Staff View
Essays on financial econometrics

Descriptive

TypeOfResource
Text
TitleInfo (ID = T-1)
Title
Essays on financial econometrics
SubTitle
PartName
PartNumber
NonSort
Identifier (displayLabel = ); (invalid = )
ETD_2260
Identifier (type = hdl)
http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052098
Language (objectPart = )
LanguageTerm (authority = ISO639-2); (type = code)
eng
Genre (authority = marcgt)
theses
Subject (ID = SBJ-1); (authority = RUETD)
Topic
Economics
Subject (ID = SBJ-2); (authority = ETD-LCSH)
Topic
Econometrics
Abstract
This dissertation comprises of three essays in financial econometrics. The first essay discusses the efficacy of alternative simulation models of the short term interest rate. This is done by constructing consistent specification tests that allow us to carry out a "horse-race" comparing various one, two, and three factor models (possiblely with jumps), across multiple historical sample periods. We find that the choice of model for simulating the future distribution of short rates is highly sample dependent, and structural breaks appear to be an important component to be considered.
The second essay presents a model that focuses on exploring the profitability of portfolio-based trading strategies that variously combine downside risk, momentum, and mean reversion by carrying out a series of pseudo real-time trading experiments using different combination trading strategies. We find, contrary to the existing literature, that momentum effects are sensitive to value and size factors. In particular, downside risk plays an important role when portfolios are sorted based on size and value.
The third essay re-examines the empirical linkage between macroeconomic variables and financial markets. Our evaluation focuses on the use of a large variety of state-of-the-art ex-ante predictive accuracy tests as well as more standard in-sample regression diagnostics. We observe substantive shifts in the dynamics of macroeconomic factor models, which have noteworthy effects on the predictive content of the factors when used to predict returns.
PhysicalDescription
Form (authority = gmd)
electronic resource
Extent
x, 142 p. : ill.
InternetMediaType
application/pdf
InternetMediaType
text/xml
Note (type = degree)
Ph.D.
Note (type = bibliography)
Includes bibliographical references (p. 84-88)
Note (type = statement of responsibility)
by Lili Cai
Name (ID = NAME-1); (type = personal)
NamePart (type = family)
Cai
NamePart (type = given)
Lili
Role
RoleTerm (authority = RULIB); (type = )
author
DisplayForm
Lili Cai
Name (ID = NAME-2); (type = personal)
NamePart (type = family)
Swanson
NamePart (type = given)
Norman
Role
RoleTerm (authority = RULIB); (type = )
chair
Affiliation
Advisory Committee
DisplayForm
Norman Rasmus Swanson
Name (ID = NAME-3); (type = personal)
NamePart (type = family)
Klein
NamePart (type = given)
Roger
NamePart (type = termsOfAddress)
NamePart (type = date)
Role
RoleTerm (authority = RULIB); (type = )
internal member
Description
Affiliation
Advisory Committee
DisplayForm
Roger Klein
Name (ID = NAME-4); (type = personal)
NamePart (type = family)
Landon-Lane
NamePart (type = given)
John
NamePart (type = termsOfAddress)
NamePart (type = date)
Role
RoleTerm (authority = RULIB); (type = )
internal member
Description
Affiliation
Advisory Committee
DisplayForm
John Landon-Lane
Name (ID = NAME-5); (type = personal)
NamePart (type = family)
Goldman
NamePart (type = given)
Elena
Role
RoleTerm (authority = RULIB); (type = )
outside member
Affiliation
Advisory Committee
DisplayForm
Elena Goldman
Name (ID = NAME-1); (type = corporate)
NamePart
Rutgers University
Role
RoleTerm (authority = RULIB); (type = )
degree grantor
Name (ID = NAME-2); (type = corporate)
NamePart
Graduate School - New Brunswick
Role
RoleTerm (authority = RULIB); (type = )
school
OriginInfo
DateCreated (point = ); (qualifier = exact)
2010
DateOther (qualifier = exact); (type = degree)
2010-01
Place
PlaceTerm (type = code)
xx
RelatedItem (type = host)
TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
Identifier (type = RULIB)
ETD
RelatedItem (type = host)
TitleInfo
Title
Graduate School - New Brunswick Electronic Theses and Dissertations
Identifier (type = local)
rucore19991600001
Location
PhysicalLocation (authority = marcorg); (displayLabel = Rutgers, The State University of New Jersey)
NjNbRU
Identifier (type = doi)
doi:10.7282/T3GM87FD
Genre (authority = ExL-Esploro)
ETD doctoral
Back to the top

Rights

RightsDeclaration (AUTHORITY = GS); (ID = rulibRdec0006)
The author owns the copyright to this work.
Copyright
Status
Copyright protected
Availability
Status
Open
Reason
Permission or license
RightsHolder (ID = PRH-1); (type = personal)
Name
FamilyName
Cai
GivenName
Lili
Role
Copyright Holder
RightsEvent (ID = RE-1); (AUTHORITY = rulib)
Type
License
DateTime
2009-11-23 03:15:22
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
AssociatedEntity (ID = AE-1); (AUTHORITY = rulib)
Role
Copyright holder
Name
Lili Cai
Affiliation
Rutgers University. Graduate School - New Brunswick
AssociatedObject (ID = AO-1); (AUTHORITY = rulib)
Type
License
Name
Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
Back to the top

Technical

ContentModel
ETD
MimeType (TYPE = file)
application/pdf
MimeType (TYPE = container)
application/x-tar
FileSize (UNIT = bytes)
983040
Checksum (METHOD = SHA1)
d66929dec7cd1707f916ef5d5c6eeb82e396464a
Back to the top
Version 8.3.13
Rutgers University Libraries - Copyright ©2021