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Tesi sul tema "Stocks - Prices - Econometric models"

Autore: Grafiati

Pubblicato: 4 giugno 2021

Ultima modifica: 30 gennaio 2023

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1

Oliveira, Lima Jorge Claudio Cavalcante de. "Fractional integration and long memory models of stock price volatility : the evidence of the emerging markets." Thesis, McGill University, 2002. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=38164.

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Abstract (sommario):

Following the important work on unit roots and cointegration which started in the mid-1980s, a great deal of econometric works has been devoted to the study of the subtleties and varieties of near nonstationarity and persistence that characterize so many economic and financial time series. In recent years research activity has gained importance with outstanding contributions made on estimation and testing of a wide variety of long memory processes, together with many interesting and imaginative applications over a wide variety of different fields of economics and finance. For these reasons, th

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2

Magliolo, Jacques. "The relevance and fairness of the JSE ALTX PRE-IPO share pricing methodologies." Thesis, Nelson Mandela Metropolitan University, 2012. http://hdl.handle.net/10948/d1018652.

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This three year indepth study was prompted after a decade of working as a corporate advisor for numerous stockbroking firms' corporate advisory and listing divisions. An overwhelming lack of discernible pricing methodology for IPOs on the JSE's Main Board and failed Venture Capital and Development Capital Markets was transferred to the new Alternative Exchange (AltX). This prompted lengthly discussions with former head of JSE's AltX Noah Greenhill. Such discussions are set out in this dissertation and relate to pricing methodologies and the lack of guidance or legislation as set out in the JSE

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3

Milunovich, George Economics Australian School of Business UNSW. "Modelling and valuing multivariate interdependencies in financial time series." Awarded by:University of New South Wales. School of Economics, 2006. http://handle.unsw.edu.au/1959.4/25162.

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This thesis investigates implications of interdependence between stock market prices in the context of several financial applications including: portfolio selection, tests of market efficiency and measuring the extent of integration among national stock markets. In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found in numerous empirical studies but that no one, to my knowledge, has evaluated their effects in the general portfolio framework. I dynamically forecast two multivariate GARCH models, one that accounts for volatility spillovers and one that does not,

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4

Yang, Wenling. "M-GARCH Hedge Ratios And Hedging Effectiveness In Australian Futures Markets." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2000. https://ro.ecu.edu.au/theses/1530.

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This study deals with the estimation of the optimal hedge ratios using various econometric models. Most of the recent papers have demonstrated that the conventional ordinary least squares (OLS) method of estimating constant hedge ratios is inappropriate, other more complicated models however seem to produce no more efficient hedge ratios. Using daily AOIs and SPI futures on the Australian market, optimal hedge ratios are calculated from four different models: the OLS regression model, the bivariate vector autoaggressive model (BVAR), the error-correction model (ECM) and the multivariate diagon

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5

Fodor, Bryan D. "The effect of macroeconomic variables on the pricing of common stock under trending market conditions." Thesis, Department of Business Administration, University of New Brunswick, 2003. http://hdl.handle.net/1882/49.

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Thesis (MBA) -- University of New Brunswick, Faculty of Administration, 2003.<br>Typescript. Bibliography: leaves 83-84. Also available online through University of New Brunswick, UNB Electronic Theses & Dissertations.

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6

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.

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7

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

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Abstract (sommario):

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

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8

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

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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

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9

Humpe, Andreas. "Macroeconomic variables and the stock market : an empirical comparison of the US and Japan." Thesis, St Andrews, 2008. http://hdl.handle.net/10023/464.

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10

Clayton, Maya. "Econometric forecasting of financial assets using non-linear smooth transition autoregressive models." Thesis, University of St Andrews, 2011. http://hdl.handle.net/10023/1898.

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Following the debate by empirical finance research on the presence of non-linear predictability in stock market returns, this study examines forecasting abilities of nonlinear STAR-type models. A non-linear model methodology is applied to daily returns of FTSE, S&P, DAX and Nikkei indices. The research is then extended to long-horizon forecastability of the four series including monthly returns and a buy-and-sell strategy for a three, six and twelve month holding period using non-linear error-correction framework. The recursive out-of-sample forecast is performed using the present value model

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11

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.

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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

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12

D'Agostino, Antonello. "Understanding co-movements in macro and financial variables." Doctoral thesis, Universite Libre de Bruxelles, 2007. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210597.

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Abstract (sommario):

Over the last years, the growing availability of large datasets and the improvements in the computational speed of computers have further fostered the research in the fields of both macroeconomic modeling and forecasting analysis. A primary focus of these research areas is to improve the models performance by exploiting the informational content of several time series. Increasing the dimension of macro models is indeed crucial for a detailed structural understanding of the economic environment, as well as for an accurate forecasting analysis. As consequence, a new generation of large-scale mac

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13

Wellman, David B. "Econometric models of local area agriculture /." free to MU campus, to others for purchase, 2001. http://wwwlib.umi.com/cr/mo/fullcit?p3025660.

