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Author:

Zhu, Shengbo

Title:

Essays on Financial Economics and Econometrics

Graduate Program:

Economics

Keywords:

Ross recovery theorem
equivalent martingale measure
stochastic discount factor
martingale condition
state price
path price
intrinsic inconsistency
implied process
fundamental theorem of asset pricing
canonical probability space
Markovian quasi-MLE
conditional asymptotic independence
mixing condition
near-epoch dependence

File:

Download phd_thesis_shengbo_zhu.pdf

Committee Members:

Andrew Ronald Gallant, Dissertation Advisor/Co-Advisor
Andrew Ronald Gallant, Committee Chair/Co-Chair
Patrik Guggenberger, Committee Member
Keisuke Hirano, Committee Member
Jingzhi Huang, Outside Member
Shouyong Shi, Committee Member
Marc Albert Henry, Program Head/Chair