scholarly journals Mampukah Model Multi Faktor APT Memberikan Gambaran Hubungan Return Harapan Portofolio Saham LQ45 Dengan Resiko Sistematik Pada Pasar Modal Indonesia

2020 ◽  
Vol 1 (2) ◽  
pp. 1-22
Author(s):  
Yuki Dwi Darma

Tujuan penelitian ini adalah untuk menguji model APT sebagai model keseimbangan harga pasar modal dalam memprediksi return saham-saham yang tergabung dalam indeks LQ45. Desaim penelitian menggunakan penggujian multipass Regression dalam menguji validitas dan keandalam model CAPM dengan data-data yang digunkan dalam penelitian ini merupakan harga penutupan saham-saham LQ45 dan return bulanan indeks LQ45, varibel digunakan menggunakan kurs US Dollar, Inflasi dan risiko pasar. Untuk analisis data menggunakan two Stage Regresion menggunakan regresi time Series pada tahap satu dan regresi Cross Sectional pada regresi tahap dua. Hasil penelitian menemukan bahwa model APT kurang berkerja dengan baik dalam memprediksi harga saham di pasar modal Indonesia, terutama saham-saham yang tergabung dalam LQ45.  Risiko Pasar tidak mampu menjelaskan hubungan risiko ekonomi makro terhadap imbal hasil rata-rata portofolio yang dibentuk dalam penelitian ini.

Test ◽  
2014 ◽  
Vol 23 (4) ◽  
pp. 631-666 ◽  
Author(s):  
Danny Pfeffermann ◽  
Anna Sikov ◽  
Richard Tiller

2021 ◽  
Vol 9 (1) ◽  
Author(s):  
Dalton J. Hance ◽  
Katie M. Moriarty ◽  
Bruce A. Hollen ◽  
Russell W. Perry

Abstract Background Studies of animal movement using location data are often faced with two challenges. First, time series of animal locations are likely to arise from multiple behavioral states (e.g., directed movement, resting) that cannot be observed directly. Second, location data can be affected by measurement error, including failed location fixes. Simultaneously addressing both problems in a single statistical model is analytically and computationally challenging. To both separate behavioral states and account for measurement error, we used a two-stage modeling approach to identify resting locations of fishers (Pekania pennanti) based on GPS and accelerometer data. Methods We developed a two-stage modelling approach to estimate when and where GPS-collared fishers were resting for 21 separate collar deployments on 9 individuals in southern Oregon. For each deployment, we first fit independent hidden Markov models (HMMs) to the time series of accelerometer-derived activity measurements and apparent step lengths to identify periods of movement and resting. Treating the state assignments as given, we next fit a set of linear Gaussian state space models (SSMs) to estimate the location of each resting event. Results Parameter estimates were similar across collar deployments. The HMMs successfully identified periods of resting and movement with posterior state assignment probabilities greater than 0.95 for 97% of all observations. On average, fishers were in the resting state 63% of the time. Rest events averaged 5 h (4.3 SD) and occurred most often at night. The SSMs allowed us to estimate the 95% credible ellipses with a median area of 0.12 ha for 3772 unique rest events. We identified 1176 geographically distinct rest locations; 13% of locations were used on > 1 occasion and 5% were used by > 1 fisher. Females and males traveled an average of 6.7 (3.5 SD) and 7.7 (6.8 SD) km/day, respectively. Conclusions We demonstrated that if auxiliary data are available (e.g., accelerometer data), a two-stage approach can successfully resolve both problems of latent behavioral states and GPS measurement error. Our relatively simple two-stage method is repeatable, computationally efficient, and yields directly interpretable estimates of resting site locations that can be used to guide conservation decisions.


Author(s):  
Andrew Q. Philips

In cross-sectional time-series data with a dichotomous dependent variable, failing to account for duration dependence when it exists can lead to faulty inferences. A common solution is to include duration dummies, polynomials, or splines to proxy for duration dependence. Because creating these is not easy for the common practitioner, I introduce a new command, mkduration, that is a straightforward way to generate a duration variable for binary cross-sectional time-series data in Stata. mkduration can handle various forms of missing data and allows the duration variable to easily be turned into common parametric and nonparametric approximations.


2019 ◽  
Vol 2 ◽  
pp. 205920431984735
Author(s):  
Roger T. Dean ◽  
Andrew J. Milne ◽  
Freya Bailes

Spectral pitch similarity (SPS) is a measure of the similarity between spectra of any pair of sounds. It has proved powerful in predicting perceived stability and fit of notes and chords in various tonal and microtonal instrumental contexts, that is, with discrete tones whose spectra are harmonic or close to harmonic. Here we assess the possible contribution of SPS to listeners’ continuous perceptions of change in music with fewer discrete events and with noisy or profoundly inharmonic sounds, such as electroacoustic music. Previous studies have shown that time series of perception of change in a range of music can be reasonably represented by time series models, whose predictors comprise autoregression together with series representing acoustic intensity and, usually, the timbral parameter spectral flatness. Here, we study possible roles for SPS in such models of continuous perceptions of change in a range of both instrumental (note-based) and sound-based music (generally containing more noise and fewer discrete events). In the first analysis, perceived change in three pieces of electroacoustic and one of piano music is modeled, to assess the possible contribution of (de-noised) SPS in cooperation with acoustic intensity and spectral flatness series. In the second analysis, a broad range of nine pieces is studied in relation to the wider range of distinctive spectral predictors useful in previous perceptual work, together with intensity and SPS. The second analysis uses cross-sectional (mixed-effects) time series analysis to take advantage of all the individual response series in the dataset, and to assess the possible generality of a predictive role for SPS. SPS proves to be a useful feature, making a predictive contribution distinct from other spectral parameters. Because SPS is a psychoacoustic “bottom up” feature, it may have wide applicability across both the familiar and the unfamiliar in the music to which we are exposed.


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