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Factor Analyses and Time-Lagged RegressionsPowerPoint Presentation

Factor Analyses and Time-Lagged Regressions

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Presentation Transcript

Tech Stocks in S&P 100 (besides MSFT)

- AAPL – Apple, ignored due to lack of trustworthy data
- CSCO – Cisco Systems
- DELL – Dell
- EMC – EMC Corporation (data storage, competes with IBM, HP, etc.)
- GOOG – ignored for now due to limited data
- HPQ – HP
- IBM – IBM
- INTC – Intel
- ORCL – Oracle
- TXN – Texas Instruments
- XRX – Xerox

Realized Variance Summary Statistics (Mean, Corr with MSFT)

Time-Lagged Regressions I

Bipower Variation

BV Summary Statistics (Mean, Corr with MSFT)

Time-Lagged Regressions I

Tri-Power Max Test Statistics

- Tri-Power Quarticity:
- Estimator of:
- Useful Constants:
- Test Statistic:

Summary Statistics (Mean, Corr with MSFT)

Time-Lagged Regressions I

Time-Lagged Regressions IIIb

HPQ and TXN lagged 5 (coefficients again virtually the same!)

Quad-Power Max Test Statistics

- Quad-Power Quarticity:
- Estimator of:
- Useful Constants:
- Test Statistic:

Summary Statistics (Mean, Corr with MSFT)

Time-Lagged Regressions I

Time-Lagged Regressions IIIb

HPQ lagged 5; MSFT lagged 22 (coefficients virtually the same!)

Extensions

- Also do time-lagged regressions with HAR-RV type models
- Now incorporate GOOG and see whether it matches trends established so far
- Have concrete estimates for suspected OVB

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