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Thesis

Essays in panel data and financial econometrics

Abstract:

This thesis is concerned with volatility estimation using financial panels and bias-reduction in non-linear dynamic panels in the presence of dependence.

Traditional GARCH-type volatility models require large time-series for accurate estimation. This makes it impossible to analyse some interesting datasets which do not have a large enough history of observations. This study contributes to the literature by introducing the GARCH Panel model, which exploits both time-series and cross-s...

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Institution:
University of Oxford
Oxford college:
University College
Department:
Social Sciences Division - Economics

Contributors

Role:
Supervisor
Publication date:
2012
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
Oxford University, UK
URN:
uuid:c970f380-9644-4439-a272-7427ef66ac44
Local pid:
ora:6505

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