Essays in financial econometrics - ORA - Oxford University Research Archive

Abstract:: This dissertation consists of three chapters discussing issues in the field of financial econometrics. All three chapters are largely empirical, with some theoretical developments in second moments modelling in the second chapter.

The first chapter of this thesis analyses the market neutrality of Pairs Trading, a statistical arbitrage trading technique, from a second moments perspective. In this study, I analyse how market and idiosyncratic news affect the profitability of this t...
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APA Style

Padilha, T. (2022). Essays in financial econometrics [PhD thesis]. University of Oxford.

MLA Style

Padilha, T. Essays in Financial Econometrics . 2022. University of Oxford, PhD thesis.

Chicago Style

Padilha, T. 2022. “Essays in Financial Econometrics .” PhD thesis, University of Oxford.
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Files:: Padilha_2022_Essays_in_financial.pdf

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Authors

+ Padilha, T More by this author

Division:: SSD
Department:: Economics
Role:: Author

Contributors

Role:: Supervisor

DOI:: 10.5287/ora-mq1dppbw8
Type of award:: DPhil
Level of award:: Doctoral
Awarding institution:: University of Oxford

Language:: English
Deposit date:: 2023-06-22
ARK identifier:: ark:/29072/ora_10bca57b42d145588e0cafb519623291

Terms of use

Copyright holder:: Padilha, T
Copyright date:: 2022

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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