Essays on empirical time series modeling with causality and structural change
In this dissertation, three related issues of building empirical time series models for financial markets are investigated with respect to contemporaneous causality, dynamics, and structural change. In the first essay, nation-wide industry information transmission among stock returns of ten sectors...
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| Format: | Others |
| Language: | en_US |
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Texas A&M University
2006
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| Online Access: | http://hdl.handle.net/1969.1/4231 |