Essays in Econometrics and Time-Series Analysis

Essays in Econometrics and Time-Series Analysis
by Tae Suk Lee

Submitted in Partial Ful…llment of the Requirements for the Degree Doctor of Philosophy Supervised by Professor Werner Ploberger Professor Nese Yildiz Department of Economics Arts, Sciences and Enineering School of Arts and Sciences

University of Rochester Rochester, New York 2010

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Dedication To my family

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Curriculum Vitae
The author was born in Seoul, Korea, on September 9, 1976. After …nishing his primary education there, he attended Seoul National University and was awarded a Bachelor of Arts in Economics in 1999 and received a Master of Arts degree in Economics in 2001. He came to the University of Rochester in the fall of 2004. He received a Master of Arts degree from the University of Rochester in 2007 and pursued his research on Econometric Theory under the direction of Professor Werner Ploberger.

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Acknowledgments
I am very grateful to my advisor, Professor Werner Ploberger. His illuminating guidance and invaluable advice will guide me for the rest of my professional life. I could not have completed anything without his constant support. I am also grateful to my committee members, Professor Nese Yildiz, Professor G. William Schwert and Professor Gábor Virág, for their valuable suggestions and constructive criticism. I would like to thank Bin Chen, Mark A. Aguiar, Mico Loretan, Myung Hwan Seo, Paulo Barelli, Romans Pancs, William Hawkins, and Yongsung Chang for helpful discussions and suggestions. Financial and academic support from the Economics department of Washington University in St. Louis is also appreciated. Finally, I would like to thank my family for their support, understanding and love.

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Abstract
This dissertation consists of two essays dealing respectively with estimation of volatility and test for a jump using high frequency data. Chapter 1 investigates the properties of pre-averaging estimators of integrated volatility, …rst considered by...