Bias in Time-Series Regressions

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1. Motivation How persistent has IBM's daily trading volume been over the last month? How persistent have Apple's monthly stock returns been over the last $5$ years of trading? What about the US's annual GDP growth over the last century? To answer … [Continue reading]

Why Not Fourier Methods?

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1. Motivation There are many ways that you might measure the typical horizon of a stock's demand shocks. For instance, Fourier methods might at first appear to be a promising approach, but first impressions can be deceiving. Here's why: spikes in … [Continue reading]