國立虎尾科技大學 |

Essays in Financial Economics.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Essays in Financial Economics./
Author:	Da, Rui.
Description:	1 online resource (157 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 85-12, Section: B.
Contained By:	Dissertations Abstracts International85-12B.
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9798382775784

Essays in Financial Economics.
Da, Rui.

Essays in Financial Economics. - 1 online resource (157 pages)

Source: Dissertations Abstracts International, Volume: 85-12, Section: B.

Thesis (Ph.D.)--The University of Chicago, 2024.

Includes bibliographical references

This dissertation comprises four essays in financial economics. In the first essay, we conduct inference on volatility with noisy high-frequency data. The second essay proposes a semi- parametric approach to disentangling the autocovariance of equity returns at high frequency. In the third essay, we consider the limit of arbitrage arising from learning difficulty when in- vestors are facing a large number of investment opportunities. Finally, we investigate market efficiency in the presence of many investors.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798382775784Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

AlphaIndex Terms--Genre/Form:

554714
Electronic books.

Essays in Financial Economics.
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245 1 0 $a Essays in Financial Economics.
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500 $a Source: Dissertations Abstracts International, Volume: 85-12, Section: B.
500 $a Advisor: He, Zhiguo;Xiu, Dacheng.
502 $a Thesis (Ph.D.)--The University of Chicago, 2024.
504 $a Includes bibliographical references
520 $a This dissertation comprises four essays in financial economics. In the first essay, we conduct inference on volatility with noisy high-frequency data. The second essay proposes a semi- parametric approach to disentangling the autocovariance of equity returns at high frequency. In the third essay, we consider the limit of arbitrage arising from learning difficulty when in- vestors are facing a large number of investment opportunities. Finally, we investigate market efficiency in the presence of many investors.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2024
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
650 4 $a Statistics. $3 556824
653 $a Alpha
653 $a High-frequency data
653 $a Holding data
653 $a Machine learning
653 $a Market efficiency
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690 $a 0501
690 $a 0511
690 $a 0463
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a The University of Chicago. $b Business. $3 1179073
773 0 $t Dissertations Abstracts International $g 85-12B.
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31241917 $z click for full text (PQDT)