study jointly macroeconomic dynamics and asset prices implied by a production economy featuring nominal price rigidities and Epstein-Zin (1989) preferences. Using a reasonable calibration, the macroeconomic DSGE model is consistent with a number of stylized facts observed in financial markets like the equity premium, a negative real term spread, a positive nominal term spread and the predictability of stock returns, without compromising the model's ability to fit key macroeconomic variables. The int
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15

Mahieu, Ronaldus Johannes. "Financial market volatility statistical models and empirical analysis /." Maastricht : Maastricht : Universitaire Pers Maastricht ; University Library, Maastricht University [Host], 1995. http://arno.unimaas.nl/show.cgi?fid=8347.

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16

Bautista, Alderete Guillermo. "Alternative Models to Analyze Market Power and Financial Transmission Rights in Electricity Markets." Thesis, University of Waterloo, 2005. http://hdl.handle.net/10012/825.

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One of the main concerns with the introduction of competition in the power sector is the strategic behaviour of market participants. Computable models of strategic behaviour are becoming increasingly important to understand the complexities of competition. Such models can help analyze market designs and regulatory policies. In this thesis, further developments on the modelling and analysis of strategic behaviour in electricity markets are presented. This thesis work has been conducted along three research lines. <br /><br /> In the first research line, an oligopolistic model of
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17

GREPPI, ALESSANDRO. "Bayesian Networks Models for Equity Market." Doctoral thesis, Università degli studi di Pavia, 2017. http://hdl.handle.net/11571/1203358.

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Financial markets evolve quickly due to the continuous innovation of investment tool and investors need to take the best decisions in the shortest time possible. This is why we propose in my thesis an innovative approach based on graphical models in order to provide to practitioners buy or sell indications on the American equity market (S&P 500). Generally, investors observe the market and consequently make a decision but this procedure is generally time consuming and do not always lead to a gain. This is why algorithmic trading is spreading through financial industry in the last years. In thi
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18

Aldaarmi, Abdulaziz Adel Abdulaziz. "An electronic financial system adviser for investors : the case of Saudi Arabia." Thesis, Brunel University, 2015. http://bura.brunel.ac.uk/handle/2438/11239.

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Financial markets, particularly capital and stock markets, play an important role in mobilizing and canalising the idle savings of individuals and institutions to the investment options where they are really required for productive purposes. The prediction of stock prices and returns is carried out in order to enhance the quality of investment decisions in stock markets, but it is considered to be tricky and complicates tasks as these prices behave in a random fashion and vary with time. Owing to the potential of returns and inherent risk factors in stock market returns. Various stock market p
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19

Oz, Emrah. "Can Relative Yield Curves Predict Exchange Rate Movements? Example From Turkish Financial Market." Master's thesis, METU, 2010. http://etd.lib.metu.edu.tr/upload/12612505/index.pdf.

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Exchange rate forecasting is hard issue for most of floating exchange rate economies. Studying exchange rate is very attractive matter since almost no model could beat random walk in short run yet. Relative yields and information in relative yield curves are contemporary topics in empirical literature and this study follows Chen and Tsang (2009) who model exchange rate changes with relative factors obtained from Nelson-Siegel (1987) yield curve model and find that relative factor model can forecast exchange rate change up to 2 years and perform better than random walk in short run. Analysis fo
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Torracchi, Federico. "Essays in empirical and theoretical labor market models." Thesis, University of Oxford, 2016. https://ora.ox.ac.uk/objects/uuid:4703d768-3796-42ce-ae6c-75c1f582db67.

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This DPhil thesis is a collection of three theoretical and empirical papers studying labor markets in several advanced economies. Two chapters examine the relationship between the banking sector and the labor market in the US and the UK, while one evaluates a policy that has been proposed to help labor markets in the Euro Area adjust to economic shocks. In the first chapter, I develop a New Keynesian DSGE model that integrates a banking sector subject to moral hazard with a standard random search model of the labor market. I estimate the model using US data and study the role of the banking se
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21

Osterrieder, Jörg Robert. "Arbitrage, the limit order book and market microstructure aspects in financial market models." kostenfrei, 2007. http://e-collection.ethbib.ethz.ch/view/eth:29478.

