This dissertation presents an exploration of the use of nonparametric statistical methods based on ranks for use in financial market research. Applications to event study methodology and the estimation of security systematic risk are analyzed using a simulation methodology with actual daily security return data. The results indicate that procedures based on ranks are more efficient than normal theory procedures currently in common use
We investigate the effectiveness of several well-known parametric and non-parametric event study tes...
Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative...
This paper aims to study, in the most recent historical time period, the efficiency of the Paris Sto...
Event studies have become a frequently employed tool for researchers in financial economics. The ide...
In the literature of risk analysis different synthetic indices are artificially built and in this w...
This paper gives a brief overview on the nonparametric techniques that are useful for financial econ...
For the purpose of quantifying financial risks, risk managers need to model the behavior of financia...
In the present work we will study methods, which are used to find a premium in nonlife insurance acc...
The focus of this chapter is on the statistical techniques used for analyzing prices andreturns in f...
The objective of the present thesis is to solve some relevant financial problems through application...
Following the Brown-Warner simulation approach and using Chilean daily security return data we exami...
In the literature of risk analysis different synthetic indices are built on the bases of some indica...
AbstractThe present paper is intended to selected aspects of approximation, respectively quantificat...
This book introduces advanced undergraduate, graduate students and practitioners to statistical meth...
The volume of high-frequency economic and financial data that is currently available facilitates the...
We investigate the effectiveness of several well-known parametric and non-parametric event study tes...
Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative...
This paper aims to study, in the most recent historical time period, the efficiency of the Paris Sto...
Event studies have become a frequently employed tool for researchers in financial economics. The ide...
In the literature of risk analysis different synthetic indices are artificially built and in this w...
This paper gives a brief overview on the nonparametric techniques that are useful for financial econ...
For the purpose of quantifying financial risks, risk managers need to model the behavior of financia...
In the present work we will study methods, which are used to find a premium in nonlife insurance acc...
The focus of this chapter is on the statistical techniques used for analyzing prices andreturns in f...
The objective of the present thesis is to solve some relevant financial problems through application...
Following the Brown-Warner simulation approach and using Chilean daily security return data we exami...
In the literature of risk analysis different synthetic indices are built on the bases of some indica...
AbstractThe present paper is intended to selected aspects of approximation, respectively quantificat...
This book introduces advanced undergraduate, graduate students and practitioners to statistical meth...
The volume of high-frequency economic and financial data that is currently available facilitates the...
We investigate the effectiveness of several well-known parametric and non-parametric event study tes...
Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative...
This paper aims to study, in the most recent historical time period, the efficiency of the Paris Sto...