Douglas M Patterson
Biographic Data
| ID | 8920984 |
|---|---|
| NAME | Douglas M Patterson |
| GIVEN NAMES | Douglas M |
| FAMILY NAME | Patterson |
| SIGNATURE | PATTERSON D M |
| AFFILIATIONS | Virginia Tech |
| ORCID | 0000-0001-5829-082X |
| VERIFIED | Yes |
| TOTAL WORKS | 4 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 4 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1985 |
| LATEST PUBLICATION YEAR | 2008 |
| H-INDEX | 0 |
New essays on Tarski and philosophy
'Tarski and Philosophy' shows the way to a proper understanding of the philosophical legacy of the great logician, philosopher and mathematician Alfred Tarski (1902-1983)
Evaluating the Effectiveness of State-Switching Time Series Models for U.S. Real Output
Two types of state-switching models for U.S. real output have been proposed: models that switch randomly between states and models that switch states deterministically, as in the threshold autoregressive model of Potter. These models have been justified primarily on how well they fit the sample data, yielding statistically significant estimates of the model coefficients. Here we propose a new approach to the evaluation of an estimated nonlinear t…
The Speed of Adjustment of Warrant Prices to Changes in Stock Prices
This article reports on work designed to measure the time required for a change in a stock's price to be fully reflected in the price of a warrant on that stock. The method employed to measure the adjustment speed is the bivariate transfer function technique of Box and Jenkins. An interesting aspect of the study is the use of trade-by-trade data for measuring stock and warrant returns. The evidence presented here suggests that warrant prices adju…
Evidence of Nonlinearity in Daily Stock Returns
This article applies a newly developed statistical technique to time series of daily rates of return of 15 common stocks. The technique involves estimating the bispectrum of the observed time series. The bispectrum is defined as the double Fourier transform of the third-order cumulant function. If the process generating rates of return is linear with independent innovations, then the skewness of the bispectrum will be constant. The article descri…
No prominent works on this page.
Evidence of Nonlinearity in Daily Stock Returns
This article applies a newly developed statistical technique to time series of daily rates of return of 15 common stocks. The technique involves estimating the bispectrum of the observed time series. The bispectrum is defined as the double Fourier transform of the third-order cumulant function. If the process generating rates of return is linear with independent innovations, then the skewness of the bispectrum will be constant. The article descri…
The Speed of Adjustment of Warrant Prices to Changes in Stock Prices
This article reports on work designed to measure the time required for a change in a stock's price to be fully reflected in the price of a warrant on that stock. The method employed to measure the adjustment speed is the bivariate transfer function technique of Box and Jenkins. An interesting aspect of the study is the use of trade-by-trade data for measuring stock and warrant returns. The evidence presented here suggests that warrant prices adju…
Evaluating the Effectiveness of State-Switching Time Series Models for U.S. Real Output
Two types of state-switching models for U.S. real output have been proposed: models that switch randomly between states and models that switch states deterministically, as in the threshold autoregressive model of Potter. These models have been justified primarily on how well they fit the sample data, yielding statistically significant estimates of the model coefficients. Here we propose a new approach to the evaluation of an estimated nonlinear t…
New essays on Tarski and philosophy
'Tarski and Philosophy' shows the way to a proper understanding of the philosophical legacy of the great logician, philosopher and mathematician Alfred Tarski (1902-1983)
Mathematics (4 works) · Econometrics (3 works) · Statistics (3 works) · Market Dynamics and Volatility (2 works) · Nonlinear system (2 works) · Statistical hypothesis testing (2 works) · Applied Mathematics (1 work) · Autoregressive model (1 work) · Bicoherence (1 work) · Bispectrum (1 work)