scholarly journals Extreme return, extreme volatility and investor sentiment

Filomat ◽  
2016 ◽  
Vol 30 (15) ◽  
pp. 3949-3961 ◽  
Author(s):  
Xu Gong ◽  
Fenghua Wen ◽  
Zhifang He ◽  
Jia Yang ◽  
Xiaoguang Yang ◽  
...  
Keyword(s):  
Linear Regression ◽  
Quantile Regression ◽  
Regression Model ◽  
Least Squares ◽  
Linear Regression Model ◽  
Investor Sentiment ◽  
Generalized Least Squares ◽  
Regression Methods ◽  
Leading Role ◽  
The Impact

The extreme return and extreme volatility have great influences on the investor sentiment in stock market. However, few researchers have taken the phenomenon into consideration. In this paper, we first distinguish the extreme situations from non-extreme situations. Then we use the ordinary generalized least squares and quantile regression methods to estimate a linear regression model by applying the standardized AAII, the return and volatility of SP 500. The results indicate that, except for extremely negative return, other return sequences can cause great changes in investor sentiment, and non-extreme return plays a leading role in affecting the overall American investor sentiment. Extremely positive (negative) return can rapidly improve (further reduce) the level of investor sentiment when investors encounter extremely pessimistic situations. The impact gradually decreases with improvement of the sentiment until the situation turns optimistic. In addition, we find that extreme and non-extreme volatility cannot a_ect the overall investor sentiment.

Confidence Sets for the Coefficients Vector of a Linear Regression Model with Nonspherical Disturbances

1997 ◽  
Vol 13 (3) ◽  
pp. 406-429 ◽  
Author(s):  
Anoop Chaturvedi ◽  
Hikaru Hasegawa ◽  
Ajit Chaturvedi ◽  
Govind Shukla
Keyword(s):  
Linear Regression ◽  
Regression Model ◽  
Least Squares ◽  
Linear Regression Model ◽  
Generalized Least Squares ◽  
Least Squares Estimator ◽  
Regression Coefficients ◽  
Confidence Sets ◽  
Generalized Least Squares Estimator ◽  
Coverage Probabilities

In this present paper, considering a linear regression model with nonspherical disturbances, improved confidence sets for the regression coefficients vector are developed using the Stein rule estimators. We derive the large-sample approximations for the coverage probabilities and the expected volumes of the confidence sets based on the feasible generalized least-squares estimator and the Stein rule estimator and discuss their ranking.

Wouldn't It Be Nice …? The Automatic Unbiasedness of OLS (and GLS)

2008 ◽  
Vol 16 (3) ◽  
pp. 345-349 ◽  
Author(s):  
Robert C. Luskin
Keyword(s):  
Linear Regression ◽  
Regression Model ◽  
Least Squares ◽  
Linear Regression Model ◽  
Generalized Least Squares ◽  
Ordinary Least Squares ◽  
Recent Issue ◽  
The Face ◽  
Best Linear Unbiased

In a recent issue of this journal, Larocca (2005) makes two notable claims about the best linear unbiasedness of ordinary least squares (OLS) estimation of the linear regression model. The first, drawn from McElroy (1967), is that OLS remains best linear unbiased in the face of a particular kind of autocorrelation (constant for all pairs of observations). The second, much larger and more heterodox, is that the disturbance need not be assumed uncorrelated with the regressors for OLS to be best linear unbiased. The assumption is unnecessary, Larocca says, because “orthogonality [of disturbance and regressors] is a property of all OLS estimates” (p. 192). Of course OLS's being best linear unbiased still requires that the disturbance be homoskedastic and (McElroy's loophole aside) nonautocorrelated, but Larocca also adds that the same automatic orthogonality obtains for generalized least squares (GLS), which is also therefore best linear unbiased, when the disturbance is heteroskedastic or autocorrelated.

scholarly journals Variation Comparison of OLS and GLS Estimators using Monte Carlo Simulation of Linear Regression Model with Autoregressive Scheme

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
Sajid Ali Khan ◽  
Sayyad Khurshid ◽  
Tooba Akhtar ◽  
Kashmala Khurshid
Keyword(s):  
Monte Carlo ◽  
Linear Regression ◽  
Regression Model ◽  
Sample Size ◽  
Least Squares ◽  
Linear Regression Model ◽  
Generalized Least Squares ◽  
Ordinary Least Squares ◽  
Small Samples ◽  
Sample Sizes

