Long Memory and Regime Switching

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Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (321 download)

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Book Synopsis Long Memory and Regime Switching by : Francis X. Diebold

Download or read book Long Memory and Regime Switching written by Francis X. Diebold and published by . This book was released on 2000 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theoretical and empirical econometric literatures on long memory and regime switching have evolved largely independently, as the phenomena appear distinct. We argue, in contrast, that they are intimately related, and we substantiate our claim in several environments, including a simple mixture model, Engle and Lee's (1999) stochastic permanent break model, and Hamilton's (1989) Markov switching model. In particular, we show analytically that stochastic regime switching is easily confused with long memory, even asymptotically, so long as only a small' amount of regime switching occurs, in a sense that we make precise. A Monte Carlo analysis supports the relevance of the theory and produces additional insights.

Statistics for Long-Memory Processes

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Publisher : CRC Press
ISBN 13 : 9780412049019
Total Pages : 336 pages
Book Rating : 4.0/5 (49 download)

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Book Synopsis Statistics for Long-Memory Processes by : Jan Beran

Download or read book Statistics for Long-Memory Processes written by Jan Beran and published by CRC Press. This book was released on 1994-10-01 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical Methods for Long Term Memory Processes covers the diverse statistical methods and applications for data with long-range dependence. Presenting material that previously appeared only in journals, the author provides a concise and effective overview of probabilistic foundations, statistical methods, and applications. The material emphasizes basic principles and practical applications and provides an integrated perspective of both theory and practice. This book explores data sets from a wide range of disciplines, such as hydrology, climatology, telecommunications engineering, and high-precision physical measurement. The data sets are conveniently compiled in the index, and this allows readers to view statistical approaches in a practical context. Statistical Methods for Long Term Memory Processes also supplies S-PLUS programs for the major methods discussed. This feature allows the practitioner to apply long memory processes in daily data analysis. For newcomers to the area, the first three chapters provide the basic knowledge necessary for understanding the remainder of the material. To promote selective reading, the author presents the chapters independently. Combining essential methodologies with real-life applications, this outstanding volume is and indispensable reference for statisticians and scientists who analyze data with long-range dependence.

Long Memory in Economics

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Publisher : Springer Science & Business Media
ISBN 13 : 3540346252
Total Pages : 394 pages
Book Rating : 4.5/5 (43 download)

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Book Synopsis Long Memory in Economics by : Gilles Teyssière

Download or read book Long Memory in Economics written by Gilles Teyssière and published by Springer Science & Business Media. This book was released on 2006-09-22 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; and models from economic theory providing plausible micro foundations for the occurrence of long memory in economics.

Modeling Financial Time Series with S-PLUS

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Publisher : Springer Science & Business Media
ISBN 13 : 0387217630
Total Pages : 632 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Modeling Financial Time Series with S-PLUS by : Eric Zivot

Download or read book Modeling Financial Time Series with S-PLUS written by Eric Zivot and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.

Detecting Regime Change in Computational Finance

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Publisher : CRC Press
ISBN 13 : 1000220168
Total Pages : 165 pages
Book Rating : 4.0/5 (2 download)

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Book Synopsis Detecting Regime Change in Computational Finance by : Jun Chen

Download or read book Detecting Regime Change in Computational Finance written by Jun Chen and published by CRC Press. This book was released on 2020-09-14 with total page 165 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on interdisciplinary research into "Directional Change", a new data-driven approach to financial data analysis, Detecting Regime Change in Computational Finance: Data Science, Machine Learning and Algorithmic Trading applies machine learning to financial market monitoring and algorithmic trading. Directional Change is a new way of summarising price changes in the market. Instead of sampling prices at fixed intervals (such as daily closing in time series), it samples prices when the market changes direction ("zigzags"). By sampling data in a different way, this book lays out concepts which enable the extraction of information that other market participants may not be able to see. The book includes a Foreword by Richard Olsen and explores the following topics: Data science: as an alternative to time series, price movements in a market can be summarised as directional changes Machine learning for regime change detection: historical regime changes in a market can be discovered by a Hidden Markov Model Regime characterisation: normal and abnormal regimes in historical data can be characterised using indicators defined under Directional Change Market Monitoring: by using historical characteristics of normal and abnormal regimes, one can monitor the market to detect whether the market regime has changed Algorithmic trading: regime tracking information can help us to design trading algorithms It will be of great interest to researchers in computational finance, machine learning and data science. About the Authors Jun Chen received his PhD in computational finance from the Centre for Computational Finance and Economic Agents, University of Essex in 2019. Edward P K Tsang is an Emeritus Professor at the University of Essex, where he co-founded the Centre for Computational Finance and Economic Agents in 2002.

Multifractal Volatility

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Publisher : Academic Press
ISBN 13 : 0080559964
Total Pages : 273 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis Multifractal Volatility by : Laurent E. Calvet

Download or read book Multifractal Volatility written by Laurent E. Calvet and published by Academic Press. This book was released on 2008-10-13 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. - Presents a powerful new technique for forecasting volatility - Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities - The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research

Hidden Markov Models in Finance

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Publisher : Springer Science & Business Media
ISBN 13 : 0387711635
Total Pages : 203 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Hidden Markov Models in Finance by : Rogemar S. Mamon

Download or read book Hidden Markov Models in Finance written by Rogemar S. Mamon and published by Springer Science & Business Media. This book was released on 2007-04-26 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more. The book provides tools for sorting through turbulence, volatility, emotion, chaotic events – the random "noise" of financial markets – to analyze core components.

