A dynamic structural model for stock return volatility and trading volume

Article Abstract:

An econometric model that explains volatility autocorrelation on stock returns and trading volume is developed. Results reveal the importance of trader diversity models in identifying possible causes of trading volume and volatility persistence. However, the model has problems concerning the absence of diversity, the absence of instruments to treat clumping effects and the need for more studies that illustrate GARCH in returns.

Models, Stocks

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Further remarks on "The Duration of the Adjustment Process of Financial Ratios."

Article Abstract:

Peles and Schneller (1989) found that, as opposed to a random walk, financial ratios follow an adjustment process. However, their autocorrelation technique ignored the sampling autocorrelation bias. Removing this bias substantially changes their conclusions regarding the adjustment process of their three long-term ratios. A replication of their study thus reveals no such process.

Research, Ratio analysis

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Bias of s(super 2) in the linear regression model with correlated errors

Article Abstract:

The relative bias of the OLS-based estimate s(super2) when the disturbances in the linear regression model have a non-scalar covariance matrix is analyzed. Previous bounds for the bias are improved and it is revealed that E(s2/sigma2) has a tendency to zero when autocorrelation increases with regression intercepts.

Log-linear models

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