In this research we discusses to Ordinary Least Squares and Generalized Least Squares techniques and estimate with First Order Autoregressive scheme from different correlation levels by using simple linear regression model. A comparison has been made between these two methods on the basis of variances results. For the purpose of comparison, we use simulation of Monte Carlo study and the experiment is repeated 5000 times. We use sample sizes 50, 100, 200, 300 and 500, and observe the influence of different sample sizes on the estimators. By comparing variances of OLS and GLS at different values of sample sizes and correlation levels with , we found that variance of ( ) at sample size 500, OLS and GLS gives similar results but at sample size 50 variance of GLS ( ) has minimum values as compared to OLS. So it is clear that variance of GLS ( ) is best. Similarly variance of ( ) from OLS and GLS at sample size 500 and correlation -0.05 with , GLS give minimum value as compared to all other sample sizes and correlations. By comparing overall results of Ordinary Least Squares (OLS) and Generalized Least Squares (GLS), we conclude that in large samples both are gives similar results but small samples GLS is best fitted as compared to OLS.

Cognition predicts days-alive-out-of-hospital after LVAD implantation

2021 ◽  
pp. 039139882110184
Author(s):  
Marykay A Pavol ◽  
Amelia K Boehme ◽  
Melana Yuzefpolskaya ◽  
Mathew S Maurer ◽  
Jesus Casida ◽  
...  
Keyword(s):  
Linear Regression ◽  
Regression Model ◽  
Linear Regression Model ◽  
Left Ventricular ◽  
Motor Speed ◽  
Ventricular Assist ◽  
Hospitalization Rates ◽  
Left Ventricular Assist ◽  
Patient Groups ◽  
The Impact

Objective: Cognition influences hospitalization rates for a variety of patient groups but this association has not been examined in heart failure (HF) patients undergoing left ventricular assist device (LVAD) implantation. We used cognition to predict days-alive-out-of-hospital (DAOH) in patients after LVAD surgery. Methods: We retrospectively identified 59 HF patients with cognitive assessment prior to LVAD. Cognitive tests of attention, memory, language, and visual motor speed were averaged into one score. DAOH was converted to a percentage based on total days from LVAD surgery to either heart transplant or 900 days post-LVAD. Variables significantly associated with DAOH in univariate analyses were included in a linear regression model to predict DAOH. Results: A linear regression model including LVAD type (continuous or pulsatile flow) and cognition significantly predicted DAOH (F(2,54) = 6.44, p = 0.003, R2 = .19). Inspection of each variable revealed that cognition was a significant predictor in the model (β = .11, SE = .04, p = 0.007) but LVAD type was not ( p = 0.08). Conclusions: Cognitive performance assessed prior to LVAD implantation predicted how much time patients spent out of the hospital following surgery. Further studies are warranted to identify the impact of pre-LVAD cognition on post-LVAD hospitalization.

scholarly journals A Linear Regression Model for THD Sensitivity in PV Based Microgrid with Varying Insolation Levels

2022 ◽  
pp. 179-186
Author(s):  
Yuvraj Praveen Soni ◽  
Eugene Fernandez
Keyword(s):  
Linear Regression ◽  
Regression Model ◽  
Linear Regression Model ◽  
Solar Irradiance ◽  
Harmonic Distortion ◽  
System Control ◽  
Solar Pv ◽  
Pv System ◽  
Simulink Model ◽  
The Impact

Solar PV systems can be used for powering small microgrids in rural area of developing countries. Generally, a solar power microgrid consists of a PV array, an MPPT, a dc-dc converter and an inverter, particularly as the general loads are A.C in nature. In a PV system, reactive current, unbalancing in currents, and harmonics are generated due to the power electronics-based converters as well as nonlinear loads (computers induction motors etc). Thus, estimation of the harmonics levels measured by the Total Harmonic Distortion (THD) is an essential aspect of performance assessment of a solar powered microgrid. A major issue that needs to be examined is the impact of PV system control parameters on the THD. In this paper, we take up this assessment for a small PV based rural microgrid with varying levels of solar irradiance. A Simulink model has been developed for the study from which the THD at equilibrium conditions is estimated. This data is in turn used to design a generalized Linear Regression Model, which can be used to observe the sensitivity of three control variables on the magnitude of the THD. These variables are: Solar Irradiance levels, Power Factor (PF) of connected load magnitude of the connected load (in kVA) The results obtained show that the greatest sensitivity is obtained for load kVA variation.

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