Determining security speed of adjustment coefficients

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prashantj
Posts: 88
Joined: Sun Apr 11, 2010 2:56 am

Determining security speed of adjustment coefficients

Unread post by prashantj »

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
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Determining security speed of adjustment coefficients

Unread post by TomDoan »

Doesn't that just require fitting ARMA(1,1) models?
prashantj
Posts: 88
Joined: Sun Apr 11, 2010 2:56 am

Re: Determining security speed of adjustment coefficients

Unread post by prashantj »

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
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Determining security speed of adjustment coefficients

Unread post by TomDoan »

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
They're numerically identical.

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.
prashantj
Posts: 88
Joined: Sun Apr 11, 2010 2:56 am

Re: Determining security speed of adjustment coefficients

Unread post by prashantj »

Sure. Sorry for the inconvenience.
Prashant
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