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22

Marques, João Francisco Magro. "Dynamics of financial markets : study of an agent-based model." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/9328.

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Mestrado em Matemática Financeira<br>Nas últimas décadas, o mercado financeiro mundial tem enfrentado vários problemas e colapsos que motivaram anos conturbados para a economia real e para as famílias. Os sistemas dinâmicos apareceram na literatura de matemática financeira para ajudar a compreender melhor as características únicas destes mercados financeiros e a dinâmica do preço ao longo do tempo. Este trabalho consiste principalmente numa aproximação estatística ao sistema dinâmico de modelo de mercado com um ponto de descontinuidade introduzido por Tramontana, Westerhoff e Gardini (2010). U
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Siu, Kin-bong Bonny. "Expected shortfall and value-at-risk under a model with market risk and credit risk." Click to view the E-thesis via HKUTO, 2006. http://sunzi.lib.hku.hk/hkuto/record/B37727473.

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24

Karlson, Ida. "The Ising Model on a Random Graph Applied to Interacting Agents on the Financial Market." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1637.

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<p>In this thesis we present a model of the interacting agents on the financial market. The agents are represented by a non-Euclidean random graph, where each agent communicate with another with probability p, and the interaction according to the Ising Model. We investigate properties of the model by direct calculations for small graph sizes, and by perfect simulation for larger graph sizes. We also present a model for asset price variation by using the magnetization of the Ising model.</p>
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25

Abioye, Olukorede Eliza. "Towards a sustainable business model for financial markets." Thesis, University of Manchester, 2016. https://www.research.manchester.ac.uk/portal/en/theses/towards-a-sustainable-business-model-for-financial-markets(c253ab2e-0c13-4eea-b0ac-4ef4d4319b7d).html.

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The implementation of different business models has enabled financial markets to not only create value for their benefits, but it has also helped them contribute to economic growth, as well as fulfil their roles in the society. However, the impacts of technological advancements, cross-border flows and regulations continually introduce new dynamics into the business environments of financial markets and as a result, financial markets are faced with future uncertainties. These have increased the dire need for markets to continue to devise methods that can be adapted to survive and thrive in the
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Andersson, Niklas. "Estimating Companies’ Survival in Financial Crisis : Using the Cox Proportional Hazards Model." Thesis, Uppsala universitet, Statistiska institutionen, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-225982.

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This master thesis is aimed towards answering the question What is the contribution from a company’s sector with regards to its survival of a financial crisis? with the sub question Can we use survival analysis on financial data to answer this?. Thus survival analysis is used to answer our main question which is seldom used on financial data. This is interesting since it will study how well survival analysis can be used on financial data at the same time as it will evaluate if all companies experiences a financial crisis in the same way. The dataset consists of all companies traded on the Swed
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Dinh, Viet Dung. "Prediction models of corporate financial distress in the Southeast Asian countries." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2020. https://ro.ecu.edu.au/theses/2322.

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The development of corporate financial disturbance prediction models plays an essential role in the assessment and management of credit risk. The study will examine two common types of credit risk measurement models: (i) accounting-based models; and (ii) market-based models. Analysis of financial statements is used in accounting-based models to derive a score that shows the differences between distressed and non-distressed firms. Alternatively, market or structural models are developed based on a combination of balance sheet items and volatility in the market values of firms’ assets to measure
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28

Mittoo, Usha Rani. "Academic information and financial markets : an empirical investigation of market learning from the size anomaly." Thesis, University of British Columbia, 1988. http://hdl.handle.net/2429/29023.

