Three essays on financial econometrics

• Main Author: LIANG, Jiang
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: financial econometrics; real estate price index; structural break; bias reduction; high frequency; microstructure noise; Econometrics; Finance
• Online Access: https://ink.library.smu.edu.sg/etd_coll/521; https://ink.library.smu.edu.sg/context/etd_coll/article/1522/viewcontent/Three_Essays_on_Financial_Econometrics.pdf
• Institution: Singapore Management University

This dissertation develops several econometric techniques to address three issues in financial economics, namely, constructing a real estate price index, estimating structural break points, and estimating integrated variance in the presence of market microstructure noise and the corresponding micros...