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Testing predictability of asset returns.

Wu, Li.

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Testing predictability of asset returns.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Testing predictability of asset returns./
作者:	Wu, Li.
面頁冊數:	59 p.
附註:	Source: Dissertation Abstracts International, Volume: 75-10(E), Section: B.
Contained By:	Dissertation Abstracts International75-10B(E).
標題:	Statistics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3625064
ISBN:	9781303994937

Testing predictability of asset returns.
Wu, Li.

Testing predictability of asset returns. - 59 p.

Source: Dissertation Abstracts International, Volume: 75-10(E), Section: B.

Thesis (Ph.D.)--The University of North Carolina at Charlotte, 2014.

This item must not be sold to any third party vendors.

In this paper, a L2 type nonparametric test is developed to test a specific nonlinear parametric regression model with near-integrated regressors. The asymptotic distributions of the proposed test statistic under both null and alternative hypotheses are established. The finite sample performance is also examined by conducting Monte Carlo simulation. The test statistic is applied to testing the linear prediction model of asset return and the predictability of asset return is shown at last.

ISBN: 9781303994937Subjects--Topical Terms:

517247
Statistics.

Testing predictability of asset returns.
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500 $a Source: Dissertation Abstracts International, Volume: 75-10(E), Section: B.
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506 $a This item must not be added to any third party search indexes.
520 $a In this paper, a L2 type nonparametric test is developed to test a specific nonlinear parametric regression model with near-integrated regressors. The asymptotic distributions of the proposed test statistic under both null and alternative hypotheses are established. The finite sample performance is also examined by conducting Monte Carlo simulation. The test statistic is applied to testing the linear prediction model of asset return and the predictability of asset return is shown at last.
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