Final Exam Financial Data Analysis (6 Credit points/imp Students) March 2, 2006
|
|
- Stewart Cox
- 6 years ago
- Views:
Transcription
1 Dr. Roland Füss Winter Term 2005/2006 Final Exam Financial Data Analysis (6 Credit points/imp Students) March 2, 2006 Note the following important information: 1. The total disposal time is 60 minutes. 2. You have to answer all 3 questions. 3. Allocate your limited time; keep in mind how the points are distributed among the questions. 4. Read the questions and instructions carefully. Good luck! Question 1 (10 points): ARIMA modelling Consider the random variable Y t, which is defined by equation Y t = 0.8Y t-1 + u t with t = 1,,T and a given initial condition Y 0 = 2. For simplicity it is assumed that σ 2 1. a) Calculate the expected values E[Y 1 ] and E[Y 2 ]. b) Determine the variance of Y 1 and the autocovariance of Y 1 and Y 2. c) Determine in short and verbally the approximated mean and variance of Y 100. Thereby, keep in mind that it is about a covariance stationary process. u = Question 2 (20 points): Dickey-Fuller test a) Specify the test design of the simple Dickey-Fuller t-test. Thereby, refer to the terms pure random walk, random walk with drift, and random walk with drift and trend. b) Describe the sequential procedure of the augmented Dickey-Fuller t-test considering the example in the following tables. Page 1 of 5
2 Augmented Dickey-Fuller test - FTSE 100 Null Hypothesis: LFTSE100 has a unit root Exogenous: Constant Lag Length: 0 Augmented Dickey-Fuller test - FTSE 100 Null Hypothesis: D(LFTSE100) has a unit root Exogenous: Constant Lag Length: 0 t-statistic Prob.* t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LFTSE100) Method: Least Squares Date: 03/01/05 Time: 14:12 Sample (adjusted): 1987Q1 2004Q4 Included observations: 72 after adjustments Variable Coefficient Std. Error t-statistic Prob. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LFTSE100,2) Method: Least Squares Date: 03/01/05 Time: 14:19 Sample (adjusted): 1987Q2 2004Q4 Included observations: 71 after adjustments Variable Coefficient Std. Error t-statistic Prob. LFTSE100(-1) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic) D(LFTSE100(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic) Page 2 of 5
3 Question 3 (30 points): ARCH/GARCH modelling The following tables 1 to 9 present the results of volatility estimations for the stock markets of the developing countries Korea, Malaysia and Thailand. The log returns are calculated from daily prices of the corresponding stock market indices taken from Datastream. Describe the several steps of estimation and forecasting GARCH(p,q) models! Furthermore, there exist asymmetric volatility models such as the E- and TGARCH model. What are the differences in comparison to the GARCH(p,q) model. In this context, please explain the leverage effect. Table 1: Normality test of daily returns Indices Period Jarque-Bera test (Korea) *** (Malaysia) , *** (Thailand) *** Table 2: Ljung-Box test of squared returns Indices L=10 L=20 L=40 (Korea) *** *** *** (Malaysia) *** *** *** (Thailand) *** *** *** Note: L = lag length Table 3: Autocorrelation test of squared residuals LB test ARCH-LM test Indices Period L=10 L =20 L=40 L=1 (Korea) *** *** *** *** (Malaysia) *** *** *** *** (Thailand) *** *** *** *** Note: L = lag length Page 3 of 5
4 Parameter ĉ ωˆ ˆα 1 1 ˆβ Table 4: GARCH(p,q) estimations (Korea) (Malaysia) (Thailand) GARCH(1,1) GARCH(2,1) GARCH(1,1) (0.1104) (0.2831) (0.1182) (0.1325) ˆβ 2 - Mean equation (0.1168) Variance equation (0.2938) (0.1446) (0.1219) (0.1094) Note: Semi-robust standard errors in parenthesis (0.1191) (0.1367) (0.0306) (0.0460) - Table 5: Statistical description of the standardized residuals Indices Period Model Mean Std.-dev. Skewness Kurtosis (Korea) GARCH(1,1) (Malaysia) GARCH(2,1) (Thailand) GARCH(1,1) Table 6: Normality test of the standardized residuals Indices Model Jarque-Bera test (Korea) GARCH(1,1) *** (Malaysia) GARCH(2,1) 1, *** (Thailand) GARCH(1,1) *** Page 4 of 5