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This dissertation examines the impact of academic information on the capital markets. A test of market learning from academic information is performed by examining the impact of published research about the size anomaly on the underlying asset pricing process. A theoretical framework to examine the effect of events that affect the equilibrium pricing process is first developed in a simple economy with one single risky asset. A learning model based on Bayesian updating is proposed and its empirical implications are derived. The model predicts a change in the asset prices in the case of mark
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Школьник, Інна Олександрівна, Инна Александровна Школьник та Inna Oleksandrivna Shkolnyk. "Роль банків у процесі формування національної моделі фінансового ринку". Thesis, Українська академія банківської справи Національного банку України, 2007. http://essuir.sumdu.edu.ua/handle/123456789/61041.

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Дослідження процесів формування фінансового ринку є основою для ефективного управління ним, тобто свідомого використання можливостей сформованого механізму та інструментів, адекватних сучасним економічним умовам. Існуючі у світовій практиці принципи організації механізму функціонування фінансових ринків (при наявності специфіки історичного економічного розвитку країни) мають цілий ряд спільних рис. Історично у світовій фінансовій архітектурі виділяють два основних типи моделей функціонування фінансових ринків, а саме: банкоцентрична модель (континентальна), що характерна для країн конт
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30

Pfister, Alexander. "Heterogeneous trade intervals in an agent based financial market." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 2003. http://epub.wu.ac.at/658/1/document.pdf.

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This paper studies the dynamics of an asset pricing model based on simple deterministic agents. Traders are heterogeneous with respect to their time horizon, prediction function and trade interval. Concerning the trade interval we distinguish between intraday traders and end-of-day traders. Intraday traders update their portfolio every period, whereas end-of-day traders adjust their positions only at the closing price of each trading day. The parameter values of the model were partially determined by an adapted Markov chain Monte Carlo sampling method. We analyse the properties of the time ser
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Issar, Rajiv Issar. "Market Capitalization and Firm Value: The Size Factor." ScholarWorks, 2017. https://scholarworks.waldenu.edu/dissertations/4224.

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Current multifactor valuation pricing models use size (measured by market capitalization) of a firm as one factor to determine the value of a security. The problem with current standard models was that none of them could explain the value of a security consistently and accurately based on current factors and in particular the size factor. The purpose of this quantitative study using existing time-series data over a 10-year period from 2006 to 2015 was to examine the impact of size factor on the realized rate of return of financial securities, while controlling for the impact of market rate of
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Zhuang, Yuchen. "Risk, return and market condition: a new functional-beta capital asset pricing model." Thesis, Curtin University, 2009. http://hdl.handle.net/20.500.11937/78.

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In this research, we will focus on investigating the relationship between risk and return. We will propose a new model which leads to a more sensible approach to modelling the relationship between risk and return under different market conditions. It is an extension of the traditional single-index capital asset pricing model (CAPM) which reads as: The return R[subscript]i on individual Security i can be decomposed into the specific return α[subscript]I + ε[subscript]i (expected specific return α[subscript]i and random specific return ε[subscript]i) and the systematic return β[subscript]iR[subs
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Lampenius, Niklas. "Decision making in financial markets development and validation of a behavioral model utilizing a multi-agent-multi-period stock market simulation." Hamburg Kovač, 2007. http://d-nb.info/992643058/04.

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Zhitlukhin, Mikhail Valentinovich. "Stochastic dynamics of financial markets." Thesis, University of Manchester, 2014. https://www.research.manchester.ac.uk/portal/en/theses/stochastic-dynamics-of-financial-markets(4eb80d2a-e90a-4ab0-b9e2-ad930c8a4d94).html.

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This thesis provides a study on stochastic models of financial markets related to problems of asset pricing and hedging, optimal portfolio managing and statistical changepoint detection in trends of asset prices. Chapter 1 develops a general model of a system of interconnected stochastic markets associated with a directed acyclic graph. The main result of the chapter provides sufficient conditions of hedgeability of contracts in the model. These conditions are expressed in terms of consistent price systems, which generalise the notion of equivalent martingale measures. Using the general result
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Pai, Yu-Jou. "Risks in Financial Markets." University of Cincinnati / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1584003500272517.

