Journal of Business & Economic Statistics articles from April 2000

Journal of Business & Economic Statistics archives from April 2000

Editor's Introduction to Panel Discussion on Analysis of High-Frequency Data.(Brief Article)
April 1, 2000... Advances in computing facilities and computational methods make it possible to analyze large-scale datasets. As such, data in many scientific fields are collected at a finer and finer time scale. Those data are referred to as high-frequency...

Market Microstructure Research Databases: History and Projections.(Statistical Data Included)
April 1, 2000... This article presents a partial history of the development of transactions databases of securities prices. The availability of these databases, which in part were funded by the National Science Foundation, has fueled the rapid growth of market...

Some Reflections on Analysis of High-Frequency Data.
April 1, 2000... Finance is arguably the most empirically oriented of all the social sciences. This is in part due to the deliberate practical orientation and the ready availability of high-quality financial market data. In recent years, the ever lower costs of...

Some Econometric Recipes for High-Frequency Data Cooking.
April 1, 2000... According to Ragnar Frisch (1933), econometrics involves the mutual penetration of quantitative economic theory and statistical observation. Today, econometric research rarely has all the ingredients spelled out in Frisch's definition. Most...

Bayesian Portfolio Selection: An Empirical Analysis of the S&P 500 Index 1970-1996.(Statistical Data Included)
April 1, 2000... In this article we present a technique for implementing large-scale optimal portfolio selection. We use high-frequency daily data to capture valuable statistical information in asset returns. We describe several statistical issues involved in...

Semiparametric ARCH Models: An Estimating Function Approach.(Statistical Data Included)
April 1, 2000... We introduce the method of estimating functions to study the class of autoregressive conditional heteroscedasticity (ARCH) models. We derive the optimal estimating functions by combining linear and quadratic estimating functions. The resultant...

Full Bayesian Inference for GARCH and EGARCH Models.(Statistical Data Included)
April 1, 2000... A full Bayesian analysis of GARCH and EGARCH models is proposed consisting of parameter estimation, model selection, and volatility prediction. The Bayesian paradigm is implemented via Markov-chain Monte Carlo methodologies. We provide...

Bayesian Analysis of Dynamic Bivariate Mixture Models: Can They Explain the Behavior of Returns and Trading Volume?(Statistical Data Included)
April 1, 2000... Bivariate mixture models attribute the well-known positive correlation between return volatility and trading volume in financial markets to stochastic changes in a single latent variable representing the number of information arrivals. In this...

Confidence Sets for Cointegrating Coefficients Based on Stationarity Tests.(Statistical Data Included)
April 1, 2000... Standard methods for inference in cointegrating systems require all the variables to have exact unit roots and are not at all robust even to slight violations of this condition. In this article, I consider an alternative approach to inference...

Inference for Generalized Gini Indices Using the Iterated-Bootstrap Method.(Statistical Data Included)
April 1, 2000... Inference using the iterated-bootstrap method proposed by Hall is appealing for cases in which the percentile method needs to be used but the nominal level of a confidence interval has to be adjusted. One natural application is for generalized...

The Demand for Lotto: The Role of Conscious Selection.(Statistical Data Included)
April 1, 2000... This article presents estimates of the elasticity of demand for lottery tickets using time series data in which there is variation in the expected value of a lottery ticket induced by rollovers. An important feature of our data is that there...

Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk.(Statistical Data Included)
April 1, 2000... We use a time series modeling approach to address two related questions of interest to foreign-exchange market participants and policy makers dealing with basket currencies. First, how are unknown weights appropriately extracted from basket...

Long-range Dependence in Daily Stock Volatilities.(Statistical Data Included)
April 1, 2000... Recent empirical studies show that the squares of high-frequency stock returns are long-range dependent and can be modeled as fractionally integrated processes, using, for example, long-memory stochastic volatility models. Are such long-range...

The Zellner Thesis Award in Business and Economic Statistics.(Brief Article)
April 1, 2000... 2000 Zellner Award Competition The Business and Economics Statistics Section of the American Statistical Association announces the competition for the 2000 Zellner Thesis Award. The award is named for Arnold Zellner, past Chair of the...