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14

Wei, Xiangjing. "House Prices and Mortgage Defaults: Econometric Models and Risk Management Applications." Digital Archive @ GSU, 2010. http://digitalarchive.gsu.edu/rmi_diss/24.

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This dissertation first investigates the possible house price trend and the relationship with the mortgage market, from the perspective of risk management; then it chooses the angle from bond insurers and figures out possible methods to avoid capital procyclicality. In Chapter I, we apply vector auto regression models (VAR) and simultaneous equations models (SEM) to estimate the dynamic relations among house price returns, mortgage rates and mortgage default rates, using historical data during the time period of 1979 through second quarter 2008. We find that house prices would be better estim

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15

Cheng, Lap-yan, and 鄭立仁. "Extension of price-trend models with applications in finance." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B37428408.

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16

董森 and Sen Dong. "Two essays on idiosyncratic volatility of stock markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2002. http://hub.hku.hk/bib/B31225937.

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17

Wang, Hanfeng, and 王漢鋒. "Essays on stock trading volume, volatility and information." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B38826185.

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18

Marko, Lidia S. "Inventory and price forecasting : evidence from US containerboard industry." Thesis, Georgia Institute of Technology, 2003. http://hdl.handle.net/1853/29389.

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19

Trainor, William John. "Redefining risk: an investigation into the role of sequencing." Diss., Virginia Tech, 1994. http://hdl.handle.net/10919/37257.

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20

Wei, Yong, and 卫勇. "The real effects of S&P 500 Index additions: evidence from corporate investment." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B4490681X.

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21

Wong, Kwok-pun, and 王國斌. "Heterogeneity of competitive behaviour under price taking competition: an empirical study of newspaper hawkers inHong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B3195473X.

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22

Sunga, Tapuwa Terence. "Platinum share prices and the Marikana tragedy: an event study." Thesis, Rhodes University, 2014. http://hdl.handle.net/10962/d1013002.

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Abstract (sommario):

An event study is an economic tool of analysis that has begun to gain popularity in recent empirical literature. It is a technique that gives a researcher the opportunity to map out the reaction of a firm's stock to an event, usually making use of daily or monthly data. However, up to this point, event study methodology has generally been applied to more traditional phenomena capable of affecting equity value, such as dividend and macroeconomic policy announcements, and there have only been a few exceptions to this. This study looks at what impact the tragic shootings at Lonmin mine in Marikan

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23

Ng, Ai-kheng Jasmine, and 黃愛琴. "Intertemporal pricing strategies: a study of the primary private housing market of Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1999. http://hub.hku.hk/bib/B31240781.

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24

Wong, Kin-man, and 黃健文. "A vector autoregression (VAR) model of housing starts and housing price in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hdl.handle.net/10722/194603.

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Abstract (sommario):

It is observed that there are many different models about housing price. Yet, this is relatively smaller number of studies about housing starts. This thesis is an empirical study to work out the relationship between housing starts, housing price and other economic and policy instrumental factors. To achieve this objective, a Vector Autoregression (VAR) model is built since there is inter-relationship between housing starts and housing price. By applying previous models filled with the research gaps, a new VAR model about the housing starts and housing price in Hong Kong is built. Four hypot

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25

Wang, Yintian 1976. "Three essays on volatility long memory and European option valuation." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=102851.

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This dissertation is in the form of three essays on the topic of component and long memory GARCH models. The unifying feature of the thesis is the focus on investigating European index option evaluation using these models.<br>The first essay presents a new model for the valuation of European options. In this model, the volatility of returns consists of two components. One of these components is a long-run component that can be modeled as fully persistent. The other component is short-run and has zero mean. The model can be viewed as an affine version of Engle and Lee (1999), allowing for easy

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26

Lewis, Kurt Frederick. "Robustness and information processing constraints in economic models." Diss., University of Iowa, 2007. http://ir.uiowa.edu/etd/159.

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27

Choy, Hung-tat Lennon, and 蔡鴻達. "Pricing under information asymmetry: an analysis of the housing presale market from the new institutionaleconomics perspective." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B37908133.

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The Best PhD Thesis in the Faculties of Architecture, Arts, Business & Economics, Education, Law and Social Sciences (University of Hong Kong), Li Ka Shing Prize, 2006-2007.<br>published_or_final_version<br>abstract<br>Real Estate and Construction<br>Doctoral<br>Doctor of Philosophy

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28

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.

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[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

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29

關惠貞 and Wai-ching Josephine Kwan. "Trend models for price movements in financial markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31211513.

