The paper considers a number of problems arising from the test of serial correlation based on the d statistic proposed earlier by the authors (Durbin & Watson, 1950, 1951). Methods of computing the ...

In this article, we propose a computationally efficient approach—space (Sparse PArtial Correlation Estimation)—for selecting nonzero partial correlations under the high-dimension-low-sample-size ...

Regression analysis is a quantitative tool that is easy to use and can provide valuable information on financial analysis and forecasting.

Offers an alternative to Markowitz’s “Portfolio Selection”. Outlines the nuts and bolts of correlation between past and future performance, or between expected and actual returns. Explains ...

Nevertheless, this correlation could be adversely affected by mathematical coupling and regression-to-the-mean artefacts.