- Tytuł:
- Lies, Damned Lies, and Statistics? Examples From Finance and Economics
- Autorzy:
- Abadir, Karim M.
- Powiązania:
- https://bibliotekanauki.pl/articles/483313.pdf
- Data publikacji:
- 2013
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
flexible density specification
option pricing
term structure of interest rates
expectation hypothesis
nonlinear long-memory
macroeconomic dynamics - Opis:
- 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.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2013, 5, 4; 231-248
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł