In this research note, we review 35 recent articles in leading accounting journals that performed a logistic regression or a standard linear regression analysis based on OLS for a binary dependent variable. Our review shows that many of these articles have ambiguities and even outright errors in...

This article includes a description of the ARCH, GARCH, and EGARCH models and the estimation of their parameters using maximum likelihood. An alternative model is proposed for the analysis of financial series and used to study price and returns series for Gillette stock. The choice of models...

We examine moving average (MA) filters for estimating the integrated variance (IV) of a financial asset price in a framework where high-frequency price data are contaminated with market microstructure noise. We show that the sum of squared MA residuals must be scaled to enable a suitable...

Empirical investigations regarding ratio-based modelling of corporate collapse have been on going for decades. With any study of an empirical nature, a data sample is a necessary prerequisite. It allows testing the performance of the prediction model, thereby establishing its practical...

Market risk can be described as potential losses in portfolio value caused by price changes in the investor's portfolio. Value-at-Risk (VaR) quantifies a loss bound that cannot be exceeded with a specified probability at a given time horizon, i.e., a quantile of the portfolio's loss...

Until recently, since Jobson amp; Korkie (1981) derivations of the asymptotic distribution of the Sharpe ratio that are practically useable for generating confidence intervals or for conducting one- and two-sample hypothesis tests have relied on the restrictive, and now widely refuted,...

Financial market volatility is an important input for investment, option pricing and financial market regulation. In this review article, we compare the volatility forecasting findings in 93 papers published and written in the last two decades. This article is written for general readers in...

The program Mathematica (see info@wri.com) is being discovered by economists. The present author makes available a number of his programs written in Mathematica over the last few years. These help to provide a working and teaching environment. This present report only generally indicates the...

In this paper we combine the Symbolic Time Series methods (Daw et. al., 2003) with the nearest neighbour single linkage clustering algorithm (Mantegna, 1999) to describe dynamics and structure of a set of stocks. We start with a partition of the time series state space; we label each piece of the...

This paper provides an interpretation of the uncertainty that exists at the beginning of the day of an election as to who will win. It is based on the theory that there are a number of possible conditions of nature that can exist on election day, of which one is drawn. Political betting markets...