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Mean reversion in stock prices: new evidence from panel unit root tests
Narayan, Paresh; Narayan, Seema - 2007
Purpose – There are several studies that investigate evidence for mean reversion in stock prices. However, there is no consensus as to whether stock prices are mean reverting or random walk (unit root) processes. The goal of this paper is to re-examine mean reversion in stock prices....
Persistent link: https://www.econbiz.de/10009483709
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The research of usage of shares valuation models for stock market predictability in Vilnius stock exchange
Jagminas, Lauras - 2008
The purpose of this diploma paper is to choose the most suitable methods and models of stock market predictability … after the evaluation of the peculiarities of Lithuanian’s and perform the research of stock price predictability. This … predictability are analysed in the first chapter of this work. The methodology of predictability research of Lithuanian’s stock …
Persistent link: https://www.econbiz.de/10009478732
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Economic significance of predictability in Australian equities
Gray, P. - 2008
This paper examines evidence of predictability in Australian equities using both statistical and economic metrics of … significance. A probit-based predictive model is used to forecast the probability that the 1 month ahead excess market return will … economically significant degree of return predictability. A $A1 investment in the switching strategy (market) in January 1980 grows …
Persistent link: https://www.econbiz.de/10009448712
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The relationship between the annualised volatility and correlation of G7 ten-year bond returns
Hollander, Martin B. L.; Faculty of Business - University of Western Sydney, Nepean - 1999
evidence provided clearly indicates that because correlations amongst G7 currency-hedged bond returns are high, the … relationship between bond volatility and correlation of returns has limited benefits for portfolio managers and traders. As a …The purpose of this thesis is to investigate the relationship between the annualised volatility and correlation of G7 …
Persistent link: https://www.econbiz.de/10009481952
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Design unbiased estimation in line intersect sampling using segmented transects.
Affleck, David L.R.; Gregoire, Timothy G.; Valentine, … - 2005
configuration. The relationship between the transect configuration and the selection probability of a population element is …
Persistent link: https://www.econbiz.de/10009429541
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Current nuclear industry practices with regard to the integration of surveillances
Stewart, M.; Smith, C. - 2008
Commercial nuclear industry practices regarding the integration of technical specification (TS) surveillance and maintenance activities are identified in this report. A questionnaire was developed and used to obtain current industry practices from NRC Regional personnel and INEL engineers with...
Persistent link: https://www.econbiz.de/10009436767
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Rural financial markets in Tanzania:an analysis of access to financial services in Babati district, Manyara region
Bee, Faustine Karrani - 2007
Tanzania is among the poorest countries in the world, with most of its population living in rural areas. Like most other developing countries, rural households' access to financial services is very limited. The government has adopted series of economic reform measures since mid-1980s that...
Persistent link: https://www.econbiz.de/10009457708
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Asymmetrry and time variation in exchange rate exposure: An investigation of Australian stocks returns
Brooks, R; Di Iorio, A; Faff, R; Fry, T; Joymungul, Y - 2010
Purpose - The purpose of this paper is to provide some insights into the exchange rate exposure of Australian stock returns. Design/methodology/approach - Using a dynamic econometric approach that allows for both asymmetry and time-varying risk exposures in both the exchange rate variable and...
Persistent link: https://www.econbiz.de/10009481764
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Methods for developing and validating survivability distributions
Williams, R.L. - 2008
A previous report explored and discussed statistical methods and procedures that may be applied to validate the survivability of a complex system of systems that cannot be tested as an entity. It described a methodology where Monte Carlo simulation was used to develop the system survivability...
Persistent link: https://www.econbiz.de/10009435451
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Statistical validation of system models
Barney, P.; Ferregut, C.; Perez, L.E.; Hunter, N.F.; … - 2009
statistics of interest of the system. These same measures of behavior are estimated for the mathematical model. The statistics of … interest from the mathematical model are located relative to the confidence intervals for the statistics obtained from the …
Persistent link: https://www.econbiz.de/10009436156