Essays on Financial Economics

Resource type
Thesis type
(Dissertation) Ph.D.
Date created
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 In market microstructure, we show that the traditional paradigm is no longer applicable in general, in light of recent technological evolution in trading and associated change in market behavior.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.
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Copyright is held by the author.
This thesis may be printed or downloaded for non-commercial research and scholarly purposes.
Scholarly level
Supervisor or Senior Supervisor
Thesis advisor: Gencay, Ramazan
Member of collection
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etd9625_MTseng.pdf 1.48 MB

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