5 Table 7: Autocorrelation test of squared standardized residuals LB-Test ARCH- LM test Indices Period Model L=10 L =20 L=40 L=1 (Korea) GARCH(1,1) ** (Malaysia) GARCH(2,1) (Thailand) GARCH(1,1) ** Table 8: Estimation results Indices Period Model LogL AIC SIC (Korea) GARCH(1,1) (Malaysia) GARCH(2,1) (Thailand) GARCH(1,1) Table 9: Forecast results Indices Period Model RMSE MAE MAPE TIC (Korea) GARCH(1,1) (Malaysia) GARCH(2,1) (Thailand) GARCH(1,1) TIC = Theil s inequality coefficient Page 5 of 5
BORDEAUX WINE VINTAGE QUALITY AND THE WEATHER ECONOMETRIC ANALYSIS
BORDEAUX WINE VINTAGE QUALITY AND THE WEATHER ECONOMETRIC ANALYSIS WINE PRICES OVER VINTAGES DATA The data sheet contains market prices for a collection of 13 high quality Bordeaux wines (not including
More informationDeterminants of Coffee Export Performance in Ethiopia
Determinants of Coffee Export Performance in Ethiopia Tadese Gebreyesus College of Business and Economics, Department of Economics, Aksum University, Ethiopia, Tadese Gebreyesus Tesfay, Post aksum, university
More informationUSING STRUCTURAL TIME SERIES MODELS For Development of DEMAND FORECASTING FOR ELECTRICITY With Application to Resource Adequacy Analysis
USING STRUCTURAL TIME SERIES MODELS For Development of DEMAND FORECASTING FOR ELECTRICITY With Application to Resource Adequacy Analysis December 31, 2014 INTRODUCTION In this paper we present the methodology,
More informationThe Relationship among Production, Area under Cultivation and the Operation of Tea in Iran
2015, TextRoad Publication ISSN: 2090-4274 Journal of Applied Environmental and Biological Sciences www.textroad.com The Relationship among Production, Area under Cultivation and the Operation of Tea in
More informationLong Memory in Turkish Inflation Rates
Long Memory in Turkish Inflation Rates Haluk Erlat, Department of Economics, Middle East Technical University, E-mail: herlat@metu.edu.tr JEL Codes: E5, C1 Abstract: Inflation in Turkey may have a highly
More informationPanel A: Treated firm matched to one control firm. t + 1 t + 2 t + 3 Total CFO Compensation 5.03% 0.84% 10.27% [0.384] [0.892] [0.
Online Appendix 1 Table O1: Determinants of CMO Compensation: Selection based on both number of other firms in industry that have CMOs and number of other firms in industry with MBA educated executives
More informationComparing R print-outs from LM, GLM, LMM and GLMM
3. Inference: interpretation of results, plotting results, confidence intervals, hypothesis tests (Wald,LRT). 4. Asymptotic distribution of maximum likelihood estimators and tests. 5. Checking the adequacy
More informationEvaluation of univariate time series models for forecasting of coffee export in India
Bulletin of Environment, Pharmacology and Life Sciences Bull. Env. Pharmacol. Life Sci., Vol 6 Special issue [2] 2017: 433-440 2017 Academy for Environment and Life Sciences, India Online ISSN 2277-1808
More informationJournal of Applied Economics
XIII Volume XIII, Number 1, May 2010 Journal of Applied Economics Hakan Berument Afsin Sahin Seasonality in inflation volatility: Evidence from Turkey Edited by the Universidad del CEMA Print ISSN 1514-0326
More informationwine 1 wine 2 wine 3 person person person person person
1. A trendy wine bar set up an experiment to evaluate the quality of 3 different wines. Five fine connoisseurs of wine were asked to taste each of the wine and give it a rating between 0 and 10. The order
More informationThe Sources of Risk Spillovers among REITs: Asset Similarities and Regional Proximity
The Sources of Risk Spillovers among REITs: Asset Similarities and Regional Proximity Zeno Adams EBS Business School Roland Füss EBS Business School ZEW Mannheim Felix Schinder ZEW Mannheim Steinbeis University
More informationThe multivariate piecewise linear growth model for ZHeight and zbmi can be expressed as:
Bi-directional relationships between body mass index and height from three to seven years of age: an analysis of children in the United Kingdom Millennium Cohort Study Supplementary material The multivariate
More informationOnline Appendix to. Are Two heads Better Than One: Team versus Individual Play in Signaling Games. David C. Cooper and John H.
