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Essays on financial economics.

Liu, Yan.

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Essays on financial economics.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on financial economics./
作者:	Liu, Yan.
面頁冊數:	262 p.
附註:	Source: Dissertation Abstracts International, Volume: 76-01(E), Section: A.
Contained By:	Dissertation Abstracts International76-01A(E).
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3633276
ISBN:	9781321129236

Essays on financial economics.
Liu, Yan.

Essays on financial economics. - 262 p.

Source: Dissertation Abstracts International, Volume: 76-01(E), Section: A.

Thesis (Ph.D.)--Duke University, 2014.

This item is not available from ProQuest Dissertations & Theses.

In this thesis, I develop two sets of methods to help understand two distinct but also related issues in financial economics.

ISBN: 9781321129236Subjects--Topical Terms:

542899
Finance.

Essays on financial economics.
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500 $a Source: Dissertation Abstracts International, Volume: 76-01(E), Section: A.
500 $a Adviser: Campbell R. Harvey.
502 $a Thesis (Ph.D.)--Duke University, 2014.
506 $a This item is not available from ProQuest Dissertations & Theses.
506 $a This item must not be sold to any third party vendors.
506 $a This item must not be added to any third party search indexes.
520 $a In this thesis, I develop two sets of methods to help understand two distinct but also related issues in financial economics.
520 $a First, representative agent models have been successfully applied to explain asset market phenomenons. They are often simple to work with and appeal to intuition by permitting a direct link between the agent's optimization behavior and asset market dynamics. However, their particular modeling choices sometimes yield undesirable or even counterintuitive consequences. Several diagnostic tools have been developed by the asset pricing literature to detect these unwanted consequences. I contribute to this literature by developing a new continuum of nonparametric asset pricing bounds to diagnose representative agent models. Chapter 1 lays down the theoretical framework and discusses its relevance to existing approaches. Empirically, it uses bounds implied by index option returns to study a well-known class of representative agent models|the rare disaster models. Chapter 2 builds on the insights of Chapter 1 to study dynamic models. It uses model implied conditional variables to sharpen asset pricing bounds, allowing a more powerful diagnosis of dynamic models.
520 $a While the first two chapters focus on the diagnosis of a particular model, Chapter 3 and 4 study the joint inference of a group of models or risk factors. Drawing on multiple hypothesis testing in the statistics literature, Chapter 3 shows that many of the risk factors documented by the academic literature are likely to be false. It also proposes a new statistical framework to study multiple hypothesis testing under test correlation and hidden tests. Chapter 4 further studies the statistical properties of this framework through simulations.
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