Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.545980
Title: Essays in econometrics
Author: Atak, Alev
Awarding Body: Queen Mary, University of London
Current Institution: Queen Mary, University of London
Date of Award: 2011
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Abstract:
This thesis consists of two main parts. The rst part deals with an analysis of realized volatility and its relationship with market mi- crostructure problem. The second part of the thesis presents a time trend analysis in a panel data framework, with a semiparametric ap- proach. Chapter 1 introduces the topics that I embark upon the thesis. In particular, I motivate the interest in realized volatility and market mi- crostructure problem in the rst part of the thesis, with a factor model approach. Then, in the second part, the motivation is on the estimation of time varying coe¢ cient trend functions in a panel data case, using nonparametric estimation methods. Chapter 2 proposes a literature review on realized volatility and factor models, while focusing on the seminal papers and models that the theoretical literature suggests and also provides the empirical evidence observed in nancial markets. Chapter 3 develops a theoretical model to forecast the realized volatility consistently and e¢ ciently for large dimensional datasets and also addresses the solution for noise problem coming out of volatility estimation in the presence of market microstructure e¤ects. Chapter 4 provides the empirical analysis and results on a sample of S&P 500 stocks following the methodology and models suggested in Chapter 3. Chapter 5 focuses on developing a semiparametric panel model to explain the time trend function. Pro le likelihood estimators (PLE) are proposed and their statistical properties are studied. We apply our methods to the UK regional temperatures. Finally, forecasting based on the proposed model is studied. Chapter 6 concludes, summarizing the main results and contribu- tions of the thesis.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.545980  DOI: Not available
Keywords: Economics
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