Aggregation of Short-Memory Processes, the Volatility of Stock Market Return Indices and Long Memory PDF Download

Author: Michelle L. Barnes
Publisher:
ISBN: 9780863966347
Category : Stock exchanges
Languages : en
Pages : 68

View

Book Description

Author: Zhongjun Qu
Publisher:
ISBN:
Category :
Languages : en
Pages : 36

View

Book Description
Recently, there has been an upsurge of interest in the possibility of confusing long memory and structural changes in level. Many studies have shown that when a stationary short memory process is contaminated by level shifts the estimate of the fractional differencing parameter is biased away from zero and the autocovariance function exhibits a slow rate of decay, akin to a long memory process. We analyze the properties of the autocorrelation function, the periodogram and the log periodogram estimate of the memory parameter when the level shift component is specified by a simple mixture model. Our theoretical results explain many findings reported and uncover new features. We confront our theoretical predictions using log-squared returns as a proxy for the volatility of some assets returns, including daily Samp;P 500 returns over the period 1928-2002. The autocorrelations and the path of the log periodogram estimates follow patterns that would obtain if the true underlying process was one of short-memory contaminated by level shifts instead of a fractionally integrated process. A simple testing procedure is also proposed, which reinforces this conclusion.

Author: Bent J. Christensen
Publisher:
ISBN:
Category :
Languages : en
Pages :

View

Book Description

Author: Kym Anderson
Publisher: University of Adelaide Press
ISBN: 0980623863
Category : Business & Economics
Languages : en
Pages : 260

View

Book Description
The Economics discipline at the University of Adelaide has a distinguished 100 year history of which the University and the State of South Australia can be proud. Very few other departments, of any discipline in Australian universities, could claim to have a majority of its lecturer appointments rising to full Professor status over a period as long as 1901 to 1995. Nor would many other university departments be able to say they have had five of their graduates win Rhodes Scholarships in the past 12 years.

Author: John B Guerard Jr
Publisher: World Scientific
ISBN: 9811222649
Category : Business & Economics
Languages : en
Pages : 817

View

Book Description
This book introduces the readers to the rapidly growing literature and latest results on financial, fundamental and seasonal anomalies, stock selection modeling and portfolio management. Fifty years ago, finance professors taught the Efficient Markets Hypothesis which states that the average investor could not outperform the stock market based on technical, seasonal and fundamental data. Many, if not most faculty and investors, no longer share that opinion. In this book, the authors report original empirical evidence that applied investment research can produce statistically significant stock selection and excess portfolio returns in the US, and larger excess returns in international and emerging markets.

Author: G. S. Maddala
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 760

View

Book Description
A comprehensive reference work for teaching at graduate level and research in empirical finance. The chapters cover a wide range of statistical and probabilistic methods applied to a variety of financial methods and are written by internationally renowned experts.

Author: Nazibrola Lordkipanidze
Publisher:
ISBN:
Category :
Languages : en
Pages : 296

View

Book Description

Author: Jan Beran
Publisher: Springer Science & Business Media
ISBN: 3642355129
Category : Mathematics
Languages : en
Pages : 892

View

Book Description
Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant.

Author: Gourishankar S. Hiremath
Publisher: Springer Science & Business Media
ISBN: 8132215907
Category : Business & Economics
Languages : en
Pages : 135

View

Book Description
India is one of the major emerging economies of the world and has witnessed tremendous economic growth over the last decades. The reforms in the financial sector were introduced to infuse energy and vibrancy into the process of economic growth. The Indian stock market now has the largest number of listed companies in the world. The phenomenal growth of the Indian equity market and its growing importance in the economy is indicated by the extent of market capitalization and the increasing integration of the Indian economy with the global economy. Various schools of thought explain the behaviour of stock returns. The Efficient Market Theory is the most important theory of the School of Neoclassical Finance based on rational expectation and no-trade argument. The book investigates the growth and efficiency of the Indian stock market in the theoretical framework of the Efficiency Market Hypothesis (EMH). The main objective of the present study is to examine the returns behaviour in the Indian equity market in the changed market environment. A detailed and rigorous analysis, made with the help of the sophisticated time series econometric models, is one of the key elements of this volume. The analysis empirically tests the random walk hypothesis and focuses on issues like nonlinear dynamics, structural breaks and long memory. It uses new and disaggregated data on recent reforms and changes in the market microstructure. The data on various indices including sectoral indices help in measuring the relative efficiency of the market and understanding how liquidity and market capitalization affect the efficiency of the market.

Author: Abraham C.-L. Chian
Publisher: Springer Science & Business Media
ISBN: 3540397531
Category : Business & Economics
Languages : en
Pages : 109

View

Book Description
Statistical analysis of stock markets and foreign exchange markets has demonstrated the intermittent nature of economic time series. A nonlinear model of business cycles is able to simulate intermittency arising from order-chaos and chaos-chaos transitions. This monograph introduces new concepts of unstable periodic orbits and chaotic saddles, which are unstable structures embedded in a chaotic attractor and responsible for economic intermittency.