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Parametric Pricing of Higher Order Moments in S&P500 Options.
Lim, G.C.; Martin, G.M.; Martin, V.L. - Department of Econometrics and Business Statistics, … - 2002
A general parametric framework is developed for pricing S&P500 options. Skewness and leptokurtosis in stock returns as …
Persistent link: https://www.econbiz.de/10005087577
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The Predictive Approach to Teaching Statistics.
McLean, A. - Department of Econometrics and Business Statistics, … - 1999
. For a nominal variable, the quality of a prediction is measured by the probability of error; for a numeric variable, it is …Statistics is commonly taught as a set of techniques to aid in decision making, by extracting information from data. It … establish a set of probability models which can be used to predict values of one or more variables. Such a model constitutes …
Persistent link: https://www.econbiz.de/10005149116
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Testing for Serial Correlation in the of Dynamic Heteroscedasticity.
Silvapulle, P.; Evans, M. - Department of Econometrics and Business Statistics, … - 1996
The main objective of this study is to investigate the rebustness of the popular Durbin-Watson (DW), Langrage multiplier (LM), Box-Pierce (BP) and Ljung-Box (LB) tests and their corrected versions against autoregressive distrurbances in the presence of dynamic heteroscedastic disturbances with...
Persistent link: https://www.econbiz.de/10005581120
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Aggregation and Cointegration.
Korosi, G.; Longmire, R.; Matyas, L. - Department of Econometrics and Business Statistics, … - 1996
properties of test statistics for cointegration when the aggregate data consists of heterogeneous individuals. …
Persistent link: https://www.econbiz.de/10005427607
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Residual Diagnostic Plots for Checking for model Mis-Specification in Time Series Regression.
Fraccaro, R.; Hyndman, R.; Veevers, A. - Department of Econometrics and Business Statistics, … - 1998
conditional residuals. When used together, these residuals allow identification of outliers, model mis-specification and mean …
Persistent link: https://www.econbiz.de/10005581126
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A Test to Compare two Related Stationary Time Series.
Maharaj, A.; Inder, B. - Department of Econometrics and Business Statistics, … - 1996
In this paper we present a test statistic, which will be used to test for significant differences between generating processes of two time series that may be logically connected. The test statistic is based on the differences between estimated parameters of the autoregressive models which are...
Persistent link: https://www.econbiz.de/10005427632
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Fractional Cointegration : Bayesian Inferences Using a Jeffreys Prior.
Martin, G.M. - Department of Econometrics and Business Statistics, … - 1997
The concept of fractional cointegration, whereby deviations from an equilibrium relationship follow a fractionally integrated process, has attracted some attention of late. The extended concept allows cointegration to be associated with mean reversion in the error, rather than requiring the more...
Persistent link: https://www.econbiz.de/10005149058
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The Kuznets U-Curve Hypothesis: Some Panel Data Evidence.
Matyas, L.; Konya, L.; Macquarie, L. - Department of Econometrics and Business Statistics, … - 1997
In this paper Kuznets' U-Curve hypothesis is tested on two unbalanced panel data sets of 47 and 62 countries, for the period 1970-93, using two-way fixed and random effects models. Several competing model specifications are estimated and the one best fitting the data is selected by appropriate...
Persistent link: https://www.econbiz.de/10005581110
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Prediction Intervals for Arima Models
Snyder, R.D.; Ord, J.K.; Koehler, A.B. - Department of Econometrics and Business Statistics, … - 1997
prediction intervals which incorporate an allowance for sampling error associated with parameter estimates. The effect of …The problem of constructing prediction intervals for linear time series (ARIMA) models is examined. The aim is to find …
Persistent link: https://www.econbiz.de/10005581130
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Analytic Small Sample Bias and Standard Error Calculations for Tests of Serial Correlation in Market Returns.
Smith, M.; Naik, N.Y. - Department of Econometrics and Business Statistics, … - 1997
This article derives analystic finite sample approximations to the bias and standard error of a class of statistics … which test the hypothesis of no serial correlation in market returns. They offer an alternative to both the widely used …
Persistent link: https://www.econbiz.de/10005581156