The Problem is Beyond Psychology: The Real World is More Random than Regression Analyses
International Journal of Forecasting, Forthcoming
4 Pages Posted: 10 Oct 2011 Last revised: 14 Dec 2017
Date Written: October 10, 2011
Where the problem is not expert underestimation of randomness, but more: the tools themselves used in regression analyses and similar methods underestimate fat tails, hence the randomness in the data. We should avoid imparting psychological explanations to errors in the use of statistical methods.
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
The Fat-Tailedness of FX Returns
By Ronald Huisman, Kees C. G. Koedijk, ...
We Don't Quite Know What We are Talking About When We Talk About Volatility
Portfolio Credit Risk with Extremal Dependence
By Achal Bassamboo, Sandeep Juneja, ...
The Estimation of Market Risk in Portfolios of Stocks and Stock Options
By Hermann Locarek-junge, Ralf Prinzler, ...
Size and Risk in Financial Markets (Tamaño y Riesgo en los Mercados Financieros)