Browsing by Subject "time change"

Now showing items 1-2 of 2

    • Essays in Financial Econometrics 
      Jeong, Dae Hee (2010-01-14)
      I consider continuous time asset pricing models with stochastic differential utility incorporating decision makers' concern with ambiguity on true probability measure. In order to identify and estimate key parameters in ...
    • Essays on the Predictability and Volatility of Asset Returns 
      Jacewitz, Stefan A. (2010-10-12)
      This dissertation collects two papers regarding the econometric and economic theory and testing of the predictability of asset returns. It is widely accepted that stock returns are not only predictable but highly so. This ...