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30

Chu, Kut-leung, and 朱吉樑. "The CEV model: estimation and optionpricing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1999. http://hub.hku.hk/bib/B4257500X.

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31

Wong, Chun-mei May, and 王春美. "The statistical tests on mean reversion properties in financial markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31211975.

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32

Mazzotta, Stefano. "Three essays on volatility." Thesis, McGill University, 2005. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=85189.

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This dissertation is in the form of one survey paper and three essays on the topic of volatility. The unifying feature that permeates the entire thesis is the focus on the measurement and use of conditional second moment of equities and currencies as a measure of risk for asset pricing and policy purposes in the context of international markets.<br>The survey examines selected papers from the international finance literature and from the volatility literature with a focus on the theoretical and empirical relationship between first and second unconditional and conditional moments of dome

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33

Zajicek, Edward K. "Valuation of quality determinants in consumer demand for automobile : a hedonic price approach /." Diss., This resource online, 1990. http://scholar.lib.vt.edu/theses/available/etd-08232007-112211/.

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34

Van, Wyk Tyrone. "The relationships between the price-earnings ratio and selected risk and return and valuation models." Thesis, Stellenbosch : Stellenbosch University, 2002. http://hdl.handle.net/10019.1/53156.

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Abstract (sommario):

Assignment (MAcc )--University of Stellenbosch, 2002.<br>ENGLISH ABSTRACT: The price-earnings ratio is one of a series of benchmarks developed after the Great Depression, to measure the fair value of shares on a relative basis. It originated from the idea that investors buy the earnings of a company and that the price-earnings ratio provides a consensus indication of the future growth potential of a company. Therefore, the price-earnings ratio is a rating of a company's future profitability. The price-earnings ratio developed, over the years, firstly, into an indicator of the relative

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35

Luo, Yan, and 罗妍. "Three essays on noise and institutional trading." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B44549246.

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36

Negassa, Asfaw. "The effects of deregulation on the efficiency of agricultural marketing in Ethiopia : case study from Bako area." Thesis, McGill University, 1996. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=23926.

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The effects of the March 1990 deregulation policy on the marketing of agricultural products are examined in terms of price levels, price variability and market integration for maize, tef, noug and sorghum for the Bako, Tibe and Shoboka markets of the Wollega and Shoa regions of Ethiopia. Weekly price data from 1986 to 1993 are used. The price level and price variability changes are tested using a T-test and F-test respectively while market integration is tested using traditional price correlation analysis and Granger's and Johansen's methods of cointegration analysis. Deregulation has resulted

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37

O'Grady, Thomas A. "The profitability of technical analysis and stock returns from a traditional and bootstrap perspective : evidence from Australia, Hong Kong, Malaysia and Thailand." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2012. https://ro.ecu.edu.au/theses/506.

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This research questions whether technical trading rules can help predict stock price movements for a sample of stocks selected from four equity markets from the Asia-Pacific region: Australia, Malaysia, Hong Kong and Thailand for the period 1989-2008. The research is split into two stages. Stage-1 of the research tests the predictability of technical trading rules against a buyand- hold strategy. The variable moving average (VMA), fixed moving average (FMA) and the trading range break (TRB) trading rules are applied to this research. Economic predictability of these rules is examined by compar

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38

Yiu, Fan-lai, and 姚勳禮. "Applicability of various option pricing models in Hong Kong warrants market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B3126590X.

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39

Chandrashekar, Satyajit. "Three new perspectives for testing stock market efficiency." Thesis, 2006. http://hdl.handle.net/2152/3757.

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40

Jones, Timothy Gordon 1978. "Essays on money, inflation and asset prices." 2008. http://hdl.handle.net/2152/17968.

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This dissertation explores different aspects of the interaction between money and asset prices. The first chapter investigates how a firm’s financing affects its decision to update prices: does linking interest rates to inflation alter the firm’s optimal price updating strategy? Building on the state dependent pricing models of Willis (2000) and the price indexing literature of Azariadis and Cooper (1985) and Freeman and Tabellini (1998), this model investigates the financing and price updating decisions of a representative firm facing state-dependent pricing and a cash-in-advance constraint.

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41

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

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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

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42

"Threshold autoregressive model with multiple threshold variables." 2005. http://library.cuhk.edu.hk/record=b5892601.

