Advanced search options

Advanced Search Options 🞨

Browse by author name (“Author name starts with…”).

Find ETDs with:

in
/  
in
/  
in
/  
in

Written in Published in Earliest date Latest date

Sorted by

Results per page:

Sorted by: relevance · author · university · dateNew search

You searched for +publisher:"Florida International University" +contributor:("Prasad V. Bidarkota"). Showing records 1 – 3 of 3 total matches.

Search Limiters

Last 2 Years | English Only

No search limiters apply to these results.

▼ Search Limiters


Florida International University

1. Xu, Li. On Emerging Asia-Pacific Equity Markets from the Perspective of the Dynamics of Mean and Volatility Spillovers.

Degree: PhD, Economics, 2015, Florida International University

This dissertation investigates the dynamics of mean and volatility spillovers from the U.S. and three large (regional) Asia-Pacific stock markets to ten small (local) ones from June 2008 to May 2013. After a brief introduction to the main purposes and contributions of my research in Chapter 1, I examine the impact of lagged American and regional returns on the local markets in Chapter 2. By building up a univariate autoregressive model and treating lagged U.S. and regional returns as exogenous variables, I find that the local markets have statistically significant exposure to lagged returns of their own and the U.S. market only. The empirical results suggest that lagged American returns have exerted considerable mean spillover impact upon most of the local markets, whereas the large Asia-Pacific markets involved in this study have few such impacts. I study the linkage between the U.S. market and each of the regional markets in Chapter 3 by employing two specifications of the bivariate GARCH process—the BEKK and general dynamic covariance (DC) models—to capture common features of equity return data. Based on the results of carefully constructed diagnostic tests, the BEKK model is demonstrated to be more appropriate for the U.S.–China and U.S.–Japan cases, and the dynamic covariance model for the U.S.–Australia case. In Chapter 4, I discuss time-varying correlation of a local market with the U.S. market and with each regional market by proposing three Markov-switching shock spillover models. A comparison of model performance is drawn based on a series of model selection criteria. In fourteen cases, the local market is found to be more sensitive to regional shocks. Disturbances from two regional markets account for a higher proportion of local variance than those of U.S. origin. I conclude that the regional center, although having little mean spillover effect upon the local markets, has become increasingly influential in volatility transmission. Possible extended studies in the future as well as main findings in the preceding chapters are summarized in Chapter 5. Advisors/Committee Members: Prasad V. Bidarkota, Brice V. Dupoyet, Sheng Guo, Kai Huang, Cem Karayalcin.

Subjects/Keywords: Emerging markets; Volatility spillover; Markov switching; GARCH; Econometrics; Finance; International Economics

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Xu, L. (2015). On Emerging Asia-Pacific Equity Markets from the Perspective of the Dynamics of Mean and Volatility Spillovers. (Doctoral Dissertation). Florida International University. Retrieved from http://digitalcommons.fiu.edu/etd/2320 ; 10.25148/etd.FIDC000141 ; FIDC000141

Chicago Manual of Style (16th Edition):

Xu, Li. “On Emerging Asia-Pacific Equity Markets from the Perspective of the Dynamics of Mean and Volatility Spillovers.” 2015. Doctoral Dissertation, Florida International University. Accessed December 13, 2019. http://digitalcommons.fiu.edu/etd/2320 ; 10.25148/etd.FIDC000141 ; FIDC000141.

MLA Handbook (7th Edition):

Xu, Li. “On Emerging Asia-Pacific Equity Markets from the Perspective of the Dynamics of Mean and Volatility Spillovers.” 2015. Web. 13 Dec 2019.

Vancouver:

Xu L. On Emerging Asia-Pacific Equity Markets from the Perspective of the Dynamics of Mean and Volatility Spillovers. [Internet] [Doctoral dissertation]. Florida International University; 2015. [cited 2019 Dec 13]. Available from: http://digitalcommons.fiu.edu/etd/2320 ; 10.25148/etd.FIDC000141 ; FIDC000141.

Council of Science Editors:

Xu L. On Emerging Asia-Pacific Equity Markets from the Perspective of the Dynamics of Mean and Volatility Spillovers. [Doctoral Dissertation]. Florida International University; 2015. Available from: http://digitalcommons.fiu.edu/etd/2320 ; 10.25148/etd.FIDC000141 ; FIDC000141


