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Essays on the Econometrics of Financ...

Cao, Yunfei.

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Essays on the Econometrics of Financial Data.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on the Econometrics of Financial Data./
作者:	Cao, Yunfei.
面頁冊數:	105 p.
附註:	Source: Dissertation Abstracts International, Volume: 76-09(E), Section: A.
Contained By:	Dissertation Abstracts International76-09A(E).
標題:	Economic theory. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3689748
ISBN:	9781321693607

Essays on the Econometrics of Financial Data.
Cao, Yunfei.

Essays on the Econometrics of Financial Data. - 105 p.

Source: Dissertation Abstracts International, Volume: 76-09(E), Section: A.

Thesis (Ph.D.)--Washington University in St. Louis, 2015.

This dissertation proposes a methodology for inference in the context of diffusion processes with jumps. There are many applications. For example, in finance, this methodology can be used to study asset pricing. My dissertation consists of two chapters which are closely related. They reveal the relationship between the power of a test, jump height and jump frequency. In the first chapter I construct a likelihood ratio test to test whether a diffusion process has jumps. This test statistic is independent of the distribution of jump height. I show the test is asymptotically optimal when the jump height is O(1/nalpha) , the jump frequency is O(1/ nbeta) where n is sample size, 3alpha + beta = 2, alpha > 1/2, beta > 0. By constructing this optimal test, I derive the asymptotic power envelopes for testing continuous diffusion process against diffusion processes with asymmetric jumps. In recent years, many tests for this problem were proposed. I compare the power of these tests with the envelopes using simulations.

ISBN: 9781321693607Subjects--Topical Terms:

1556984
Economic theory.

Essays on the Econometrics of Financial Data.
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500 $a Adviser: Werner Ploberger.
502 $a Thesis (Ph.D.)--Washington University in St. Louis, 2015.
520 $a This dissertation proposes a methodology for inference in the context of diffusion processes with jumps. There are many applications. For example, in finance, this methodology can be used to study asset pricing. My dissertation consists of two chapters which are closely related. They reveal the relationship between the power of a test, jump height and jump frequency. In the first chapter I construct a likelihood ratio test to test whether a diffusion process has jumps. This test statistic is independent of the distribution of jump height. I show the test is asymptotically optimal when the jump height is O(1/nalpha) , the jump frequency is O(1/ nbeta) where n is sample size, 3alpha + beta = 2, alpha > 1/2, beta > 0. By constructing this optimal test, I derive the asymptotic power envelopes for testing continuous diffusion process against diffusion processes with asymmetric jumps. In recent years, many tests for this problem were proposed. I compare the power of these tests with the envelopes using simulations.
520 $a In chapter two I test the continuous diffusion process against a diffusion process with symmetric jumps. I show my test statistic is optimal when the jump height is O(1/nalpha), the jump frequency is O(1/n.
520 $a beta) where n is sample size, 4alpha + beta= 5/2, alpha > 2/3,0 In chapter two I test the continuous diffusion process against a diffusion process with symmetric jumps. I show my test statistic is optimal when the jump height is O(1/n.
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