Online Appendix to Are Two heads Better Than One: Team versus Individual Play in Signaling Games David C. Cooper and John H. Kagel This appendix contains a discussion of the robustness of the regression
More informationMultiple Imputation for Missing Data in KLoSA
Multiple Imputation for Missing Data in KLoSA Juwon Song Korea University and UCLA Contents 1. Missing Data and Missing Data Mechanisms 2. Imputation 3. Missing Data and Multiple Imputation in Baseline
More informationProblem Set #3 Key. Forecasting
Problem Set #3 Key Sonoma State University Business 581E Dr. Cuellar The data set bus581e_ps3.dta is a Stata data set containing annual sales (cases) and revenue from December 18, 2004 to April 2 2011.
More informationConnectedness measures via MIDAS SVAR
Connectedness measures via MIDAS SVAR Andrianos E. Tsekrekos Associate Professor tsekrekos@aueb.gr Konstantinos I. Vasileiadis PhD candidate vasileiadis@aueb.gr 1 Methodological approach Our methodological
More informationNot to be published - available as an online Appendix only! 1.1 Discussion of Effects of Control Variables
1 Appendix Not to be published - available as an online Appendix only! 1.1 Discussion of Effects of Control Variables Table 1 in the main text includes a number of additional control variables. We find
More informationFlexible Working Arrangements, Collaboration, ICT and Innovation
Flexible Working Arrangements, Collaboration, ICT and Innovation A Panel Data Analysis Cristian Rotaru and Franklin Soriano Analytical Services Unit Economic Measurement Group (EMG) Workshop, Sydney 28-29
More informationAsymmetric Return and Volatility Transmission in Conventional and Islamic Equities
risks Article Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities Zaghum Umar 1, * and Tahir Suleman 2 1 Suleman Dawood School of Business, Lahore University of Management
More informationMissing Data Treatments
Missing Data Treatments Lindsey Perry EDU7312: Spring 2012 Presentation Outline Types of Missing Data Listwise Deletion Pairwise Deletion Single Imputation Methods Mean Imputation Hot Deck Imputation Multiple
More informationJournal of Economics and Sustainable Development ISSN (Paper) ISSN (Online) Vol.5, No.5, 2014
Impact of trade reform on coffee in Tanzania: A time series Analysis John Kingu Mohanlal Sukhadia University Centre of Study: Birla Institute of Management Technology (BIMTECH), Plot No. 5, Knowledge Park-II,
More informationAJAE Appendix: Testing Household-Specific Explanations for the Inverse Productivity Relationship
AJAE Appendix: Testing Household-Specific Explanations for the Inverse Productivity Relationship Juliano Assunção Department of Economics PUC-Rio Luis H. B. Braido Graduate School of Economics Getulio
More informationGail E. Potter, Timo Smieszek, and Kerstin Sailer. April 24, 2015
Supplementary Material to Modelling workplace contact networks: the effects of organizational structure, architecture, and reporting errors on epidemic predictions, published in Network Science Gail E.
More informationLiquidity and Risk Premia in Electricity Futures Markets
Liquidity and Risk Premia in Electricity Futures Markets IAEE Conference, Singapore, June 2017 Ivan Diaz-Rainey Associate Professor of Finance & Co-Director of the Otago Energy Research Centre (OERC) With
More informationImputation of multivariate continuous data with non-ignorable missingness
Imputation of multivariate continuous data with non-ignorable missingness Thais Paiva Jerry Reiter Department of Statistical Science Duke University NCRN Meeting Spring 2014 May 23, 2014 Thais Paiva, Jerry
More informationAnalysis of Trends and Forecasts. In Coffee Prices and Consumer Consumption. In the Northeast and United States
Analysis of Trends and Forecasts In Coffee Prices and Consumer Consumption In the Northeast and United States by D, Bonnell University of Delaware Newarh DE U. C. Toensmeyer University of Delaware Newark,
More information2 nd Midterm Exam-Solution
2 nd Midterm Exam- اس تعن ابهلل وكن عىل يقني بأ ن لك ما ورد يف هذه الورقة تعرفه جيدا وقد تدربت عليه مبا فيه الكفاية Question #1: Answer the following with True or False: 1. The non-parametric input modeling
More informationHybrid ARIMA-ANN Modelling for Forecasting the Price of Robusta Coffee in India
