Determining security speed of adjustment coefficients
Determining security speed of adjustment coefficients
Dear Tom,
I am looking for the code for the work done by Michael Theobald and Peter Yallup. The detail of their article is as follows:
Michael Theobald and Peter Yallup(2004), Determining Security Speed of Adjustment Coeffiecients, Journal of Financial Markets,vol.7, pp. 75-96.
I shall be grateful for your reply,
Best,
Prashant
I am looking for the code for the work done by Michael Theobald and Peter Yallup. The detail of their article is as follows:
Michael Theobald and Peter Yallup(2004), Determining Security Speed of Adjustment Coeffiecients, Journal of Financial Markets,vol.7, pp. 75-96.
I shall be grateful for your reply,
Best,
Prashant
Re: Determining security speed of adjustment coefficients
Doesn't that just require fitting ARMA(1,1) models?
Re: Determining security speed of adjustment coefficients
thanks for your reply. AR coefficient reflects 1-∏ value. the authors mentioned that ∏ is the speed of adjustment coefficient. So we have to subtract AR coefficient value from 1 to get the value of ∏. I would like to know how do I test for statistical significance of 1-AR coefficient? please. I mean which one is better--t-test or wald test?
Prashant
Prashant
Re: Determining security speed of adjustment coefficients
They're numerically identical.prashantj wrote:thanks for your reply. AR coefficient reflects 1-∏ value. the authors mentioned that ∏ is the speed of adjustment coefficient. So we have to subtract AR coefficient value from 1 to get the value of ∏. I would like to know how do I test for statistical significance of 1-AR coefficient? please. I mean which one is better--t-test or wald test?
Prashant
If you have a specific question about a specific calculation, please ask it directly. I don't appreciate having to fish up a relatively obscure paper only to discover it's an application of a fairly simple model.
Re: Determining security speed of adjustment coefficients
Sure. Sorry for the inconvenience.
Prashant
Prashant