William J. Egan

Independent

No Address Available

SCHOLARLY PAPERS

3

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SSRN CITATIONS

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CROSSREF CITATIONS

5

Scholarly Papers (3)

1.

The Distribution of S&P 500 Index Returns

Number of pages: 15 Posted: 10 Jan 2007
William J. Egan
Independent
Downloads 3,457 (2,843)
Citation 6

Abstract:

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S&P 500 index, stock returns, continuously compounded returns, normal distribution, skewness, kurtosis, lognormal distribution, risk, t-distribution

2.

Six Decades of Significant Autocorrelation in the U.S. Stock Market

Number of pages: 14 Posted: 01 Feb 2008
William J. Egan
Independent
Downloads 1,055 (19,962)

Abstract:

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autocorrelation, ARMA, ARIMA, random walk, time series, Box-Jenkins, autoregressive, moving average, stock market, NASDAQ Composite, Dow Jones Industrial Average, S&P 500, variance ratio test

3.

A Better Test for Autocorrelation in Financial Time Series

Number of pages: 14 Posted: 01 Feb 2008
William J. Egan
Independent
Downloads 640 (40,328)
Citation 1

Abstract:

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confidence limits, statistical significance testing, autocorrelation function, acf, a.c.f., partial autocorrelation function, pacf, p.a.c.f., Monte Carlo simulation, autoregressive, moving average, ARMA, ARIMA, Box-Jenkins, time series, sample size