In this test, emphasis is placed in the comparison of two measures of variance: the Bipower Variation which is robust to jump contribution and the Realized Variance which includes the contribution of jumps to the total variance. And based on a high frequency data set of exchange rates, a statistically significant test of the difference between these two measures of variance provides evidence on the presence of jumps. ...
e the joint asymptotic distribution of BVt and RVt as M Where And using It can be seen that there is no coincidence of the fact that asymptotically similar to a situation encountered in Hausman’s test in 1978. Asymptotically, RVt is the most efficient estimate of the integrated variance and under the no jumps assumption, BVt is less efficient estimator, therefore the difference of RVt – BVt is independent of RVt on the volatility path following of the Hausman (1978) test. According on Huang and Tauchen (2005), the power of each absolute return should be less than 2 to be robust to jumps for the statistics. With the results from Barndorff-Nielsen and Shephard (2006), Andersen, Bollerslev and Diebold in 2004 used time series to test for daily jumps: Where on the assumption of no jumps: Another test for daily jumps is: The results of research conducted by Andersen, Bollerslev, Diebold and Labys (2001, 2003) and Barndorff-Nielsen and Shephard (2004a) show that the sample performance is improved by basing the test on the logarithm of the variation measures. Therefore the test is: And the maximum adjustment: The logarithmic adjustment to is: And the maximum adjustment is: The OP-versions of these tests are equivalent to the ratio jump of Barndorff-Nielsen and Shephard’s results in 2006. A simple t-test on the Relative Jump measure is: Where the classical estimate of the variance of the mean Another form is: Where : a HAC estimator of the variance of the mean. A bootstrap version is: Where : a bootstrap estimate of the variance of the mean. The Relative Jump can get a bootstrap confidence interval (tlow, tup) for the t test. b) Empirical results: The Monte Carlo findings developed z-tests for performing the jumps in a fairly realistic scenario and analyzed on daily
Literature review 1. BNS 2004 – 2006 a) Theoretical background In order not to require a fully observed state variable as is realized in Ait-Sahalia's approach in 2001, evidence is provided by Barndorff-Nielsen and Shephard (2004a, 2006) of the presence of jumps in higher frequency financial time series…
This academic proposal is being carried out to discover and establish whether the UK stock market is really efficient and to identify the trends in the UK stock market. From having a glimpse at the capital market from all over the world, UK capital market is one of diversified exchange marketplace that have come under consideration from the evaluation in the research.
The purpose of this research is to study the effect of ex-dividend declaration on stocks listed in India. This will help in analysing the efficiency of the Indian Stock Market. In addition, it will also provide food for thought to the policy makers in order to increase the market efficiency and thereby capital inflows.
Penetration Testing, which is commonly termed to as PenTest, refers to a process that is normally followed during the auditing or assessment of hardcore security. This methodology consists of a set of practices, rules, methods and procedures which are normally followed and later implemented in the process of auditing programs on any information security in an operating system environment.
Stock market efficiency. Efficiency in market means that there is absence of any systematic way to beat the market. The efficient market hypothesis states that the information about the value of the firm is fully reflected in the current stock prices. It also states that the firm will not be able to earn to excess profits i.e.
The paper, Analyzing the Stock Market Crash, discusses another stock market crisis of dot-com bubble which rose due to the rapid expansion of internet based companies which severely damaged the stock market. The crisis was followed by another crisis of terrorist attacks which were aimed at World Trade Center and Pentagon.
Basically, if the ADF statistic exceeds the critical value in each of the tests, then the null hypothesis of the unit root cannot be accepted. On the other hand, if the test statistic does not exceed the critical value, then the null hypothesis is accepted and the series is then said to be non-stationary (Dickey and Fuller, 1981).
To illustrate how a stock market operates and spreads the wealth in one country, let us say Company-A has been so successful in its manufacturing operations that all its goods sell as fast they are produced. The firm knows that it could sell even more products if it could get enough money to build another factory.
According to the report the gear test equipment is able to measure the hardness of the gear, wear, friction and other surface properties. By using a multiple function stand, fitted with suitable jigs and fixtures, the technician can be able to determine most of the gear properties including its physical dimensions such as the addendum and pitch circle radius among others.
The author states that financial market reforms were central to China’s commitment to the World Trade Organization, in which China became a member in 2001. Following China’s WTO membership, international investors gained easier access to the financial market. The Chinese government is trying to change the function of the two existing stock exchanges.
This study needs to address the hypothesis testing whether SET50 and SET100 Indexes follow the random walk or not. Level of the efficiency of Thailand stock exchange market is also determined for a period of four years. It also aims to investigate the impacts of external as well as internal factors on SET50 and SET100 Indexes.
62 pages (15000 words)Dissertation
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