Lies, Damned Lies, and Statistics? Examples From Finance and Economics

• Autorzy: Karim M. Abadir
• Języki publikacji: EN

Abstrakty

EN

Reliable data analysis is one of the hardest tasks in sciences and social sciences. Often misleading and sometimes puzzling results arise when the analysis is done without regard for the special features of the data. In this exposition, I will focus on designing new statistical tools to deal with some prominent questions in Finance and Economics. In particular, I will talk about the following. (1) How to characterize the randomness of variables, motivated by a problem in the pricing of financial options. (2) Uncovering the relation between interest rates on different maturities, now and in the future; the "term structure of interest rates". (3) Modelling the unconventional nonlinear long-memory dynamics that arise from a general-equilibrium economic model, and their implications for exchange rates, stock market indexes, and all macroeconomic variables; with recommendations for trading in financial markets, but also for the design of macroeconomic stabilization policies by governments. (original abstract)

Słowa kluczowe

PL

Analiza danych statystycznych; Rozkład prawdopodobieństwa; Testowanie hipotez; Analiza szeregów czasowych; Wycena opcji; Stopa procentowa; Dynamika gospodarki

EN

Statistical data analysis; Probability distributions; Hypothesis testing; Time-series analysis; Options pricing; Interest rate; Economy dynamics

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2013
• Tom: 5
• Numer: nr 4
• Strony: 231-248

Twórcy

autor

Karim M. Abadir

• Imperial College London

Bibliografia

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Identyfikatory

DOI

DOI: 10.24425/cejeme.2013.119263