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Nonparametric statistical methods in financial market researc

Posted on:1989-09-16Degree:Ph.DType:Dissertation
University:The University of ArizonaCandidate:Corrado, Charles JFull Text:PDF
GTID:1479390017955696Subject:Banking
Abstract/Summary:PDF Full Text Request
This dissertation presents an exploration of the use of nonparametric statistical methods based on ranks for use in financial market research. Applications to event study methodology and the estimation of security systematic risk are analyzed using a simulation methodology with actual daily security return data. The results indicate that procedures based on ranks are more efficient than normal theory procedures currently in common use.
Keywords/Search Tags:Nonparametric statistical methods, Financial market
PDF Full Text Request
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