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Econometric Analysis of Financial Risk and Correlation

dc.contributor.advisorBreitung, Jörg
dc.contributor.authorHomm, Ulrich-Michael
dc.date.accessioned2020-04-17T19:04:55Z
dc.date.available2020-04-17T19:04:55Z
dc.date.issued10.10.2012
dc.identifier.urihttp://hdl.handle.net/20.500.11811/5254
dc.description.abstractThe contribution of this dissertation is threefold. First, econometric procedures to test for the occurence of asset price bubbles ex post and in real time are proposed. Real time monitoring procedures represent an additional tool for financial agents to gauge whether or not a bubble is building up in a financial market at the date of measurement. Second, we consider the problem of risk assessment and performance measurement. Risk assessment is essential for determining the amount of required capital. It is also important to counterbalance expected profits. The focus here lies on the economic index of riskiness proposed by Aumann and Serrano (2008).
New theoretical properties of the index are established and estimation techniques are proposed. It is brought to application as a counterweight to expected returns to measure the perfomance of mutual funds and hedge funds.
The last part of the dissertation is of more basic econometric interest. It addresses the issue of the validity of standard inference procedures in fixed effect panel data models. Ordinary least squares inference about model parameters can be misleading if shocks to cross-sectional units are correlated. Existing tests of cross-section error dependence aim at determining whether or not there is cross-section error correlation per se. In this dissertation, a procedure is developed that aims at testing whether there is cross-section error correlation that invalidates ordinary least squares inference.
dc.language.isoeng
dc.rightsIn Copyright
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectSpekulative Blasen
dc.subjectUnit Root Test
dc.subjectStrukturbruch
dc.subjectPerformance-Messung
dc.subjectRisikoindex
dc.subjectPanel-Daten-Analyse
dc.subjectspeculative bubbles
dc.subjectstructural break
dc.subjectperformance measurement
dc.subjectriskiness
dc.subjectpanel data
dc.subjectcross-sectional error correlation
dc.subject.ddc310 Allgemeine Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleEconometric Analysis of Financial Risk and Correlation
dc.typeDissertation oder Habilitation
dc.publisher.nameUniversitäts- und Landesbibliothek Bonn
dc.publisher.locationBonn
dc.rights.accessRightsopenAccess
dc.identifier.urnhttps://nbn-resolving.org/urn:nbn:de:hbz:5-29893
ulbbn.pubtypeErstveröffentlichung
ulbbnediss.affiliation.nameRheinische Friedrich-Wilhelms-Universität Bonn
ulbbnediss.affiliation.locationBonn
ulbbnediss.thesis.levelDissertation
ulbbnediss.dissID2989
ulbbnediss.date.accepted2012-09-13
ulbbnediss.fakultaetRechts- und Staatswissenschaftliche Fakultät
dc.contributor.coRefereePigorsch, Christian


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