Detecting the presence of insider trading via structural break tests
Tài liệu tham khảo
Andrews, 1993, Tests for parameter instability and structural change with unknown change point, Econometrica, 61, 821, 10.2307/2951764
Andrews, 1994, Optimal tests when a nuisance parameter is present only under the alternative, Econometrica, 62, 1383, 10.2307/2951753
Antoch, 1995, Change-point problem and bootstrap, Journal of Non-parametric Statistics, 5, 123, 10.1080/10485259508832639
Brown, 1975, Techniques for testing the constancy of regression coefficients over time, Journal of the Royal Statistical Society Series B, 37, 149
Chow, 1960, Tests of quality between sets of coefficients in two linear regression models, Econometrica, 28, 591, 10.2307/1910133
Dubow, B., Monteiro, M., 2006. Measuring Market Cleanliness. Financial Services Authority Occasional Paper 23.
Dufour, 1988, Recursive stability analysis of linear regression relationships, Journal of Econometrics, 19, 31, 10.1016/0304-4076(82)90050-1
Ferger, 2001, Analysis of change-point estimators under the null hypothesis, Bernoulli, 7, 487, 10.2307/3318498
Gombay, 1996, Estimators and tests for change in variances, Statistics & Decisions, 14, 145
Gregoire, 2009, Informed trading, noise trading and the cost of equity, International Review of Economics & Finance, 17, 13, 10.1016/j.iref.2005.12.003
Maddala, 1999
McCabe, 1980, Testing the constancy of regression relationships over time using least squares residuals, Applied Statistics, 29, 142, 10.2307/2986299
Monteiro, M., Zaman, Q., Leitterstorf, S., 2007. UPDATED Measure of Market Cleanliness. Financial Services Authority Occasional Paper 25.
Olmo, J., Pouliot, W., 2008. U-Statistics Type Tests for Structural Breaks in Linear Regression Models. Department of Economics, City University London Discussion Paper Series, 08/15.
Olmo, J., Pouliot, W., forthcoming. Early detection techniques for market risk failure. Studies in Nonlinear Dynamics & Econometrics.
Orasch, 2004, Tabulating sup-norm used in change-point analysis, Journal of Statistical Computation and Simulation, 74, 249, 10.1080/0094965031000148703
Park, 2010, Detecting insider trading: The theory and validation in Korea Exchange, Journal of Banking and Finance, 34, 2110, 10.1016/j.jbankfin.2010.01.018
Vo, 2008, Strategic trading when some investors receive information before others, International Review of Economics and Finance, 17, 319, 10.1016/j.iref.2006.08.005
Worsley, 1983, The power of likelihood ratio and cumulative sum tests for a change in a binomial probability, Biometrika, 70, 455, 10.1093/biomet/70.2.455