Download or read book A Small sample Overlapping Variance ratio Test written by Yiu Kuen Tse and published by . This book was released on 2002 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: Proposes to approximate the small-sample distribution of the modified statistic using a Beta distribution that matches the mean and the variance.
Download or read book A Small Sample Overlapping Variance Ratio Test written by Y. K. Tse and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The null distribution of the overlapping variance-ratio (OVR) test of the random-walk hypothesis is known to be downward biased and skewed to the right in small samples. As shown by Lo and MacKinlay (1989), the test under-rejects the null on the left tail seriously when the sample size is small. This property adversely affects the applicability of the OVR test to macroeconomic time series, which usually have rather small samples. In this paper, we propose a modified overlapping variance-ratio statistic and derive its exact mean under the normality assumption. We propose to approximate the small-sample distribution of the modified statistic using a beta distribution that matches the (exact) mean and the (asymptotic) variance. A Monte Carlo experiment shows that the beta approximation performs well in small samples.
Download or read book The Variance Ratio Test with Stable Paretian Errors written by Y. K. Tse and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the distribution of the overlapping variance ratio (OVR) statistic when the errors are distributed with thick tails as described by the family of stable Paretian distributions. The asymptotic distribution of the OVR statistic, which depends on the characteristic exponent, can be estimated using simulation. It is found that the convergence of the distribution of the OVR statistic to its asymptotic limit is extremely slow. Thus, the asymptotic results will not be able to provide any useful approximation in finite samples. To facilitate the OVR statistic as a test for the random walk hypothesis, the tail quantiles are estimated for several finite sample sizes.
Download or read book Unit Root Tests in Time Series Volume 2 written by K. Patterson and published by Springer. This book was released on 2012-07-05 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.
Download or read book Financial Econometrics written by Oliver Linton and published by Cambridge University Press. This book was released on 2019-02-21 with total page 585 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thorough exploration of the models and methods of financial econometrics by one of the world's leading financial econometricians and is for students in economics, finance, statistics, mathematics, and engineering who are interested in financial applications. Based on courses taught around the world, the up-to-date content covers developments in econometrics and finance over the last twenty years while ensuring a solid grounding in the fundamental principles of the field. Care has been taken to link theory and application to provide real-world context for students. Worked exercises and empirical examples have also been included to make sure complicated concepts are solidly explained and understood.
Download or read book A Non Random Walk Down Wall Street written by Andrew W. Lo and published by Princeton University Press. This book was released on 2011-11-14 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future. The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management.
Download or read book Statistical Methods and Non standard Finance written by Andrew W. Lo and published by Edward Elgar Publishing. This book was released on 2007 with total page 648 pages. Available in PDF, EPUB and Kindle. Book excerpt: A selection of published articles in the field of financial econometrics. Starting with a review of the philosophical background, this collection covers such topics as the random walk hypothesis, long-memory processes, asset pricing, arbitrage pricing theory, variance bounds tests, term structure models, and market microstructure.
Download or read book Essentials of Statistics for the Behavioral Sciences written by Susan A. Nolan and published by Macmillan. This book was released on 2010-02-12 with total page 584 pages. Available in PDF, EPUB and Kindle. Book excerpt: Enables students to learn how to choose the appropriate statistical test, understand its conceptual significance, and calculate each statistics. The text teaches students to apply concepts and formulas to statistical questions that they will encounter both in their academic lives and outside the classroom.
Download or read book Statistics for the Behavioral Sciences written by Susan A. Nolan and published by Macmillan. This book was released on 2011-02 with total page 710 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nolan and Heinzen’s engaging introduction to statistics has captivated students with its easy readability and vivid examples drawn from everyday life. The mathematics of statistical reasoning are made accessible with careful explanations and a helpful three-tier approach to working through exercises: Clarifying the Concepts, Calculating the Statistics, and Applying the Concepts. New pedagogy, end-of-chapter material, and the groundbreaking learning space StatsPortal give students even more tools to help them master statistics than ever before.
