Chair of Monetary Economics and International Finance

Topics for Master Theses

Master theses (appr. 40 pages):

Formalities for Master theses correspond to those of BA theses.

MA-theses have to be written in English. You may write your MA-thesis in German according to prior agreement with your examiner. You can also suggest your own topic. Please contact our chair as early as possible.
 

You can make a reservation only for one topic at the same time (deadline for reservation: 4 weeks). You can exchange topic reservations but you cannot change back. Each topic will be assigned only once. Therefore, we recommend contacting our chair early. In case a list is not announced, please contact Prof. Lux directly to arrange a topic.

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.   

 

Guidelines for Theses:

 

Guidelines for writing a thesis or seminar paper

Halten von Vorträgen

Der richtige Umgang mit dem Urheberrecht

 

Further Information about formalities regarding Bachelor- and Mastertheses are available on the homepage of the Examination Office

 

 

1. 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

 

 

2. 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

 

 

3. Money base, reserves and money supply: Tests of the money multiplier hypothesis
RESERVED

 

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: Clemens Koppe

 

4. 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

 

5. Estimation of Multifractal Model of Asset Returns via the Expectation Maximization Algorithm

Content: Application of the EM algorithm proposed in Schön et al. (2011) to some of the models considered in Lux (2018). Comparison of the efficiency and computational demands of different estimators and emprical application.

References:

Lux, T., Inference for nonlinear state space models: A comparison of different methods applied to Markov-switching multifractal models, Working Paper, Kiel, 2018.

Schön, T. et al., System Identification of Nonlinear State Space Models, Automatica 47, 2011, 39-49

Supervisor: Dr. Duc Thi Luu


6. Bayesian Estimation of Behavioral Models of Financial Markets with Nested Sampling

Content: Application of the methodology of Skilling (2006) to the models of Lux (2010).

References:

Lux, T. Bayesian Estimation of Agent-Based Models via Adaptive Particle Markov Chain Monte Carlo, Working Paper, Working Paper 2020-01, Kiel.

Skilling, John. "Nested sampling for general Bayesian computation." Bayesian analysis 1.4 (2006): 833-859.

Supervisor: Lutz Honvehlmann

 

 

7. Estimation of a Bivariate Multifractal Model of Asset Returns and Sentiment
 

Content: Replication of the analysis of Liu and Gupta (2021) and application to German data.

References:

Liu, T. and R. Gupta, Investors’ Uncertainty and Forecasting Stock Market Volatility, Journal of Behavioral Finance, 2021, in press.

Supervisor: Lutz Honvehlmann

 

8. Sentiment and Stock Returns: Trading Strategies based on VAR Models

Content: Replications of Lux (2011) with updated data

Reference: Lux, T., Sentiment and Stock Returns: The Case of the German Stock Market, Empirical Economics 41, 2011

Supervisor: Dr. Duc Thi Luu

 

9. Estimation of a Behavioral Model of Speculative Activity via Bayesian Indirect Inference

Content: Application of the methodology developed in Creel and Kristensen (2013, 2015a,b) to the model of Alfarano et al. (2018)

References:

Alfarano, S., T. Lux and F. Wagner, Time Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach, Journal of Economic Dynamics & Control 32, 2008

Creel, M. and D. Kristensen, Indirect Likelihood Inference, Working Paper, University College London, 2013

Creel, M. and D. Kristensen, On Selection of Statistics for Approximate Bayesian Computing (or the Method of Simulated Moments), Working Paper, University College London, 2015

Creel, M. and D. Kristensen, ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models, Journal of Empirical Finance 31, 2015

Supervisor: Clemens Koppe

 

 

10. Wind Power Futures and Options: Development of the Market, Pricing Models and Hedging Potential
RESERVED

 

Supervisor: Dr. Duc Thi Luu