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4
votes
1answer
292 views

Measuring momentum as AR(1) process

I would like to measure the momentum in the price of a stock from the time the market opens until the time I trade each day. I want to use this momentum number in post-trade analysis (regression of ...
0
votes
1answer
22 views

residual correlation remains after seasonal lag added

I'm attempting to model operating margins and a time plot indicated that the series may follow an autoregressive process. I initially fitted data to an AR(1) model and it appeared that residual ...
1
vote
0answers
314 views

Cointegration Test: Residual is stationary but not random?

I am testing cointegration relationship on various pairs of stocks by this following these steps. Test for I(1) on a pair of stocks, says X and Y, using Dickey-Fuller test. If both time series are ...
1
vote
0answers
72 views

Rule of Thumb for minimum length of time series for AR(1) estimation

I have a data set of 350 points, I want to estimate the lag 1 auto correlation for different sub-sets of the data. More precisely I want to take non overlapping windows of length 1,2,3....n and ...
1
vote
0answers
103 views

Insignificant or significant explanatory power over risk adjusted returns?

Currently iam working on my master thesis which is about risk adjusted returns in the Asia Pacific REIT market. The goal of the paper is to determine/find variables that conceive explanatory power ...
0
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0answers
25 views

Portfolio Analytic Metrics for Portfolios with Serially Correlated Returns

I just read Andrew Lo's paper from 2002 "The Statistics of Sharpe Ratios" and am wondering if anyone knows of any other papers/docs/resources that explore the impact of serially correlated returns on ...
0
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0answers
25 views

coefficient of determination of an autocorrelation

Ok this is a very quick question, the Coefficient of Determination (power(R;2)) of a simple Pearson Correlation value (r) can be interpreted as the percentage of the total variation in Y that can be ...