Annualising Volatility with Serial Correlation: Correcting Sharpe and Information Ratios

2011 ◽  
Author(s):  
Robert B. Scott
Keyword(s):  
Serial Correlation

Serial Correlation between the Ultrasonographic and Pathologic Findings of Intramuscular Hemorrhaging in an Experimental Rabbit

2008 ◽  
Vol 58 (5) ◽  
pp. 519 ◽  
Author(s):  
Kyungran Ko ◽  
Kyung Nam Ryu ◽  
Ji Seon Park ◽  
Wook Jin ◽  
Dong Wook Sung ◽  
...  
Keyword(s):  
Serial Correlation ◽  
Pathologic Findings

Non-Performing Loans, Banking System and Macroeconomy

2018 ◽  
Vol 63 (2) ◽  
pp. 67-86
Author(s):  
Akinola Morakinyo ◽  
Colette Muller ◽  
Mabutho Sibanda
Keyword(s):  
Exchange Rate ◽  
Serial Correlation ◽  
Banking System ◽  
Impulse Response Function ◽  
Credit Market ◽  
Variance Decomposition ◽  
Structural Var ◽  
Long Run ◽  
Correlation Tests ◽  
The Exchange Rate

Abstract The study builds on previous studies of the consequences of non-performing loans on an economy. Using a seven-by-seven matrix in the impulse response function (IRF) of the structural autoregressive model, we find a long-run impact of an impulse to non-performing loans on the banking system and the macroeconomy in Nigeria. Conversely, non-performing loans also respond to the innovation of all macro-banking variables aside from the exchange rate and the growth rate to GDP. Also, the level of non-performing loans grows in influence in relation to the changes to the exchange rate using the variance decomposition tool of Structural VAR. Hence, a prominent role is assigned to the level of NPLs in linking the friction in the credit market to the susceptibility of both the banking system and the macroeconomy. This study passes the serial correlation tests and the three tests of normality.

Stop-outs under serial correlation and the triple penance rule

2015 ◽  
Vol 18 (2) ◽  
pp. 61-93 ◽  
Author(s):  
David Bailey ◽  
Marcos López de Prado
Keyword(s):  
Serial Correlation

Tick Size and Adverse Selection: Spurious Effects Arising from Serial Correlation

2008 ◽  
Author(s):  
Lynn Doran ◽  
Michael A. Goldstein ◽  
Evgenia V. Golubeva ◽  
Eric N. Hughson
Keyword(s):  
Adverse Selection ◽  
Serial Correlation ◽  
Tick Size

scholarly journals Panel data unit roots tests: The role of serial correlation and the time dimension

2007 ◽  
Vol 137 (1) ◽  
pp. 230-244 ◽  
Author(s):  
Stefan De Wachter ◽  
Richard D.F. Harris ◽  
Elias Tzavalis
Keyword(s):  
Panel Data ◽  
Serial Correlation ◽  
Unit Roots ◽  
Time Dimension
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