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2013 | 5 | nr 4 | 231--248
Tytuł artykułu

Lies, Damned Lies, and Statistics? Examples From Finance and Economics

Autorzy
Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
Reliable data analysis is one of the hardest tasks in sciences and social sciences. Often misleading and sometimes puzzling results arise when the analysis is done without regard for the special features of the data. In this exposition, I will focus on designing new statistical tools to deal with some prominent questions in Finance and Economics. In particular, I will talk about the following. (1) How to characterize the randomness of variables, motivated by a problem in the pricing of financial options. (2) Uncovering the relation between interest rates on different maturities, now and in the future; the "term structure of interest rates". (3) Modelling the unconventional nonlinear long-memory dynamics that arise from a general-equilibrium economic model, and their implications for exchange rates, stock market indexes, and all macroeconomic variables; with recommendations for trading in financial markets, but also for the design of macroeconomic stabilization policies by governments. (original abstract)
Rocznik
Tom
5
Numer
Strony
231--248
Opis fizyczny
Twórcy
  • Imperial College London
Bibliografia
  • [1] Abadir, K. M. (2011). Is the economic crisis over (and out)? Review of Economic Analysis, 3, 102-108.
  • [2] Abadir, K. M. and C. V. Atanasova (2013). Where (and by how much) does a theory break down? With an application to the expectation hypothesis. Mimeo., Imperial College London.
  • [3] Abadir, K. M., G. Caggiano, and G. Talmain (2013). Nelson-Plosser revisited: the ACF approach. Journal of Econometrics, 175, 22-34.
  • [4] Abadir, K. M. and M. Rockinger (2003). Density functionals, with an option- pricing application. Econometric Theory, 19, 778-811.
  • [5] Abadir, K. M. and G. Talmain (2002). Aggregation, persistence and volatility in a macro model. Review of Economic Studies, 60, 740-770.
  • [6] Abadir, K. M. and G. Talmain (2011). The unconventional dynamics of economic and financial aggregates. Chapter 8 in: A. Ullah and D. E. A. Giles (eds.) Handbook of Empirical Economics and Finance. Chapman & Hall/CRC.
  • [7] Ait-Sahalia, Y. (1006). Testing continuous-time models of the spot interest rate. Review of Financial. Studies, 0, 385 426.
  • [8] Beber, A., F. Breedon, and A. Buraschi (2010). Difference in beliefs and currency risk premia. Journal of Financial Economics, 08, 415-438.
  • [9] Black, F. and M. Scholes (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637 650.
  • [10] Buraschi, A., F. Trojani, and A. Vedolin (2013). Economic uncertainty, disagreement, and credit markets. Management Science, forthcoming.
  • [11] Campbell, J. Y. (1086). A defense of traditional hypotheses about the term structure of interest rates. Journal of Finance, 41, 180-103.
  • [12] Cavaliere, G. (2001). Testing the unit root hypothesis using generalized range statistics. Econometrics Journal, 4, 70-88.
  • [13] De Bondt, W. F. M. and R. Thaler (1085). Does the stock market overreact? Journal of Finance, 40, 703-808.
  • [14] De Bondt, W. F. M. and R. Thaler (1087). Further evidence on investor overreaction and stock market seasonality. Journal of Finance, 42, 557-581.
  • [15] Garman, M. and S. Kolilhagen (1083). Foreign currency option values. Journal of International Money and Finance, 2, 231-238.
  • [16] Jegadeesh, N. and S. Titman (1993). Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance, 48, 65-91.
  • [17] Jegadeesh, N. and S. Titman (2001). Profitability of momentum strategies: an evaluation of alternative explanations. Journal of Finance, 56, 699-720.
  • [18] Light, R. J., J. D. Singer, and J. B. Willett (1990). By Design. Harvard University Press.
  • [19] Lo, A. W. (1991). Long-term memory in stock market prices. Econometrica, 59, 1279-313.
  • [20] Moskowitz, T. J., Y. H. Ooi, and L. H. Pedersen (2012). Time series momentum. Journal of Financial Economics, 104, 228-250.
  • [21] Talmain, G. (2006) Stock market valuation and monopolistic competition: a dynamic stochastic general equilibrium approach. Working paper, University of Glasgow.
  • [22] Vuong, Q. H. (1989). Likelihood ratio tests for model selection and non-nested hypotheses. Econometrica, 57, 307-333.
Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.ekon-element-000171258973

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