Tale of Two Cities An Econometric Analysis of East & West Coast Fine Art Galleries
by Daniella Victoria Paretti Abstract In a 2021 report published alongside Art Basel and UBS, renowned cultural economist Dr. Clare McAndrew posited that the value of art sales in 2020 amounted to an impressive $50 billion (although this actually marks an over 10-year low). It is no secret that the global art markets are extremely […]
Bayesian Non-Parametric Risk Metric
by Kiwan Hyun Abstract This thesis constructs completely non-parametric Risk Metric models through Dirichlet process in order to account for both the parametric uncertainty and model uncertainty that a Risk Metric may bring. Value at Risk (VaR), along with its integrated form Continuous Value at Risk (CVaR) / Expected Shortfall (ES), is one of the […]
The Impact of Access to Public Transportation on Residential Property Value: A Comparative Analysis of American Cities
By Moses Snow Wayne This paper develops a consistent model for analyzing the impact of access to public transportation on property value applied to the four cities of Atlanta, Boston, New York, and San Francisco. This study finds a negative relationship between increasing distance to public transit and property value. Additionally, the elicited effects in […]
The Effect of Federal Regulations on the Outcomes of Auctions for Oil and Gas Leaseholds
By Artur Shikhaleev This thesis attempts to analyze the impact of the differences in regulatory frameworks that govern state-owned and federally-owned lands on the outcomes of auctions for oil and natural gas leaseholds in the state of New Mexico. The analysis tries to isolate the effect of ownership by controlling for auction structure, leasehold characteristics, and […]
Dealing with Data: An Empirical Analysis of Bayesian Black-Litterman Model Extensions
By Daniel Roeder Portfolio Optimization is a common financial econometric application that draws on various types of statistical methods. The goal of portfolio optimization is to determine the ideal allocation of assets to a given set of possible investments. Many optimization models use classical statistical methods, which do not fully account for estimation risk in […]
Possibility of Cost Offset in Expanding Health Insurance Coverage: Using Medical Expenditure Panel Survey 2008
By Catherine Moon The Patient Protection and Affordable Care Act aims to substantially reduce the number of the uninsured over time and asserts that the financial burden of extending insurance coverage to the previously uninsured will be offset by the benefit of the attendant improvement in their health. Motivated by this policy, I explore whether […]
Time-Varying Beta: The Heterogeneous Autoregressive Beta Model
By Kunal Jain Conventional models of volatility estimation do not capture the persistence in high-frequency market data and are not able to limit the impact of market micro-structure noise present at very finely sampled intervals. In an attempt to incorporate these two elements, we use the beta-metric as a proxy for equity-specific volatility and use […]