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Chen Haiqiang.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2005.<br>Includes bibliographical references (leaves 33-35).<br>Abstracts in English and Chinese.<br>Chapter 1. --- Introduction --- p.1<br>Chapter 2. --- The Model --- p.4<br>Chapter 3. --- Least Squares Estimations --- p.6<br>Chapter 4. --- Inference --- p.7<br>Chapter 4.1 --- Asymptotic Joint Distribution of the Threshold Estimators --- p.7<br>Chapter 4.2 --- Testing Threshold Effect: Model Selection Followed by Testing --- p.13<br>Chapter 5. --- Modeling --- p.16<br>Chapter 5.1 --- Generic Consistency of the Thresh

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43

"Determining the contributions to price discovery of China cross-listed stocks." 2005. http://library.cuhk.edu.hk/record=b5892498.

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Su Qian.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2005.<br>Includes bibliographical references (leaves 66-70).<br>Abstracts in English and Chinese.<br>Abstract --- p."i,ii"<br>Acknowledgements --- p.iii<br>Table of Content --- p.iv<br>List of Tables and Figures --- p.v<br>List of Abbreviation --- p.vi<br>Chapter Chapter 1. --- Introduction --- p.1<br>Chapter Chapter 2. --- Literature Review --- p.4<br>Chapter 2.1 --- Benefits of Cross-listing --- p.4<br>Chapter 2.2 --- The Price-discovery process of cross-listed stocks --- p.8<br>Chapter 2.3 --- Previous studies on Chines

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44

Ogotseng, Onthatile Tiny. "Stock returns behaviour and the pricing of volatility in Africa's equity markets." Thesis, 2017. http://hdl.handle.net/10539/23050.

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This Paper empirically investigates the behavior of Africa’s stock price volatility over time in ten African equity markets. It also attempts to establish the existence of a relationship between volatility and expected returns in the chosen equity markets. The effect of volatility on the stock prices is also investigated, together with establishing variations in the stock return volatility risk premia. Lastly, an investigation of whether volatility is transmitted from international markets to African markets is also undertaken. The sample period starts from November 1998 until December 2016.

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45

Alovokpinhou, Sedjro Aaron. "Monetary policy and the stock market structure: some international empirical evidence." Thesis, 2016. http://hdl.handle.net/10539/21485.

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Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016.<br>This paper builds upon Blanchard's (1981) model of asset prices, and provides an empirical evidence for good news cases (GNC) and/or bad news cases (BNC) as de ned in Blanchard's paper. We update Blanchard's model by introducing Taylor's rule of monetary policy and explicitly incorporate income distribution in a small, open economy. The ndings indicate that, the labour share is a strong and signi cant variable that should be considered in asset pri

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46

"Stock return volatility of emerging markets." 1998. http://library.cuhk.edu.hk/record=b5896256.

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by Poon Yeuk Wan, Tsang Fei.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1998.<br>Includes bibliographical references (leaves 54-55).<br>Acknowledgements --- p.i<br>Abstract --- p.iii<br>Table of Contents --- p.iv<br>List of Tables --- p.vi<br>List of Appendix --- p.vii<br>Chapter Chapter1 --- Introduction --- p.1<br>Chapter 1.1 --- Project Objective --- p.1<br>Chapter 1.2 --- Project Structure --- p.2<br>Chapter 1.3 --- Data --- p.3<br>Chapter Chapter 2 --- Emerging Markets´ؤ-An Overview --- p.5<br>Chapter 2.1 --- Latin America --- p.5<br>Argentina --- p.5<br>Brazil ---

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47

"Market effects of changes in the composition of the Hang Seng Index." 1998. http://library.cuhk.edu.hk/record=b5889419.

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by Chiu Mei-Yee, Pamela, Pong Kwok-Hung, Patrick.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1998.<br>Includes bibliographical references (leaf 52).<br>ABSTRACT --- p.ii<br>TABLE OF CONTENT --- p.iii<br>LIST OF ILLUSTRATIONS --- p.iv<br>LIST OF TABLES --- p.v<br>ACKNOWLEGEMENTS --- p.vi<br>Chapter<br>Chapter I. --- INTRODUCTION --- p.1<br>Chapter II. --- OBJECTIVES --- p.3<br>Chapter III. --- LITERATURE REVIEW --- p.4<br>Chapter IV. --- THE SAMPLE --- p.9<br>Chapter V. --- METHODOLOGY --- p.14<br>The Market Model --- p.15<br>Methods to Estimate the Excess Returns --- p.16

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48

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

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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

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49

Bayaner, Ahmet. "An econometric analysis of used tractor prices." Thesis, 1988. http://hdl.handle.net/1957/26860.

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Farm equipment is becoming an increasingly important financial asset for many farmers. Tractors probably represent the single largest component of equipment asset value. As such, changes in tractor values can have a dramatic effect on a farmer's financial situation. Changes in equipment value can be attributed to depreciation and the value of output produced. The general objective of this study was to identify a specific set of variables explaining changes in equipment value and to determine the relative importance of these variables. The Box-Cox power transformation technique was employed in

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50

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

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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

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