International Journal of Current Microbiology and Applied Sciences ISSN: 2319-7706 Volume 6 Number 7 (2017) pp. 1721-1726 Journal homepage: http://www.ijcmas.com Original Research Article https://doi.org/10.20546/ijcmas.2017.607.207
More informationTable A.1: Use of funds by frequency of ROSCA meetings in 9 research sites (Note multiple answers are allowed per respondent)
Appendix Table A.1: Use of funds by frequency of ROSCA meetings in 9 research sites (Note multiple answers are allowed per respondent) Daily Weekly Every 2 weeks Monthly Every 3 months Every 6 months Total
More informationTariff Endogeneity: Effects of Export Price of Desiccated Coconuts on Edible Oil Market in Sri Lanka
Tropical Agricultural Research Vol. 25 (4): 376 386 (2014) Tariff Endogeneity: Effects of Export Price of Desiccated Coconuts on Edible Oil Market in Sri Lanka K.V.N.N. Jayalath * and J. Weerahewa 1 Postgraduate
More informationSTOCHASTIC LONG MEMORY IN TRADED GOODS PRICES
STOCHASTIC LONG MEMORY IN TRADED GOODS PRICES John T. Barkoulas Department of Economics Boston College Chestnut Hill, MA 02167 USA tel. 617-552-3682 fax 617-552-2308 email: barkoula@bcaxp1.bc.edu Christopher
More informationBusiness Statistics /82 Spring 2011 Booth School of Business The University of Chicago Final Exam
Business Statistics 41000-81/82 Spring 2011 Booth School of Business The University of Chicago Final Exam Name You may use a calculator and two cheat sheets. You have 3 hours. I pledge my honor that I
More informationNIDHI DWIVEDY. Guest Faculty-Central University of Rajasthan
APPLICATION OF SARIMA MODEL IN CARDAMOM (LARGE) PRICE FORECAST IN GANGTOK MARKET NIDHI DWIVEDY Guest Faculty-Central University of Rajasthan E-mail: nidhidwivedy@yahoo.com Abstract Purpose The price behaviour
More informationThe R survey package used in these examples is version 3.22 and was run under R v2.7 on a PC.
CHAPTER 7 ANALYSIS EXAMPLES REPLICATION-R SURVEY PACKAGE 3.22 GENERAL NOTES ABOUT ANALYSIS EXAMPLES REPLICATION These examples are intended to provide guidance on how to use the commands/procedures for
More informationSTAT 5302 Applied Regression Analysis. Hawkins
Homework 3 sample solution 1. MinnLand data STAT 5302 Applied Regression Analysis. Hawkins newdata
More informationMissing value imputation in SAS: an intro to Proc MI and MIANALYZE
Victoria SAS Users Group November 26, 2013 Missing value imputation in SAS: an intro to Proc MI and MIANALYZE Sylvain Tremblay SAS Canada Education Copyright 2010 SAS Institute Inc. All rights reserved.
More informationDETERMINANTS OF GROWTH
POLICY OPTIONS AND CHALLENGES FOR DEVELOPING ASIA PERSPECTIVES FROM THE IMF AND ASIA APRIL 19-20, 2007 TOKYO DETERMINANTS OF GROWTH IN LOW-INCOME ASIA ARI AISEN INTERNATIONAL MONETARY FUND Paper presented
More informationActivity 10. Coffee Break. Introduction. Equipment Required. Collecting the Data
. Activity 10 Coffee Break Economists often use math to analyze growth trends for a company. Based on past performance, a mathematical equation or formula can sometimes be developed to help make predictions
More informationRelationships Among Wine Prices, Ratings, Advertising, and Production: Examining a Giffen Good
Relationships Among Wine Prices, Ratings, Advertising, and Production: Examining a Giffen Good Carol Miu Massachusetts Institute of Technology Abstract It has become increasingly popular for statistics
More informationONLINE APPENDIX APPENDIX A. DESCRIPTION OF U.S. NON-FARM PRIVATE SECTORS AND INDUSTRIES
ONLINE APPENDIX APPENDIX A. DESCRIPTION OF U.S. NON-FARM PRIVATE SECTORS AND INDUSTRIES 1997 NAICS Code Sector and Industry Title IT Intensity 1 IT Intensity 2 11 Agriculture, forestry, fishing, and hunting
More informationSTA Module 6 The Normal Distribution
STA 2023 Module 6 The Normal Distribution Learning Objectives 1. Explain what it means for a variable to be normally distributed or approximately normally distributed. 2. Explain the meaning of the parameters
More informationSTA Module 6 The Normal Distribution. Learning Objectives. Examples of Normal Curves
STA 2023 Module 6 The Normal Distribution Learning Objectives 1. Explain what it means for a variable to be normally distributed or approximately normally distributed. 2. Explain the meaning of the parameters
More informationDeterminants for Contribution of Pineapple Growers for Export Volume in Gampaha District in Sri Lanka
