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Testing predictability of asset returns.

Wu, Li.

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Testing predictability of asset returns.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Testing predictability of asset returns./
Author:	Wu, Li.
Description:	59 p.
Notes:	Source: Dissertation Abstracts International, Volume: 75-10(E), Section: B.
Contained By:	Dissertation Abstracts International75-10B(E).
Subject:	Statistics. -
Online resource:	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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020 $a 9781303994937
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100 1 $a Wu, Li. $3 1924026
245 1 0 $a Testing predictability of asset returns.
300 $a 59 p.
500 $a Source: Dissertation Abstracts International, Volume: 75-10(E), Section: B.
500 $a Advisers: Zongwu Cai; Jiancheng Jiang.
502 $a Thesis (Ph.D.)--The University of North Carolina at Charlotte, 2014.
506 $a This item must not be sold to any third party vendors.
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.
590 $a School code: 0694.
650 4 $a Statistics. $3 517247
650 4 $a Economics, Finance. $3 626650
650 4 $a Applied Mathematics. $3 1669109
690 $a 0463
690 $a 0508
690 $a 0364
710 2 $a The University of North Carolina at Charlotte. $b Applied Mathematics. $3 1272652
773 0 $t Dissertation Abstracts International $g 75-10B(E).
790 $a 0694
791 $a Ph.D.
792 $a 2014
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3625064