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Thesis

Essays on time series econometrics and financial econometrics

Abstract:

My DPhil thesis includes three essays on time series econometrics and financial econometrics, preceded by a brief introduction.

The first essay proposes a new class of multivariate volatility models utilizing realized measures of asset volatility and covolatility extracted from high-frequency data. Dimension reduction for estimation of large covariance matrices is achieved by imposing a factor structure with time-varying conditional factor loadings. The models are applied to mo...

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Role:
Supervisor
Role:
Supervisor
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford

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