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Contents List of figures page xii List of tables xv List of boxes xvii List of Screenshots xix Preface to the third edition xxi Acknowledgements xxv 1 Introduction 1 1.1 What is econometrics? 2 1.2 Is financial econometrics different from 'economic econometrics'? 2 1.3 Types of data 4 1.4 Returns in financial modelling 7 1.5 Steps involved in formulating an(More)
The monthly return distributions of many hedge fund indices exhibit highly unusual skewness and kurtosis properties as well as first-order serial correlation. This has important consequences for investors. We demonstrate that although hedge fund indices are highly attractive in mean-variance terms, this is much less the case when skewness, kurtosis and(More)
This study sought to determine whether fitting a more aggressive seat belt reminder system to new vehicles would be cost-beneficial for Australia. While seat belt wearing rates have been observed around 95% in the front seat, non-wearing rates in casualty crashes are as high as 33% among persons killed and 19% among seriously injured occupants. Benefits(More)
Factor models are frequently applied to hedge fund returns in an attempt to separate the return from identified risk factors (beta) and from manager skill (alpha). More recently, these same techniques have been used to replicate the returns from hedge fund strategies with varying degrees of success. In this paper, we show that due to the particular nature(More)
OBJECTIVE To determine the feasibility of conducting a randomized controlled trial of massage therapy for patients with a new spinal cord injury (SCI) during acute inpatient rehabilitation. DESIGN A pilot single-center, randomized, single-blind, cross-over clinical trial. SETTING Free-standing, not-for-profit, comprehensive rehabilitation center(More)
Distortion product otoacoustic emission (DPOAE) level mapping provides a comprehensive picture of cochlear responses over a range of DP frequencies and f₂/f₁ratios. We hypothesized that individuals exposed to high-level sound would show changes detectable by DPOAE mapping, but not apparent on a standard DP-gram. Thirteen normal hearing subjects were studied(More)
This paper proposes two new tests for linear and nonlinear leadrlag relationships between time series based on the concepts of cross-correlations and cross-bicorrelations, respectively. The tests are then applied to a set of Sterling-denominated exchange rates. Our analysis indicates that there existed periods during the post-Bretton Woods era where the(More)
Recent research documents the importance of uncertainty in determining macroeconomic outcomes, but little is known about the transmission of uncertainty across such outcomes. This paper examines the response of uncertainty about inflation and output growth to shocks documenting statistically significant asymmetries and spillovers. Uncertainty about(More)
Actinic Keratosis (AK) arises from sun-damaged skin and is the first clinical manifestation in the multistep process of skin carcinogenesis to invasive squamous cell carcinoma. Thus, it is an ideal target for chemopreventive efforts. Noninvasive measures of AK severity are needed to assess the efficacy of chemoprevention agents. We performed a pilot study(More)