Current Agriculture Research Journal Vol. 4(1), 69-73 (2016) Determinants for Contribution of Pineapple Growers for Export Volume in Gampaha District in Sri Lanka R.A.D.S. Rupasinghe* 1, H.A.S.L. Jayasinghe
More informationTransportation demand management in a deprived territory: A case study in the North of France
Transportation demand management in a deprived territory: A case study in the North of France Hakim Hammadou and Aurélie Mahieux mobil. TUM 2014 May 20th, 2014 Outline 1) Aim of the study 2) Methodology
More informationRelation between Grape Wine Quality and Related Physicochemical Indexes
Research Journal of Applied Sciences, Engineering and Technology 5(4): 557-5577, 013 ISSN: 040-7459; e-issn: 040-7467 Maxwell Scientific Organization, 013 Submitted: October 1, 01 Accepted: December 03,
More informationNapa Highway 29 Open Wineries
4 5 6 7 8 9 35 4 45 5 55 Sonoma State University Business 58-Business Intelligence Problem Set #6 Key Dr. Cuellar Trend Analysis-Analyzing Tasting Room Strategies 1. Graphical Analysis a. Show graphically
More informationAppendix A. Table A1: Marginal effects and elasticities on the export probability
Appendix A Table A1: Marginal effects and elasticities on the export probability Variable PROP [1] PROP [2] PROP [3] PROP [4] Export Probability 0.207 0.148 0.206 0.141 Marg. Eff. Elasticity Marg. Eff.
More informationSugar and Sweeteners Outlook
Sugar and Sweeteners Outlook SSS-251 Jan. 29, 2008 Stephen Haley David Kelch USDA Projects Greater Sugar Production in FY 2008 than FY 2007 Contents U.S. Sugar Mexico Sugar & HFCS EU Sugar Reform Sugar
More informationAppendix A. Table A.1: Logit Estimates for Elasticities
Estimates from historical sales data Appendix A Table A.1. reports the estimates from the discrete choice model for the historical sales data. Table A.1: Logit Estimates for Elasticities Dependent Variable:
More informationLack of Credibility, Inflation Persistence and Disinflation in Colombia
Lack of Credibility, Inflation Persistence and Disinflation in Colombia Second Monetary Policy Workshop, Lima Andrés González G. and Franz Hamann Banco de la República http://www.banrep.gov.co Banco de
More informationGrowth in early yyears: statistical and clinical insights
Growth in early yyears: statistical and clinical insights Tim Cole Population, Policy and Practice Programme UCL Great Ormond Street Institute of Child Health London WC1N 1EH UK Child growth Growth is
More informationMissing Data Methods (Part I): Multiple Imputation. Advanced Multivariate Statistical Methods Workshop
Missing Data Methods (Part I): Multiple Imputation Advanced Multivariate Statistical Methods Workshop University of Georgia: Institute for Interdisciplinary Research in Education and Human Development
More informationeconstor Make Your Publication Visible
econstor Make Your Publication Visible A Service of Wirtschaft Centre zbwleibniz-informationszentrum Economics Moravcová, Michala Working Paper The impact of German macroeconomic data announcements on
More informationValuation in the Life Settlements Market
Valuation in the Life Settlements Market New Empirical Evidence Jiahua (Java) Xu 1 1 Institute of Insurance Economics University of St.Gallen Western Risk and Insurance Association 2018 Annual Meeting
More informationRELATIVE EFFICIENCY OF ESTIMATES BASED ON PERCENTAGES OF MISSINGNESS USING THREE IMPUTATION NUMBERS IN MULTIPLE IMPUTATION ANALYSIS ABSTRACT
RELATIVE EFFICIENCY OF ESTIMATES BASED ON PERCENTAGES OF MISSINGNESS USING THREE IMPUTATION NUMBERS IN MULTIPLE IMPUTATION ANALYSIS Nwakuya, M. T. (Ph.D) Department of Mathematics/Statistics University
More informationOnline Appendix for. To Buy or Not to Buy: Consumer Constraints in the Housing Market
Online Appendix for To Buy or Not to Buy: Consumer Constraints in the Housing Market By Andreas Fuster and Basit Zafar, Federal Reserve Bank of New York 1. Main Survey Questions Highlighted parts correspond
More informationZeitschrift für Soziologie, Jg., Heft 5, 2015, Online- Anhang
I Are Joiners Trusters? A Panel Analysis of Participation and Generalized Trust Online Appendix Katrin Botzen University of Bern, Institute of Sociology, Fabrikstrasse 8, 3012 Bern, Switzerland; katrin.botzen@soz.unibe.ch
More informationFrom VOC to IPA: This Beer s For You!
