Simultaneous Occurrence of Price Jumps and Changes in Diffusive Price Volatility
By Shunting Wei This paper uses high frequency financial data to study the changes in diffusive stock price volatility when price jumps are likely to have occurred. In particular, we study this effect on two levels. Firstly, we compare diffusive volatility on jump and non-jump days. Secondly, we study the change in diffusive volatility 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 […]
Neighborhood Effects and School Performance: The Impact of Public Housing Demolitions on Children in North Carolina
By Rebecca Aqostino This study explores how the demolitions of particularly distressed public housing units, through the Home Ownership for People Everywhere (HOPE VI) grants program, have affected academic outcomes for children in adjacent neighborhoods in Durham and Wilmington, North Carolina. I measure neighborhood-level changes and individual effects through regression analysis. All students in demolition […]
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 […]