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Siu, Kin-bong Bonny, and 蕭健邦. "Expected shortfall and value-at-risk under a model with market risk and credit risk." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B37727473.

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Ayana, Haimanot, and Sarah Al-Swej. "A review of two financial market models: the Black--Scholes--Merton and the Continuous-time Markov chain models." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-55417.

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The objective of this thesis is to review the two popular mathematical models of the financialderivatives market. The models are the classical Black–Scholes–Merton and the Continuoustime Markov chain (CTMC) model. We study the CTMC model which is illustrated by themathematician Ragnar Norberg. The thesis demonstrates how the fundamental results ofFinancial Engineering work in both models.The construction of the main financial market components and the approach used for pricingthe contingent claims were considered in order to review the two models. In addition, the stepsused in solving the firs
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BURZONI, MATTEO. "A MODEL-FREE ANALYSIS OF DISCRETE TIME FINANCIAL MARKETS." Doctoral thesis, Università degli Studi di Milano, 2015. http://hdl.handle.net/2434/337059.

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We discuss fundamental questions of Mathematical Finance such as arbitrage and hedging in the context of a discrete time market with no reference probability. We show how different notions of arbitrage can be studied under the same general framework by specifying a class S of significant sets, and we investigate the richness of the family of martingale measures in relation to the choice of S. We also provide a superhedging duality theorem. We show that the initial cost of the cheapest portfolio that dominates a contingent claim on every possible path, might be strictly greater than the upper b
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Tran, Trung-Minh. "Contributions to Agent-Based Modeling and Its Application in Financial Market." Electronic Thesis or Diss., Université Paris sciences et lettres, 2023. http://www.theses.fr/2023UPSLP022.

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L'analyse de modèles complexes tels que les marchés financiers aide les gestionnaires à élaborer des politiques raisonnables et les commerçants à choisir des stratégies de négociation efficaces. La modélisation basée sur les agents est une méthodologie de calcul pour modéliser des systèmes complexes et analyser l'influence de différentes hypothèses sur les comportements des agents. Dans le cadre de cette thèse, nous considérons un modèle de marché financier qui comprend 3 types d'agents : les agents techniques, les agents fondamentaux et les agents de bruit. Nous commençons par l'agent techniq
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Chane-Teng, Xavier, and Cecile Manni. "Investigations on the real estate market." Thesis, Umeå University, Umeå School of Business, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1782.

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<p>Title: Investigations on the real estate market, what are the main factors influencing the performance of the French Real Estate Investments Trusts?</p><p>Problem: In 2003, the French government implemented a new tax-exempt structure in the real estate market. Like REITs in the United States, SIICs are listed French companies that aim to improve the performance of real estate stocks on Paris Stock Exchange. The problem consists of determining the performance of the SIICs’ portfolio, identifying the major influences of economic factors and capturing financial behaviour in asset portfolio man
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Alpsten, Edward, Henrik Holm, and Sebastian Ståhl. "Evaluation and optimization of an equity screening model." Thesis, KTH, Skolan för elektroteknik och datavetenskap (EECS), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-244761.

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Screening models are tools for predicting which stock are the most likely to perform well on a stock market. They do so by examining the financial ratios of the companies behind the stock. The ratios examined by the model are chosen according to the personal preferences of the particular investor. Furthermore, an investor can apply different weights to the different parameters they choose to consider, according to the importance they apply to each included parameter. In this thesis, it is investigated whether a screening model can beat the market average in the long term. It is also explored w
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Li, Cheng. "Three aspects of mathematical models for asymmetric information in financial market." Thesis, London School of Economics and Political Science (University of London), 2016. http://etheses.lse.ac.uk/3347/.

