1,721,022 research outputs found
Statistical Tests for Lyapunov Exponents of Deterministic Systems. Discussion paper No 167
No full textIn order to develop statistical tests for the Lyapunov exponents of deter-\ud
ministic dynamical systems, we develop bootstrap tests based on empirical\ud
likelihood for percentiles and expectiles of strictly stationary processes. The\ud
percentiles and expectiles are estimated in terms of asymmetric least deviations\ud
and asymmetric least squares methods. Asymptotic distributional properties of\ud
the estimators are established
Recent developments of statistical approaches in cost accounting: a review
No full textWe review and simultaneously introduce a convenient statistical concept for the mathematical representation of the Statistical Activity Cost Theory (SACT) introduced by Willett (1987 and 1988). Further, we discuss, and present a critique of, a variety of statistical models with respect to long debated accounting problems, such as the allocation of joint costs and depreciation. We finally propose that taking the effort to combine those models results in a novel statistical accounting system and this is discussed by means of the so-called virtual firm. As it has been shown that any statistical model discussed here outperforms associated deterministic counterparts, this review presents promising outcomes and useful perspectives for the accounting profession
Adaptive orthogonal series estimation in additive stochastic regression models
Full text linkJiti Gao, Howell Tong and Rodney Wolf
Semiparametric approximation methods in multivariate model selection
No full textIn this paper we propose a cross-validation selection criterion to determine asymptotically the correct model among the family of all possible partially linear models when the underlying model is a partially linear model. We establish the asymptotic consistency of the criterion. In addition, the criterion is illustrated using two real sets of data.Jiti Gao, Rodney Wolff and Vo Anhhttp://www.elsevier.com/wps/find/journaldescription.cws_home/622865/description#descriptio
Estimators of integrals of powers of density derivatives
No full textSimple kernel-type estimators of integrals of general powers of general derivatives of probability densities are proposed. They are based on two simple properties, and in many circumstances enjoy optimal convergence rate
BL-GARCH models with elliptical distributed innovations
No full textIn this work, we discuss the class of bilinear GARCH (BL-GARCH) models that are capable of capturing simultaneously two key properties of non-linear time series: volatility clustering and leverage effects. It has often been observed that the marginal distributions of such time series have heavy tails; thus we examine the BL-GARCH model in a general setting under some non-normal distributions. We investigate some probabilistic properties of this model and we conduct a Monte Carlo experiment to evaluate the small-sample performance of the maximum likelihood estimation (MLE) methodology for various models. Finally, within-sample estimation properties were studied using S&P 500 daily returns, when the features of interest manifest as volatility clustering and leverage effects. The main results suggest that the Student-t BL-GARCH seems highly appropriate to describe the S&P 500 daily returns
Does company specific news effect the US, UK, and Australian markets within 60 minutes?
No full textThe efficient market hypothesis states that an efficient market rapidly incorporates all available information into the price of the asset. It has been well established that no market, particularly the stock market, is truly efficient as there are too many traders with differing strategies, and differing access to and interpretation of information. Despite this there is considerable evidence that the stock market does assimilate new information into prices. There has however been little research into the intraday effect of company specific news. In this paper we investigate the intraday effect of company specific news on the US, UK, and Australian markets. We use a scheme to determine whether the markets react to news by determining the likelihood of certain events occurring, and the likelihood of news occurring within 60 minutes of them, and compare the two. We find that there is strong evidence that these markets do react to news within 60 minutes, and indicate which events are most likely to correlate to news
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