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Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk

Bianchi, Robert John - 2007

heteroscedasticity and autocorrelation in asset returns are the primary sources of test mis-specification in these linearity …-in-the-mean hypothesis tests. To address this problem, an innovative approach is proposed to control heteroscedasticity and autocorrelation … the theme of the previous two studies, the effects of heteroscedasticity and autocorrelation are examined in the portfolio …

Persistent link: https://www.econbiz.de/10009437793

Time series analysis : textbook for students of economics and business administration ; [part 2]

Strohe, Hans Gerhard - 2004

Persistent link: https://www.econbiz.de/10009449118

Unit Root Tests in Time Series and Stochastic Volatility Models

Sen, Kapildeb - 2002

Providing appropriate forecasts of time series data into the future depends crucially on whether the time series under consideration is non-stationary (i.e. has a unit root) or stationary. In the context of a Stochastic Volatility Model (SVM), the presence of a unit root in financial data has...

Persistent link: https://www.econbiz.de/10009431184

Unit Root Tests and Structural Breaks: A Survey with Applications

Glynn, J.; Perera, N.; Verma, R. - 2007

The theme of unit roots in macroeconomic time series have received a great amount of attention in terms of theoretical and applied research over the last three decades. Since the seminal work by Nelson and Plosser (1982), testing for the presence of a unit root in the time series data has become...

Persistent link: https://www.econbiz.de/10009457331

Impact of Economic Reforms on Poverty Indian Experience

Vadlamannati, Krishna Chaitanya - 2008

The purpose of this study is to investigate the impact of economic reforms on poverty levels in India during the period 1975 - 2006. We construct a comprehensive measure of economic reforms index made up of seven subcomponents and percentage of population living below poverty line is used as...

Persistent link: https://www.econbiz.de/10009477389

Has the stock market integration between the Asian and OECD countries improved after the Asian crisis?

Mallik, Girijasankar - University of Western Sydney; College of Business; … - 2006

In recent years the world economy has become closely integrated due to increasing trade and financial capital flows across countries. In this study we investigate the cointegrating relationships between the stock price indices of 7 emerging Asian economies (Malaysia, South Korea, Singapore,...

Persistent link: https://www.econbiz.de/10009481918

Testing the Order of Integration with Low Power Tests. An Application to Argentine Macro-variables

Carrera, Jorge Eduardo; Feliz, Mariano; Panigo, Demian - 2003

The low power of available econometric tests is an important problem in applied research on unit roots and related issues. Based on the principle of methodological triangulation, the problem should be analyzed from different points of view in order to increase the validity of the results....

Persistent link: https://www.econbiz.de/10009445690

Modeling physiological and anthropometric variables known to vary with body size and other confounding variables

Nevill, Alan M.; Bate, Stuart; Holder, Roger L. - 2005

This review explores the most appropriate methods of identifying population differences in physiological and anthropometric variables known to differ with body size and other confounding variables. We shall provide an overview of such problems from a historical point of view. We shall then give...

Persistent link: https://www.econbiz.de/10009458973

Efficiency and productivity analysis in ten Asian banking industries

Shen, Zhi - 2010

measure of determinants or heteroscedasticity. Both cases are considered in the empirical sections of this thesis. In the …

Persistent link: https://www.econbiz.de/10009461100

Conditional variance function checking in heteroscedastic regression models.

Samarakoon, Nishantha Anura - 2011

applicationsexhibit heteroscedasticity. The practical importance of detecting heteroscedasticityin regression analysis is widely …

Persistent link: https://www.econbiz.de/10009464098