Download or read book Algorithmic Finance A Companion To Data Science written by Christopher Hian-ann Ting and published by World Scientific. This book was released on 2022-05-05 with total page 409 pages. Available in PDF, EPUB and Kindle. Book excerpt: Why is data science a branch of science? Is data science just a catchy rebranding of statistics?Data science provides tools for statistical analysis and machine learning. But, as much as application problems without tools are lame, tools without application problems are vain. Through example after example, this book presents the algorithmic aspects of statistics and show how some of the tools are applied to answer questions of interest to finance.This book champions a fundamental principle of science — objective reproducibility of evidence independently by others. From a companion web site, readers can download many easy-to-understand Python programs and real-world data. Independently, readers can draw for themselves the figures in the book. Even so, readers are encouraged to run the statistical tests described as examples to verify their own results against what the book claims.This book covers some topics that are seldom discussed in other textbooks. They include the methods to adjust for dividend payment and stock splits, how to reproduce a stock market index such as Nikkei 225 index, and so on. By running the Python programs provided, readers can verify their results against the data published by free data resources such as Yahoo! finance. Though practical, this book provides detailed proofs of propositions such as why certain estimators are unbiased, how the ubiquitous normal distribution is derived from the first principles, and so on.This see-for-yourself textbook is essential to anyone who intends to learn the nuts and bots of data science, especially in the application domain of finance. Advanced readers may find the book helpful in its mathematical treatment. Practitioners may find some tips from the book on how an ETF is constructed, as well as some insights on a novel algorithmic framework for pair trading to generate statistical arbitrage.
Download or read book Understanding Bioinformatics written by Marketa J. Zvelebil and published by Garland Science. This book was released on 2008 with total page 804 pages. Available in PDF, EPUB and Kindle. Book excerpt: Suitable for advanced undergraduates & postgraduates, this book provides a definitive guide to bioinformatics. It takes a conceptual approach & guides the reader from first principles through to an understanding of the computational techniques & the key algorithms.
Download or read book Mathematical Reviews written by and published by . This book was released on 2004 with total page 1524 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Psychiatric and Cognitive Disorders in Parkinson s Disease written by Sergio E. Starkstein and published by Cambridge University Press. This book was released on 2002-06-13 with total page 554 pages. Available in PDF, EPUB and Kindle. Book excerpt: A clear, comprehensive and practical account of the emotional and cognitive aspects of Parkinson's disease.
Download or read book Economie Internationale written by and published by . This book was released on 2009 with total page 582 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Research Methods for the Behavioral Sciences written by Gregory J. Privitera and published by SAGE Publications. This book was released on 2015-12-09 with total page 1038 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Second Edition of the award-winning Research Methods for the Behavioral Sciences employs a problem-focused approach that fully integrates the decision tree—from choosing a research design to conducting statistical analysis and communicating results. With a conversational, student-friendly writing style, Gregory J. Privitera shows how methods and analysis work together and enable the testing of hypotheses through use of the scientific method. Outstanding pedagogy, current examples, and robust resources empower students to approach their study and application of research methods with confidence.
Download or read book Learning Statistics Using R written by Randall E. Schumacker and published by SAGE Publications. This book was released on 2014-01-28 with total page 648 pages. Available in PDF, EPUB and Kindle. Book excerpt: Providing easy-to-use R script programs that teach descriptive statistics, graphing, and other statistical methods, Learning Statistics Using R shows readers how to run and utilize R, a free integrated statistical suite that has an extensive library of functions. Randall E. Schumacker’s comprehensive book describes in detail the processing of variables in statistical procedures. Covering a wide range of topics, from probability and sampling distribution to statistical theorems and chi-square, this introductory book helps readers learn not only how to use formulae to calculate statistics, but also how specific statistics fit into the overall research process. Learning Statistics Using R covers data input from vectors, arrays, matrices and data frames, as well as the input of data sets from SPSS, SAS, STATA and other software packages. Schumacker’s text provides the freedom to effectively calculate, manipulate, and graphically display data, using R, on different computer operating systems without the expense of commercial software. Learning Statistics Using R places statistics within the framework of conducting research, where statistical research hypotheses can be directly addressed. Each chapter includes discussion and explanations, tables and graphs, and R functions and outputs to enrich readers′ understanding of statistics through statistical computing and modeling.
Download or read book Computational Statistics in the Earth Sciences written by Alan D. Chave and published by Cambridge University Press. This book was released on 2017-10-19 with total page 467 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book combines theoretical underpinnings of statistics with practical analysis of Earth sciences data using MATLAB. Supplementary resources are available online.
