Essays on Financial Economics

Date created: 
2016-07-26
Identifier: 
etd9625
Keywords: 
Financial Economics, Econometrics
Abstract: 

This thesis addresses three topics in modern financial economics. In econometrics, we propose a consistent estimator for a model with both smooth structural changes and abrupt structural breaks. Our methodology is particularly well-suited for modern high frequency data. In market microstructure, we show that the traditional paradigm is no longer applicable in general, in light of recent technological evolution in trading and associated change in market behavior. In financial networks, we consider determinants of systematic risk that is due to the structure and stability of the network underlying the financial system. We propose a pricing factor that captures the diversification vs. contagion risk trade-off of the interconnectedness of the network.

Document type: 
Thesis
Rights: 
This thesis may be printed or downloaded for non-commercial research and scholarly purposes. Copyright remains with the author.
File(s): 
Senior supervisor: 
Ramazan Gencay
Department: 
Arts & Social Sciences: Department of Economics
Thesis type: 
(Dissertation) Ph.D.
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