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The thesis consists of three parts. The first part studies the Glosten-Milgrom model [25] where the risky asset value admits an arbitrary discrete distribution. In contrast to existing results on insider model, the insiders optimal strategy in this model, if it exists, is not of feedback type. Therefore, a weak formulation of equilibrium is proposed. In this weak formulation, the inconspicuous trade theorem still holds, but the optimality for the insiders strategy is not enforced. However, the insider can employ some feedback strategies whose associated expected profit are close to the optimal
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Hussain, Syed Iqbal. "Financial distress, asset pricing models and market anomalies : the UK evidence." Thesis, University of Nottingham, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.251738.

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44

Ghibellini, Alessandro. "Trend prediction in financial time series: a model and a software framework." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2021. http://amslaurea.unibo.it/24708/.

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The research has the aim to build an autonomous support for traders which in future can be translated in an Active ETF. My thesis work is characterized for a huge focus on problem formulation and an accurate analysis on the impact of the input and the length of the future horizon on the results. I will demonstrate that using financial indicators already used by professional traders every day and considering a correct length of the future horizon, it is possible to reach interesting scores in the forecast of future market states, considering both accuracy, which is around 90% in all the experi
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Jia, Lukui. "Theoretical and empirical analysis of a macroeconomic model with financial and housing sectors in emerging market economies." Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/276199.

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The Dynamic Stochastic General Equilibrium (DSGE) model, which is based on the New Consensus Macroeconomics (NCM) theoretical framework, has become the workhorse of macroeconomic analysis in academia, research institutes and monetary authorities since the 1980s. The dominating popularity of the DSGE type of models can be witnessed by their extensive use by central banks, such as the Bank of England (BoE), the European Central Bank (ECB), the Federal Reserve (FED) and other central banks. One of the most important and attractive advantages of the DSGE model is its compatibility with a variety o
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46

Mathias, Charles. "Essays in comovement of financial markets." Doctoral thesis, Universite Libre de Bruxelles, 2012. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209657.

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Comovement is ubiquitous in financial markets. The evolution of asset characteristics, such as price, volatility or liquidity, exhibits a high degree of correlation across assets---a phenomenon that in this thesis will generically be denoted with the term comovement. The origins of such comovement are legion. In their investment decisions, economic agents are not only influenced by their idiosyncrasies---a large part of investment motivations are shared over a population. Demographics or the political situation can generate constraints that are similar for a large number of people. A country's
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Hippler, William J. III. "Market Frictions and the Efficiency of Capital Allocation." ScholarWorks@UNO, 2014. http://scholarworks.uno.edu/td/1809.

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The following dissertation contains two unique empirical studies that contribute to the overall literature in the field of Financial Economics in the areas of mutual fund investing and financial intermediation and regulation. The first Chapter, entitled “The Impact of Macroeconomic Stress on the U.S. Financial Sector”, examines the relative impact of macroeconomic stress on financial and non-financial U.S. firms. Empirical results show that macroeconomic shocks appear to have a larger impact on financial firms. Additionally, the sensitivity of financial firms to macroeconomic events can be tra
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Tong, Guoshi. "Essays on forecast evaluation and model estimation in financial markets." Thesis, University of British Columbia, 2015. http://hdl.handle.net/2429/51883.

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This thesis is comprised of three essays. In the first and second essays, I examine the welfare value of return predictors in financial markets when investors possess only limited historical data. The first essay focuses on the US Treasury bond market where time series variation in the expected return is forecastable by yield curve and macroeconomic variables. The second essay shifts attention to the US stock market where cross-sectional variation in the expected return is predictable by the underlying firms' characteristics. Using monthly US data, I estimate the utility benefit of various ret
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Harland, Zac. "Forecasting financial markets using linear, nonlinear & model combination methods." Thesis, City University London, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.544436.

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Huang, Jennifer 1973. "A model of efficiency and trading opportunities in financial markets." Thesis, Massachusetts Institute of Technology, 1996. http://hdl.handle.net/1721.1/39765.

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