Lies, damned lies, and statistics? Examples from finance and economics.

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Title: Lies, damned lies, and statistics? Examples from finance and economics.
Author(s): Abadir, KM
Item Type: Journal Article
Abstract: Reliable data analysis is one of the hardest tasks in sciences and social sciences. Often misleading and sometimes puzzling results arise when the analysis is done without regard for the special features of the data. In this exposition, I will focus on designing new statistical tools to deal with some prominent questions in Finance and Economics. In particular, I will talk about the following. (1) How to characterize the randomness of variables, motivated by a problem in the pricing of financial options. (2) Uncovering the relation between interest rates on different maturities, now and in the future; the term structure of interest rates . (3) Modelling the unconventional nonlinear long-memory dynamics that arise from a general-equilibrium economic model, and their implications for exchange rates, stock market indexes, and all macroeconomic variables; with recommendations for trading in financial markets, but also for the design of macroeconomic stabilization policies by governments.
Publication Date: 16-Dec-2013
Date of Acceptance: 16-Dec-2013
ISSN: 2080-119X
Publisher: De Gruyter Open
Start Page: 231
End Page: 248
Journal / Book Title: Central European Journal of Economic Modelling and Econometrics
Volume: 5
Copyright Statement: Creative Commons Attribution Non-Commercial No Derivatives License
Appears in Collections:Imperial College Business School

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