From VOC to IPA: This Beer s For You! Joel Smith Statistician Minitab Inc. jsmith@minitab.com 2013 Minitab, Inc. Image courtesy of amazon.com The Data Online beer reviews Evaluated overall and: Appearance
More informationGasoline Empirical Analysis: Competition Bureau March 2005
Gasoline Empirical Analysis: Update of Four Elements of the January 2001 Conference Board study: "The Final Fifteen Feet of Hose: The Canadian Gasoline Industry in the Year 2000" Competition Bureau March
More informationReturn to wine: A comparison of the hedonic, repeat sales, and hybrid approaches
Return to wine: A comparison of the hedonic, repeat sales, and hybrid approaches James J. Fogarty a* and Callum Jones b a School of Agricultural and Resource Economics, The University of Western Australia,
More informationProtest Campaigns and Movement Success: Desegregating the U.S. South in the Early 1960s
Michael Biggs and Kenneth T. Andrews Protest Campaigns and Movement Success: Desegregating the U.S. South in the Early 1960s American Sociological Review SUPPLEMENT This supplement describes the results
More informationINSTITUTE AND FACULTY OF ACTUARIES CURRICULUM 2019 SPECIMEN SOLUTIONS. Subject CS1B Actuarial Statistics
INSTITUTE AND FACULTY OF ACTUARIES CURRICULUM 2019 SPECIMEN SOLUTIONS Subject CS1B Actuarial Statistics Question 1 (i) # Data entry before
More informationDiscussion Papers. John Beirne Guglielmo Maria Caporale Marianne Schulze-Ghattas Nicola Spagnolo
Deutsches Institut für Wirtschaftsforschung www.diw.de Discussion Papers 942 John Beirne Guglielmo Maria Caporale Marianne Schulze-Ghattas Nicola Spagnolo Global and Regional Spillovers in Emerging Stock
More informationAppendix Table A1 Number of years since deregulation
Appendix Table A1 Number of years since deregulation This table presents the results of -in-s models incorporating the number of years since deregulation and using data for s with trade flows are above
More informationUpdate to A Comprehensive Look at the Empirical Performance of Equity Premium Prediction
Update to A Comprehensive Look at the Empirical Performance of Equity Premium Prediction Amit Goyal UNIL Ivo Welch UCLA September 17, 2014 Abstract This file contains updates, one correction, and links
More informationEestimated coefficient. t-value
Table 1: Estimated wage curves for men, 1983 2009 Dependent variable: log (real wage rate) Dependent variable: log real wage rate Men 1983-2009 Men, 1983-2009 Rendom-effect Fixed-effect z-vae t-vae Men
More informationFlexible Imputation of Missing Data
Chapman & Hall/CRC Interdisciplinary Statistics Series Flexible Imputation of Missing Data Stef van Buuren TNO Leiden, The Netherlands University of Utrecht The Netherlands crc pness Taylor &l Francis
More informationCredit Supply and Monetary Policy: Identifying the Bank Balance-Sheet Channel with Loan Applications. Web Appendix
Credit Supply and Monetary Policy: Identifying the Bank Balance-Sheet Channel with Loan Applications By GABRIEL JIMÉNEZ, STEVEN ONGENA, JOSÉ-LUIS PEYDRÓ, AND JESÚS SAURINA Web Appendix APPENDIX A -- NUMBER
More informationInternet Appendix to. The Price of Street Friends: Social Networks, Informed Trading, and Shareholder Costs. Jie Cai Ralph A.
