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Full-Text Articles in Econometrics
Comovement And Instability In Cryptocurrency Markets, Pierangelo De Pace, Jayant Rao
Comovement And Instability In Cryptocurrency Markets, Pierangelo De Pace, Jayant Rao
Pomona Economics
We analyze the extent of comovement between daily price returns of nine major cryptocurrencies during the first three main phases of their development, from April 2013 to November 2018. We assess its evolution using bivariate and multivariate modelling approaches, and detect pronounced time variation. Generally, comovement is initially low and positive, but increases between early 2017 and late 2018. We then adopt a right-tail version of the Augmented Dickey-Fuller unit root test to identify periods of mildly explosive behavior (statistical instability) in the Network Value to Transactions (NVT) ratio (a measure of the dollar value of cryptocurrency transaction activity relative …
The Paradox Of Big Data, Gary N. Smith
The Paradox Of Big Data, Gary N. Smith
Pomona Economics
Data-mining is often used to discover patterns in Big Data. It is tempting believe that because an unearthed pattern is unusual it must be meaningful, but patterns are inevitable in Big Data and usually meaningless. The paradox of Big Data is that data mining is most seductive when there are a large number of variables, but a large number of variables exacerbates the perils of data mining.
The Principal Problem With Principal Components Regression, Heidi Margaret Artigue, Heidi Margaret Artigue
The Principal Problem With Principal Components Regression, Heidi Margaret Artigue, Heidi Margaret Artigue
Pomona Faculty Publications and Research
Principal components regression (PCR) reduces a large number of explanatory variables down to a small number of principal components. PCR is thought to be more useful, the more numerous the potential explanatory variables. The reality is that a large number of candidate explanatory variables does not make PCR more valuable; instead, it magnifies the failings of PCR.