LSTUR regression theory and the instability of the sample correlation coefficient between financial return indices

IF 2.9 4区 经济学 Q1 ECONOMICS
Timofey Ginker, Offer Lieberman
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引用次数: 1

Abstract

It is well known that the sample correlation coefficient between many financial return indices exhibit substantial variation on any reasonable sampling window. This stylized fact contradicts a unit root model for the underlying processes in levels, as the statistic converges in probability to a constant under this modeling scheme. In this paper we establish asymptotic theory for regression in local stochastic unit root (LSTUR) variables. An empirical application reveals that the new theory explains very well the instability, in both sign and scale, of the sample correlation coefficient, between gold, oil and stock return price indices. In addition, we establish spurious regression theory for LSTUR variables, which generalizes the results known hitherto, as well as theory for balanced regression in this setting.
LSTUR回归理论与不稳定性样本金融收益指标之间的相关系数
众所周知,许多金融收益指数之间的样本相关系数在任何合理的抽样窗口上都表现出很大的变化。这种程式化的事实与层次上的底层过程的单位根模型相矛盾,因为在这种建模方案下,统计量在概率上收敛于一个常数。本文建立了局部随机单位根(LSTUR)变量回归的渐近理论。实证应用表明,新理论很好地解释了样本相关系数在黄金、石油和股票收益价格指数之间的符号和尺度上的不稳定性。此外,我们建立了LSTUR变量的伪回归理论,它概括了迄今为止已知的结果,以及在这种情况下的平衡回归理论。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Econometrics Journal
Econometrics Journal 管理科学-数学跨学科应用
CiteScore
4.20
自引率
5.30%
发文量
25
审稿时长
>12 weeks
期刊介绍: The Econometrics Journal was established in 1998 by the Royal Economic Society with the aim of creating a top international field journal for the publication of econometric research with a standard of intellectual rigour and academic standing similar to those of the pre-existing top field journals in econometrics. The Econometrics Journal is committed to publishing first-class papers in macro-, micro- and financial econometrics. It is a general journal for econometric research open to all areas of econometrics, whether applied, computational, methodological or theoretical contributions.
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