Internet Appendix to The Price of Street Friends: Social Networks, Informed Trading, and Shareholder Costs Jie Cai Ralph A. Walkling Ke Yang October 2014 1 A11. Controlling for s Logically Associated with
More informationInternet Appendix for CEO Personal Risk-taking and Corporate Policies TABLE IA.1 Pilot CEOs and Firm Risk (Controlling for High Performance Pay)
TABLE IA.1 Pilot CEOs and Firm Risk (Controlling for High Performance Pay) OLS regressions with annualized standard deviation of firm-level monthly stock returns as the dependent variable. A constant is
More informationAcetic acid dissociates immediately in solution. Reaction A does not react further following the sample taken at the end of
SUPPLEMENTAL Table S1. Assumptions made during fitting of the reaction model in Dynochem. ID Assumption A1 Acetic acid dissociates immediately in solution. A2 Reaction A does not react further following
More information*p <.05. **p <.01. ***p <.001.
Table 1 Weighted Descriptive Statistics and Zero-Order Correlations with Fatherhood Timing (N = 1114) Variables Mean SD Min Max Correlation Interaction time 280.70 225.47 0 1095 0.05 Interaction time with
More informationNovember K. J. Martijn Cremers Lubomir P. Litov Simone M. Sepe
ONLINE APPENDIX TABLES OF STAGGERED BOARDS AND LONG-TERM FIRM VALUE, REVISITED November 016 K. J. Martijn Cremers Lubomir P. Litov Simone M. Sepe The paper itself is available at https://papers.ssrn.com/sol3/papers.cfm?abstract-id=364165.
More informationValuing Health Risk Reductions from Air Quality Improvement: Evidence from a New Discrete Choice Experiment (DCE) in China
Valuing Health Risk Reductions from Air Quality Improvement: Evidence from a New Discrete Choice Experiment (DCE) in China Yana Jin Peking University jin.yana@pku.edu.cn (Presenter, PhD obtained in 2017,
More informationAre United Kingdom expenditure data well-behaved?
Journal of Statistical and Econometric Methods, vol.4, no.2, 2015, 1-44 ISSN: 2241-0384 (print), 2241-0376 (online) Scienpress Ltd, 2015 Are United Kingdom expenditure data well-behaved? Graeme Chamberlin
More informationTable S1. Countries and years in sample.
Supplementary Table S1. Countries and years in sample. World region Asia (11 surveys) North- & Middle-East (2 surveys) Sub-Saharan (33 surveys) Latin-America (6 surveys) Country and survey year in parenthesis
More informationSpatial and Temporal Maize Price Analysis in East Africa
Spatial and Temporal Maize Price Analysis in East Africa Sika Gbegbelegbe and Hugo de Groote Socioeconomics Program, CIMMYT, Nairobi, Kenya Selected Poster prepared for presentation at the International
More informationDemand for Coffee: The Role of Prices, Preferences and Market Power
Demand for Coffee: The Role of Prices, Preferences and Market Power Dick Durevall Working Paper in Economics No. 162 Department of Economics School of Economics and Commercial Law Göteborg University February,
More informationCointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing? Mindy L. Mallory and Sergio H. Lence September 17, 2010
Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing? Mindy L. Mallory and Sergio H. Lence September 17, 2010 Cointegration Analysis, Commodity Prices What is cointegration analysis?
More informationThe J-Curve Effect on the Trade Balance in Armenia
International Journal of Economics, Finance and Management Sciences 215; 3(3): 27-278 Published online May 22, 215 (http://www.sciencepublishinggroup.com/j/ijefm) doi: 1.11648/j.ijefm.21533.23 ISSN: 2326-9553
More informationOC Curves in QC Applied to Sampling for Mycotoxins in Coffee
OC Curves in QC Applied to Sampling for Mycotoxins in Coffee Geoff Lyman Materials Sampling & Consulting, Australia Florent S. Bourgeois Materials Sampling & Consulting Europe, France Sheryl Tittlemier
More informationOn-line Appendix for the paper: Sticky Wages. Evidence from Quarterly Microeconomic Data. Appendix A. Weights used to compute aggregate indicators
Hervé LE BIHAN, Jérémi MONTORNES, Thomas HECKEL On-line Appendix for the paper: Sticky Wages. Evidence from Quarterly Microeconomic Data Not intended for publication Appendix A. Weights ud to compute aggregate
More informationPoisson GLM, Cox PH, & degrees of freedom
Poisson GLM, Cox PH, & degrees of freedom Michael C. Donohue Alzheimer s Therapeutic Research Institute Keck School of Medicine University of Southern California December 13, 2017 1 Introduction We discuss
More informationIntegration of Major Agricultural Product Markets of China
