Detecting the presence of insider trading via structural break tests

Olmo, José; Pılbeam, Keith; Pouliot, William

doi:10.1016/j.jbankfin.2011.03.013

Cited by 30 publications

(10 citation statements)

References 17 publications

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“…Both methods test the null hypothesis that regression coefficients of a linear regression are constant over time against an alternative hypothesis that coefficients change over time due to extraneous factors. The CUSUM and MOSUM tests have been applied to detect temporal changes in areas of land use and land cover, hydrology, and national economic indicators (de Jong, Verbesselt, Zeileis, & Schaepman, 2013;Ghosh, 2009;Olmo, Pilbeam, & Pouliot, 2011;Tiwari, Shahbaz, & Islam, 2012;Verbesselt, Hyndman, Newnham, & Culvenor, 2010;Verbesselt, Zeileis, & Herold, 2012;Vogl & Lopes, 2009;Webb, Kathuria, & Turner, 2012). For this study, we used the MOSUM of recursive residuals (defined by Equations 1 to 4) because it is more sensitive to temporarily unstable parameters than CUSUM.…”

Section: Structural Stability Of Calibration Relationshipsmentioning

confidence: 99%

Calibration of paired watersheds: Utility of moving sums in presence of externalities

Ssegane

Amatya

Muwamba

et al. 2017

Hydrological Processes

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Historically, paired watershed studies have been used to quantify the hydrological effects of land use and management practices by concurrently monitoring 2 similar watersheds during calibration (pretreatment) and post‐treatment periods. This study characterizes seasonal water table and flow response to rainfall during the calibration period and tests a change detection technique of moving sums of recursive residuals (MOSUM) to select calibration periods for each control–treatment watershed pair when the regression coefficients for daily water table elevation were most stable to minimize regression model uncertainty. The control and treatment watersheds were 1 watershed of 3–4‐year‐old intensely managed loblolly pine (Pinus taeda L.) with natural understory, 1 watershed of 3–4‐year‐old loblolly pine intercropped with switchgrass (Panicum virgatum), 1 watershed of 14–15‐year‐old thinned loblolly pine with natural understory (control), and 1 watershed of switchgrass only. The study period spanned from 2009 to 2012. Silvicultural operational practices during this period acted as external factors, potentially shifting hydrologic calibration relationships between control and treatment watersheds. MOSUM results indicated significant changes in regression parameters due to silvicultural operations and were used to identify stable relationships for water table elevation. None of the calibration relationships developed using this method were significantly different from the classical calibration relationship based on published historical data. We attribute that to the similarity of historical and 2010–2012 leaf area index on control and treatment watersheds as moderated by the emergent vegetation. Although the MOSUM approach does not eliminate the need for true calibration data or replace the classic paired watershed approach, our results show that it may be an effective alternative approach when true data are unavailable, as it minimizes the impacts of external disturbances other than the treatment of interest.

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Section: Structural Stability Of Calibration Relationshipsmentioning

confidence: 99%

Calibration of paired watersheds: Utility of moving sums in presence of externalities

Ssegane

Amatya

Muwamba

et al. 2017

Hydrological Processes

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“…Recent resurgence of interest in analysing more complex nature of FD and economic growth in international scale, particularly after the financial crises of 2008, is seen in Scharfstein (2013), Farmer (2013), Coeurdacier and Rey (2012) and Olmo et al (2011).…”

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confidence: 99%

Financial deepening and economic growth

Bhattarai

2014

Applied Economics

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“…Insider trading detection methodologies have been largely studied in the case of stocks markets (e.g. Meulbroek 1992;Jackson 2007;Park and Lee 2010;or Olmo et al 2011).…”

Section: Regressionmentioning

confidence: 99%