Papers by Oliver Obradovits
BSc Dissertation, 2012
This paper analyses UK nominal zero coupon bond yield data from 1975:1 to 2012:2 for maturities 1... more This paper analyses UK nominal zero coupon bond yield data from 1975:1 to 2012:2 for maturities 12, 24, 36, 48, 60, 120, and 180 months. I follow the analysis of Campbell and Shiller (1991), CS henceforth, to examine if the expectations hypothesis (EH) is an adequate description of the term structure. The main focus of this paper is the yield spread, which characterises the slope of the term structure, and forecasting changes in short rates. I follow CS’s single equation and VAR based approach. Contrary to CS’s overwhelming rejection of the EH I find that their methodology fits the UK term structure reasonably well. In addition, this paper will also conduct a battery of unit root tests to see if the assumption that interest rates are closely approximated by an I(1) process is justified. Further, it will test the hypothesis that long and short rates cointegrate, which is a necessary but not a sufficient condition for the EH. Section 2 of this paper will outline the underlying theory, and provide a discussion of other results obtained using the same methodology to US and UK data.
MSc Dissertation, 2013
This paper provides a survey of the microstructure literature relating to the Easley and O’Hara (... more This paper provides a survey of the microstructure literature relating to the Easley and O’Hara (1992) model and discusses the implications of adding event uncertainty to the standard sequential trade model of Glosten and Milgrom (1985). I simulate the structural model of Easley and O’Hara (1992) and estimate its parameters using trade data from 1995 for six different stocks listed on the New York Stock Exchange (NYSE) using the methodology developed by Easley et al (1997). I also estimate the parameters of the standard Glosten-Milgrom model and empirically test the restriction of no event uncertainty. The main contribution of this paper is to explore the assumption that information arrives overnight. I test the robustness of the daily parameter estimates when we consider different assumptions on what we consider to be a trading “round” in the aggregation of the order flow. My results show that the parameters are reasonably stable for different assumptions on the arrival time.
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Papers by Oliver Obradovits