Results 181 to 190 of about 3,168 (213)

A Multicountry Characterization of the Nonstationarity of Aggregate Output

Journal of Money, Credit and Banking, 1990
The authors compute the scaled varlogram (the variances of kth differences scaled by the variance of first differences) of the log of annual per capita real aggregate output (GDP or GNP), as measured by (1) the long series for the United States and United Kingdom; (2) Angus Maddison's (1982) long series for twelve countries; and (3) the postwar IFS ...
Kormendi, Roger C, Meguire, Philip
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A nonparametric test for slowly-varying nonstationarities

Signal Processing, 2018
Abstract This paper develops a new nonparametric method that is suitable for detecting slowly-varying nonstationarities that can be seen as trends in the time marginal of the time-varying spectrum of the signal. The rationale behind the proposed method is to measure the importance of the trend in the time marginal by using a proper test statistic ...
de Souza, Douglas David Baptista, Chanussot, Jocelyn, Favre, Anne-Catherine, Borgnat, Pierre   +3 more
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The extent of nonstationarity of beta

Review of Quantitative Finance and Accounting, 1993
This paper investigates the extent of nonstationarity of beta across the firm size and the beta magnitude by suggesting the sequential parameter stationarity model and estimating change-points of betas. The high-beta firm has shorter stationary interval, which means that its beta changes more frequently than do the low-beta firm's.
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The “hot hand” revisited: A nonstationarity argument

PsyCh Journal, 2012
AbstractThe “hot hand belief,” that a basketball player would experience elevated performance for a certain period of time, during which consecutive shots are made in streaks, has been suggested to be a “cognitive illusion,” because, from the basketball‐shooting data, no significant evidence has been found to reject the simple binomial model.
Yanlong, Sun, Hongbin, Wang
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The Nonstationarity of Aggregate Output: Some Additional International Evidence

Journal of Money, Credit and Banking, 1994
In this paper, the stationarity of aggregate output is examined using the scaled variogram for a sample of twelve countries. It is argued that if the true data generating process of output is stationary around a deterministic trend with a change in mean and/or growth rate, the results of previous studies are biased.
Zelhorst, Dick, de Haan, Jakob
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Stationarity of the Market Model: Joint Tests of Process and Parameter Nonstationarity

Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l'Administration, 1987
AbstractNonstationarity of the market model is due either to the model being nonstationary (given the nature of the distribution) or to the process generating the stock returns being nonstationary (given that the parameters are stationary) or to both. We demonstrate that when the effects of process nonstationarity are isolated from the effects due to ...
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Nonstationarity of Stock Returns

2015
Theoretical framework and an appropriate algorithm is developed to measure the nonstationarity (NS) of data streams. With the nonstationary measure, the properties of stock returns are studied. Three experiments illustrate that: the nonstationarity of stock return can not be diversified with big portfolio; nonstationarity, which can explain the risk ...
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Nonstationarity and Cointegrations

2022
Changquan Huang, Alla Petukhina
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Investigations of Nonstationarity in Prices

The Journal of Business, 1974
Boness, A James, Chen, Andrew H Y, Jatusipitak, Som   +2 more
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Some aspects of nonstationarity. II

1990
[For part I see Acta Sci. Math. 54, No. 3/4, 379-389 (1990; Zbl 0762.47004).] Our purpose is to point out a general framework exactly for the aspect of parametrizing solutions of completion problems. Actually, we consider the following problem. Fix \(N\in \mathbb{Z}\cup \{\infty\}\), \(M\in \mathbb{Z}\cup \{- \infty\}\), \(M\leq N\), where \(\mathbb{Z}\
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