Working papers

by Patrick Burns. Abstract: The Ljung-Box test is known to be robust. This paper reports on simulations that show just how robust it is in finite samples. Even so, we [...]

by Patrick Burns. Abstract: The estimation of value at risk using univariate GARCH models is examined. A long history of the S&P 500 is used to compare these estimators with [...]

by Patrick Burns. Abstract: Realized tracking errors are examined for a series of optimized portfolios using various estimates for the variance matrix. It is clear that the benchmark should be [...]

by Patrick Burns. Abstract: Simulations are performed which show the difficulty of actually achieving realized market neutrality. Results suggest that restrictions on the net value of the fund are particularly [...]

by Patrick Burns. Abstract: We explore the effective gain or loss in alpha from the point of view of the investor due to the volatility of a fund and its [...]

by Patrick Burns. Abstract: We report on a study of the ability of analysts to distinguish an actual price series of an equity from random alternatives. Virtually all of the [...]

by Patrick Burns. Abstract: The current practice of fund management can be altered to improve the lot of both the investor and the fund manager. Tracking error constraints in mandates [...]

by Patrick Burns. Abstract: The quality of stock market predictions based on the winner of the Super Bowl is examined using permutation tests. These tests are very easy to perform [...]

by Patrick Burns. Abstract: Problems with performance measurement using information ratios relative to a benchmark are exposed. Random portfolios (that obey constraints but disregard utility) are shown to measure investment [...]

by Patrick Burns. Abstract: This brief note offers an explicit algorithm for a multivariate GARCH model, called PC-GARCH, that requires only univariate GARCH estimation. It is suitable for problems with [...]