Search results | J. Murrey Atkins Library

Title: A Dynamic Approach to Optimizing Interventions and Mitigating Contagion Impacts in Financial Networks
Author: Farthing, Christopher
Date Created: 2021
Subjects--Topical: Mathematics, Finance, Economics
Description: While modern financial networks are so large, complex, and dynamic that the interactions between their members are impossible to model in their entirety, mathematical models with some simplifying assumptions allow for effective study of network dy...

Title: American Options Pricing using HJM Approach
Author: Fernando, Wedige
Date Created: 2017
Subjects--Topical: Mathematics
Description: With the development of financial markets and increasing demand for managing risk exposure, researchers and practitioners have developed various financial instruments over the years. Options, Futures, Forwards, Swaps are few examples of such instr...

Title: Dynamic Modeling of Incomplete Event History Data
Author: Heng, Fei
Date Created: 2019
Subjects--Topical: Statistics
Description: Event history analysis has important applications in many fields, such as medicine, engineering, econometrics, actuarial science, and social studies. We usually encounter missing data problems in the modeling of event history data. One typical pro...

Title: EXCHANGE RATE REGIMES, FX LIQUIDITY RISK, AND CARRY TRADE RETURNS
Author: Abankwa, Samuel
Date Created: 2016
Subjects--Topical: Finance, Industrial management, Economics
Description: The dissertation consists of three related topics: FX market-wide liquidity measure and individual currency-pair liquidity co-movements, FX liquidity risk and carry trade returns, and the forward premium puzzle in foreign exchange markets. This is...

Title: Essays in Empirical Asset Pricing
Author: Mo, Xi
Date Created: 2021
Subjects--Topical: Finance
Description: This dissertation contains two essays on empirical asset pricing. The first essay tests a two-beta currency pricing model that features betas with risk-premium news and real-rate news of the currency market. I find that the beta associated with ri...

Title: Estimation and Simulation for Multivariate Tempered Stable Distributions with Applications To Finance
Author: Xia, Yunfei
Date Created: 2022
Subjects--Topical: Mathematics
Description: In this thesis, we introduce a methodology for the simulation and parameter estimation of multivariate tempered stable distributions. Using the fact that tempered stable distributions can be specified indirectly by a Lévy measure, our approach is ...

Title: Estimation of Semivarying Coefficient Models for Counting Processes with Applications
Author: Deng, Liqiu
Date Created: 2019
Subjects--Topical: Mathematics
Description: Recurrent events are very common in many different fields, including biological, medical, engineering and finance. Existing research have developed methodologies to model constant covariate effects and time-dependent covariate effects. However, in...

Title: Goodness-of-Fit Tests Under Permutations
Author: Chen, Chen
Date Created: 2019
Subjects--Topical: Statistics, Mathematics, Information science
Description: Several new goodness-of-fit tests are proposed on countable alphabets, where certain fundamental statistical concepts associated with random variables, such as cumulative distribution functions, characteristic functions and moments, may not exist....

Title: Improving Semiparametric Estimation of Longitudinal Data with Covariance Function
Author: Fang, Fang
Date Created: 2018
Subjects--Topical: Mathematics, Statistics, Biometry
Description: In this dissertation, we aim to improve efficiency of estimation in longitudinal data under generalized semi-parametric varying-coefficient models.First, we investigate a profile weighted least square approach for model estimation by utilizing wit...

Title: Interval Estimation for Semiparametric Predictive Regression
Author: Hong, Shaoxin
Date Created: 2018
Subjects--Topical: Statistics
Description: Predictive regression is an important research topic in financial econometrics. Various estimation methods have been proposed for it, but they suffer from complicated asymptotic limits which depend on whether or not the predicting variable is stat...

Title: Representation Learning of Image Recognition: Diversity, Aspect Ratio, Invariance, and Composition
Author: Chen, Qiuyu
Date Created: 2021
Subjects--Topical: Computer science
Description: Deep neural networks (DNN) are proved to be effective and improve the performance dramatically in various kinds of computer vision tasks. The end-to-end learning manner in training DNN consistently shows the powerful modeling ability and consequen...

Title: THE FORWARD PREMIUM PUZZLE REVISITED
Author: Zhuang, Anan
Date Created: 2015
Subjects--Topical: Finance
Description: The forward premium puzzle in currency markets is the standard empirical finding that the expected changes in currency exchange rates and interest rate differential are negatively correlated, implying a violation of uncovered interest rate parity ...

Title: THE SEMIPARAMETRIC MARK-SPECIFIC PROPORTIONAL HAZARDS MODEL FOR MULTIVARIATE MARKS VIA A SINGLE-INDEX
Author: Shao, Yuehan
Date Created: 2020
Subjects--Topical: Statistics, Mathematics
Description: Competing risk analysis is commonly applied to time-to-event data with finitely many causes of failure. It alters the probability of the occurrence of an event of interest broken down by a specific cause. Motivated by the HIV vaccine efficacy tria...

Title: THREE ESSAYS IN REAL OPTION MODELS OF REAL ESTATE DEVELOPMENT
Author: Cheng, Yiying
Date Created: 2013
Subjects--Topical: Finance
Description: Real estate developments make great applications for real option theory. However, current real option models for real estate development do not pick up the important features of real estate development such as the land-use right as an on-going lea...

Title: THREE ESSAYS ON CORPORATE GOVERNANCE, RISK AND CROSS LISTING
Author: Zhang, Xinde
Date Created: 2010
Subjects--Topical: Finance, Business
Description: In Chapter 1, we set up an equilibrium model which emphasizes cost of corporate governance. The model indicates that better corporate governance increases the likelihood of dispersed corporate ownership structure. In Chapter 2, we use a sample of ...

Title: Three Essays in Corporate Finance
Author: Chen, Jun
Date Created: 2014
Subjects--Topical: Finance
Description: The economy and market have dramatically developed over the past decades. The corporations try to survive and urge to grow in such erratic circumstance. Two key dimensions are involved in winning a game of the law of the jungle: the management of ...

Title: Three essays on corporate debt mix, maturity structure, and inside debt compensation
Author: Nguyen, Hung
Date Created: 2013
Subjects--Topical: Finance
Description: In Chapter 1, we use a large sample of new debt to examine the determinants of corporate debt mix and to test the substitute/complement effects among debt sources. We find that both firm-level factors and macroeconomic variables are important dete...

Title: WHAT ECONOMIC TRIGGERS EXIST FOR FNMA HOME MORTGAGE MODIFICATIONS?
Author: Hook, Michael
Date Created: 2022
Subjects--Topical: Industrial management
Description: In this study, I examine the Fannie Mae (FNMA) single-family mortgage loan modification process over the period from 1999 to 2021. Loan modification rates are higher during the period leading up to the bust periods, while first-time home buyers ha...