Three Essays on Financial Econometrics

Three Essays on Financial Econometrics

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...

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Bibliographic Details
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_smu/46
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1045&context=etd_coll_smu
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/etd_coll_smu/46
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1045&context=etd_coll_smu

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