Florida International University

2. Wang, Zhiguang. Three Essays on Asset Pricing.

Degree: Economics, 2009, Florida International University

In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are fully explored in Chapter II through IV. Chapter V summarizes the main conclusions. In Chapter II, I explore the effects of fat tails on the equilibrium implications of the long run risks model of asset pricing by introducing innovations with dampened power law to consumption and dividends growth processes. I estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model with fat tails can, without resorting to high risk aversion, generate implied risk premium, expected risk free rate and their volatilities comparable to the magnitudes observed in data. In Chapter III, I examine the pricing performance of VIX option models. The contention that simpler-is-better is supported by the empirical evidence using actual VIX option market data. I find that no model has small pricing errors over the entire range of strike prices and times to expiration. In general, Whaley’s Black-like option model produces the best overall results, supporting the simpler-is-better contention. However, the Whaley model does under/overprice out-of-the-money call/put VIX options, which is contrary to the behavior of stock index option pricing models. In Chapter IV, I explore risk pricing through a model of time-changed Lévy processes based on the joint evidence from individual stock options and underlying stocks. I specify a pricing kernel that prices idiosyncratic and systematic risks. This approach to examining risk premia on stocks deviates from existing studies. The empirical results show that the market pays positive premia for idiosyncratic and market jump-diffusion risk, and idiosyncratic volatility risk. However, there is no consensus on the premium for market volatility risk. It can be positive or negative. The positive premium on idiosyncratic risk runs contrary to the implications of traditional capital asset pricing theory. Advisors/Committee Members: Prasad V. Bidarkota, Robert T. Daigler, Brice Dupoyet, Cem Karayalcin, Jesse Bull.

Subjects/Keywords: Asset Pricing; Risk Premium; Lévy Process; Fat Tails; VIX Options; Volatility; Volatility Derivatives; Economics; Finance

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Wang, Z. (2009). Three Essays on Asset Pricing. (Thesis). Florida International University. Retrieved from http://digitalcommons.fiu.edu/etd/91 ; 10.25148/etd.FI09080603 ; FI09080603

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Wang, Zhiguang. “Three Essays on Asset Pricing.” 2009. Thesis, Florida International University. Accessed December 13, 2019. http://digitalcommons.fiu.edu/etd/91 ; 10.25148/etd.FI09080603 ; FI09080603.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Wang, Zhiguang. “Three Essays on Asset Pricing.” 2009. Web. 13 Dec 2019.

Vancouver:

Wang Z. Three Essays on Asset Pricing. [Internet] [Thesis]. Florida International University; 2009. [cited 2019 Dec 13]. Available from: http://digitalcommons.fiu.edu/etd/91 ; 10.25148/etd.FI09080603 ; FI09080603.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wang Z. Three Essays on Asset Pricing. [Thesis]. Florida International University; 2009. Available from: http://digitalcommons.fiu.edu/etd/91 ; 10.25148/etd.FI09080603 ; FI09080603

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Florida International University

3. Qi, Jing. Application of Intervention Analysis to Evaluate the Impacts of Special Events on Freeways.

Degree: Civil Engineering, 2008, Florida International University

In China in particular, large, planned special events (e.g., the Olympic Games, etc.) are viewed as great opportunities for economic development. Large numbers of visitors from other countries and provinces may be expected to attend such events, bringing in significant tourism dollars. However, as a direct result of such events, the transportation system is likely to face great challenges as travel demand increases beyond its original design capacity. Special events in central business districts (CBD) in particular will further exacerbate traffic congestion on surrounding freeway segments near event locations. To manage the transportation system, it is necessary to plan and prepare for such special events, which requires prediction of traffic conditions during the events. This dissertation presents a set of novel prototype models to forecast traffic volumes along freeway segments during special events. Almost all research to date has focused solely on traffic management techniques under special event conditions. These studies, at most, provided a qualitative analysis and there was a lack of an easy-to-implement method for quantitative analyses. This dissertation presents a systematic approach, based separately on univariate time series model with intervention analysis and multivariate time series model with intervention analysis for forecasting traffic volumes on freeway segments near an event location. A case study was carried out, which involved analyzing and modelling the historical time series data collected from loop-detector traffic monitoring stations on the Second and Third Ring Roads near Beijing Workers Stadium. The proposed time series models, with expected intervention, are found to provide reasonably accurate forecasts of traffic pattern changes efficiently. They may be used to support transportation planning and management for special events. Advisors/Committee Members: Albert Gan, David L. Shen, Fang Zhao, Mohammed Hadi, Prasad V. Bidarkota.

Subjects/Keywords: Traffic Forecasting; Short-term Forecasting; Time Series Model; ARIMA Model; VARMA Model

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Qi, J. (2008). Application of Intervention Analysis to Evaluate the Impacts of Special Events on Freeways. (Thesis). Florida International University. Retrieved from http://digitalcommons.fiu.edu/etd/71 ; 10.25148/etd.FI08121913 ; FI08121913

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Qi, Jing. “Application of Intervention Analysis to Evaluate the Impacts of Special Events on Freeways.” 2008. Thesis, Florida International University. Accessed December 13, 2019. http://digitalcommons.fiu.edu/etd/71 ; 10.25148/etd.FI08121913 ; FI08121913.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Qi, Jing. “Application of Intervention Analysis to Evaluate the Impacts of Special Events on Freeways.” 2008. Web. 13 Dec 2019.

Vancouver:

Qi J. Application of Intervention Analysis to Evaluate the Impacts of Special Events on Freeways. [Internet] [Thesis]. Florida International University; 2008. [cited 2019 Dec 13]. Available from: http://digitalcommons.fiu.edu/etd/71 ; 10.25148/etd.FI08121913 ; FI08121913.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Qi J. Application of Intervention Analysis to Evaluate the Impacts of Special Events on Freeways. [Thesis]. Florida International University; 2008. Available from: http://digitalcommons.fiu.edu/etd/71 ; 10.25148/etd.FI08121913 ; FI08121913

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

.