Three Essays in Econometrics

Abstract

This thesis consists of three self-contained essays in econometrics and statistics. It discusses methodological topics in semi- and nonparametric statistics as well as empirical questions in financial econometrics. My methodological contributions cover regression and times series prediction techniques, which are designed to deal with complex and high-dimensional data. The proposed statistical concepts are particularly useful for the analysis of risk in modern financial markets, which is of major importance for example in risk management, automated trading and for regulatory authorities. The empirical contribution of this thesis is an analysis of the role and dynamics of price and liquidity risk of equity and debt securities in developed capital markets. <br /> The applications in the first two chapters deal with risk on stock markets, while the third chapter deals with risk on bond markets.