Integration of Major Agricultural Product Markets of China Wu Laping College of Economics and Management, China Agricultural University Abstract China s accession to the World Trade Organisation (WTO)
More informationInternational Journal of Research and Review ISSN:
International Journal of Research and Review www.gkpublication.in ISSN: 2349-9788 Original Research Article Trend and Forecasting of Sri Lankan Tea Production N. R. Abeynayake, W. H. E. B. P. Weerapura
More informationTo Save or Savour: A Review of Wine Investment
To Save or Savour: A Review of Wine Investment James J. Fogarty a* and Rohan Sadler ab a School of Agricultural and Resource Economics, The University of Western Australia, Crawley, WA 6009, Australia
More informationPSYC 6140 November 16, 2005 ANOVA output in R
PSYC 6140 November 16, 2005 ANOVA output in R Type I, Type II and Type III Sums of Squares are displayed in ANOVA tables in a mumber of packages. The car library in R makes these available in R. This handout
More informationBuying Filberts On a Sample Basis
E 55 m ^7q Buying Filberts On a Sample Basis Special Report 279 September 1969 Cooperative Extension Service c, 789/0 ite IP") 0, i mi 1910 S R e, `g,,ttsoliktill:torvti EARs srin ITQ, E,6
More informationFaculty of Science FINAL EXAMINATION MATH-523B Generalized Linear Models
Faculty of Science FINAL EXAMINATION MATH-523B Generalized Linear Models Examiner: Professor K.J. Worsley Associate Examiner: Professor A. Vandal Date: Tuesday, April 20, 2004 Time: 14:00-17:00 hours INSTRUCTIONS:
More informationGoogle Search Volume: Influence and Indication for the Dutch Stock Market
Google Search Volume: Influence and Indication for the Dutch Stock Market S. Chen Bachelor Thesis Erasmus University Rotterdam 2011 StudentID: 319847 I Abstract This paper studies the relationship between
More informationStatistics 5303 Final Exam December 20, 2010 Gary W. Oehlert NAME ID#
Statistics 5303 Final Exam December 20, 2010 Gary W. Oehlert NAME ID# This exam is open book, open notes; you may use a calculator. Do your own work! Use the back if more space is needed. There are nine
More informationSummary of Main Points
1 Model Selection in Logistic Regression Summary of Main Points Recall that the two main objectives of regression modeling are: Estimate the effect of one or more covariates while adjusting for the possible
More informationTesting of Efficient Market Hypothesis in the Emerging Capital Markets: Evidence from India
IOSR Journal of Business and Management (IOSR-JBM) e-issn: 2278-487X, p-issn: 239-7668. Volume 4, Issue 3 (Nov. - Dec. 23), PP 49-62 Testing of Efficient Market Hypothesis in the Emerging Capital Markets:
More informationAn Empirical Comparison of Coffee Price Transmission in Vietnam and Colombia
An Empirical Comparison of Coffee Price Transmission in Vietnam and Colombia Xile Li, Graduate Student University of Kentucky, Department of Agricultural Economics 406 Charles E. Barnhart Bldg, Lexington,
More informationThe premium for organic wines
Enometrics XV Collioure May 29-31, 2008 Estimating a hedonic price equation from the producer side Points of interest: - assessing whether there is a premium for organic wines, and which one - estimating
More informationIT 403 Project Beer Advocate Analysis
1. Exploratory Data Analysis (EDA) IT 403 Project Beer Advocate Analysis Beer Advocate is a membership-based reviews website where members rank different beers based on a wide number of categories. The
More informationClimate change may alter human physical activity patterns
In the format provided by the authors and unedited. SUPPLEMENTARY INFORMATION VOLUME: 1 ARTICLE NUMBER: 0097 Climate change may alter human physical activity patterns Nick Obradovich and James H. Fowler
More informationUniversity of El Salvador
University of El Salvador The coffee chain in El Salvador: An approach to the influence on the sustainable development of the Western Region. Gilma Sabina Lizama Gaitán Economist Secuence of exposition
More informationImputation Procedures for Missing Data in Clinical Research
Imputation Procedures for Missing Data in Clinical Research Appendix B Overview The MATRICS Consensus Cognitive Battery (MCCB), building on the foundation of the Measurement and Treatment Research to Improve
More informationScholars Journal of Economics, Business and Management e-issn
DOI: 10.21276/sjebm Scholars Journal of Economics, Business and Management e-issn 2348-5302 Sch J Econ Bus Manag, 2017; 4(8A):463-473 p-issn 2348-8875 SAS Publishers (Scholars Academic and Scientific Publishers)
More information