Themen Masterarbeit
Master-Abschlussarbeiten (ca. 40 Seiten):
Die Regelungen für die Bachelorarbeiten sind, unter Beachtung der unterschiedlichen Studienanforderungen auch auf die Masterarbeiten anzuwenden.
Eigene Themenvorschläge sind möglich. Kontaktieren Sie frühzeitig den Lehrstuhl.
The list of topics given below is available for Master theses to be supervised at the chair of Monetary Economics & International Finance.
Sie können immer nur ein Thema zur Zeit reservieren (Reservierungsfrist: 4 Wochen). Ein Themenwechsel auf ein anderes nicht reserviertes Thema ist jederzeit möglich, jedoch können Sie nicht wieder zu einem Thema zurückwechseln. Jedes Thema wird nur einmal vergeben. Wir empfehlen daher eine frühe Themenauswahl und Kontaktaufnahme. Sollten Sie keine Themenliste vorfinden, so wenden Sie sich bitte direkt an Herrn Professor Lux, um die Themenvergabe persönlich abzusprechen.
Interest in specific topics should be expressed to:
Ricarda Geilenkirchen (geilenkirchen@economics.uni-kiel.de) - accompanied by an up-to-date record of current status and exam results
Wichtige Hinweise zur Erstellung von Arbeiten:
Guidelines for writing a thesis or seminar paper
Verfassen von Seminar- und Diplomarbeiten
Der richtige Umgang mit dem Urheberrecht
Weitere Informationen zur Anmeldung von Bachelor- und Masterarbeiten finden Sie auf den Seiten des Prüfungsamtes
Assignment of Topics for Master Theses
The list of topics given below is available for Master theses to be supervised at the chair of Monetary Economics & International Finance.
Interest in specific topics should be expressed to:
Ricarda Geilenkirchen (geilenkirchen@economics.uni-kiel.de) - accompanied by an up-to-date record of current status and exam results.
1. Estimation of a Trivariate Multifractal Model of Asset Returns and Application in Risk Management*
Content: Implementation of the structure proposed in Calvet et al. (2006), p.207 to selected trivariate portfolios
Reference:
Calvet, E. et al. , Volatility Comovement: A Multifrequency approach, Journal of Econometrics 130, 2006.
Supervision: Duc Thi Luu
2. The Empirical Performance of Consumption Euler Equations
Content: A review of research on the validity of consumption Euler equations as a basic building block of macroeconomic models.
Literature:
Canzoneri, M. et al., Euler Equations and Money Market Interest Rates: A Challenge for Monetary Policy Models, Journal of Monetary Economics 54, 2007, 1863-1881
Supervisor: Duc Thi Luu
3. Evaluating Multifractal Forecasts of Asset Price Volatility*
Content: Follow the approach of Lux et al. (2014) or Lux et al. (2016), but evaluate forecasts with alternative loss functions (e.g., based on option valuation or economic utility function).
Literature:
Lux, T. et al., Forecasting Daily Variations of Stock Index returns with a Multifractal Model of Realized Volatility, Journal of Forecasting 33, 2014 532-541
Lux, T. et al., Forecasting Crude Oil Price Volatility and Value at Risk: Evidence from Historical and Recent Data, Energy Economics, in press
Gonzalez-Rivera, G. et al., Forecasting Volatility: A Reality Check Based on Option Pricing, Utility Function, Value-at-Risk, and Predictive Likelihood, International Journal of Forecasting 20, 2004,
2004 629-645
Supervisor: Duc Thi Luu
*requires a good command of econometric and statistical methodology
4. Zero-Intelligence Models of the Microstructure of Financial Markets: Model Structure and Estimation (reserved)
Reference:
Šmíd, M., Estimation of zero-intelligence models by L1 data, Quantitative Finance 16, 2016
This is probably the only attempt at estimation of the mentioned class of models so far. The thesis should provide an introduction to the models and the estimation approach proposed in this contribution. An attempt at replication with alternative data would be preferable.
Supervisor: Lutz Honvehlmann
5. Money base, reserves and money supply: Tests of the money multiplier hypothesis
Content: Empirical analysis with European data analogous to Carpenter and Demiralp (2012)
Reference:
Carpenter, S. and S. Demiralp, Money, Reserves and the Transmission of Monetary Policy: does the Money Multiplier Exist?, Journal of Macroeconomics 34, 2012
Supervisor: M. Raddant
6. Patterns of Network Formation in the Credit Network of Spain: An Application of the Exponential Random Graph Model
Content: Application of the framework explained in Lusher et al. (2013) to a comprehensive data base of credit relationships in the Spanish economy. Data is available at the Chair of Monetary Economics and International Finance
Reference:
Lusher, D., Koskinen, J., & Robins, G. (Eds.). (2013). Exponential random graph models for social networks: Theory, methods, and applications. Cambridge University Press.
Supervisor: Dr. Duc Thi Luu
7. Coordination of Monetary and Fiscal Policy in a Monetary Union
Overview over current theoretical analysis of this topic such as:
Canofari, P. et al., EMU stability: Direct and Indirect Risk Sharing,
Open Economy Review 28, 2017
Anevlavis, T., Debt Stabilization in the Presence of Risk Premia: A Dynamic Game Approach, Macroeconomic Dynamics, in press
Semmler, W. and A. Haider, Cooperative Fiscal and Monetary Policies in the Euro Area,
Southern Economic Journal 85, 2018
Supervisor: Dr. Matthias. Raddant
8. Multifractal Forecasts of Volatility and Value-at-Risk: Discrete vs. Continuous-Time Models
Reserved until 05.03.2019
Use the methods of Lux(2018) to estimate bivariate multifractal models in discrete and continuous time, and apply the methods of Liu and Lux (2017) and Segnon et al. (2017) to compare these models.
Literature:
Liu,R. and T. Lux, Generalized Method of Moment Estimation of Multivariate Multifractal Models, Economic Modelling 67, 2017
Segnon, M. et al., Modeling and Forecasting the Volatility of Carbon Dioxide Emission Allowance Prices, Renewable and Sustainable Energy Review 69, 2017
Lux, T., Influence for Nonlinear State Space Models: Am Comparison of Different Methods applied to Markov-Switching Multifractal Models. Working Paper Kiel 2018.
Supervisor: Dr. Duc Thi Luu