Forecasting in the Presence of Structural Breaks and Model Uncertainty

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Publisher : Emerald Group Publishing
ISBN 13 : 044452942X
Total Pages : 691 pages
Book Rating : 4.4/5 (445 download)

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Book Synopsis Forecasting in the Presence of Structural Breaks and Model Uncertainty by : David E. Rapach

Download or read book Forecasting in the Presence of Structural Breaks and Model Uncertainty written by David E. Rapach and published by Emerald Group Publishing. This book was released on 2008-02-29 with total page 691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.

S. Co. 2009. Sixth Conference. Complex Data Modeling and Computationally Intensive Statistical Methods for Estimation and Prediction

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Publisher : Maggioli Editore
ISBN 13 : 8838743851
Total Pages : 493 pages
Book Rating : 4.8/5 (387 download)

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Book Synopsis S. Co. 2009. Sixth Conference. Complex Data Modeling and Computationally Intensive Statistical Methods for Estimation and Prediction by :

Download or read book S. Co. 2009. Sixth Conference. Complex Data Modeling and Computationally Intensive Statistical Methods for Estimation and Prediction written by and published by Maggioli Editore. This book was released on 2009 with total page 493 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Studies in Nonlinear and Long Memory Time Series Econometrics

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Publisher :
ISBN 13 :
Total Pages : 536 pages
Book Rating : 4.3/5 (129 download)

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Book Synopsis Studies in Nonlinear and Long Memory Time Series Econometrics by : Rehim Kiliç

Download or read book Studies in Nonlinear and Long Memory Time Series Econometrics written by Rehim Kiliç and published by . This book was released on 2002 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Financial Risk Management with Bayesian Estimation of GARCH Models

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Publisher : Springer Science & Business Media
ISBN 13 : 3540786570
Total Pages : 206 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis Financial Risk Management with Bayesian Estimation of GARCH Models by : David Ardia

Download or read book Financial Risk Management with Bayesian Estimation of GARCH Models written by David Ardia and published by Springer Science & Business Media. This book was released on 2008-05-08 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents in detail methodologies for the Bayesian estimation of sing- regime and regime-switching GARCH models. These models are widespread and essential tools in n ancial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique. As this study aims to demonstrate, the Bayesian approach o ers an attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements on nonlinear functions of the model parameters. The author is indebted to numerous individuals for help in the preparation of this study. Primarily, I owe a great debt to Prof. Dr. Philippe J. Deschamps who inspired me to study Bayesian econometrics, suggested the subject, guided me under his supervision and encouraged my research. I would also like to thank Prof. Dr. Martin Wallmeier and my colleagues of the Department of Quantitative Economics, in particular Michael Beer, Roberto Cerratti and Gilles Kaltenrieder, for their useful comments and discussions. I am very indebted to my friends Carlos Ord as Criado, Julien A. Straubhaar, J er ^ ome Ph. A. Taillard and Mathieu Vuilleumier, for their support in the elds of economics, mathematics and statistics. Thanks also to my friend Kevin Barnes who helped with my English in this work. Finally, I am greatly indebted to my parents and grandparents for their support and encouragement while I was struggling with the writing of this thesis.

Markov-Switching Vector Autoregressions

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Publisher : Springer Science & Business Media
ISBN 13 : 364251684X
Total Pages : 369 pages
Book Rating : 4.6/5 (425 download)

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Book Synopsis Markov-Switching Vector Autoregressions by : Hans-Martin Krolzig

Download or read book Markov-Switching Vector Autoregressions written by Hans-Martin Krolzig and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. Markov-switching models have become popular for modelling non-linearities and regime shifts, mainly, in univariate eco nomic time series. This study is intended to provide a systematic and operational ap proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switching vector autoregressive model. The study presents a comprehensive analysis of the theoretical properties of Markov-switching vector autoregressive processes and the related statistical methods. The statistical concepts are illustrated with applications to empirical business cyde research. This monograph is a revised version of my dissertation which has been accepted by the Economics Department of the Humboldt-University of Berlin in 1996. It con sists mainly of unpublished material which has been presented during the last years at conferences and in seminars. The major parts of this study were written while I was supported by the Deutsche Forschungsgemeinschajt (DFG), Berliner Graduier tenkolleg Angewandte Mikroökonomik and Sondeiforschungsbereich 373 at the Free University and Humboldt-University of Berlin. Work was finally completed in the project The Econometrics of Macroeconomic Forecasting founded by the Economic and Social Research Council (ESRC) at the Institute of Economies and Statistics, University of Oxford. It is a pleasure to record my thanks to these institutions for their support of my research embodied in this study.

Complex Systems Approach to Economic Dynamics

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Publisher : Springer Science & Business Media
ISBN 13 : 3540397531
Total Pages : 109 pages
Book Rating : 4.5/5 (43 download)

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Book Synopsis Complex Systems Approach to Economic Dynamics by : Abraham C.-L. Chian

Download or read book Complex Systems Approach to Economic Dynamics written by Abraham C.-L. Chian and published by Springer Science & Business Media. This book was released on 2007-08-17 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical analysis of stock markets and foreign exchange markets has demonstrated the intermittent nature of economic time series. A nonlinear model of business cycles is able to simulate intermittency arising from order-chaos and chaos-chaos transitions. This monograph introduces new concepts of unstable periodic orbits and chaotic saddles, which are unstable structures embedded in a chaotic attractor and responsible for economic intermittency.

Ruin Probabilities

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Publisher : World Scientific
ISBN 13 : 9814282529
Total Pages : 621 pages
Book Rating : 4.8/5 (142 download)

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Book Synopsis Ruin Probabilities by : S?ren Asmussen

Download or read book Ruin Probabilities written by S?ren Asmussen and published by World Scientific. This book was released on 2010 with total page 621 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cram‚r?Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to allow for reserve-dependent premiums, Markov-modulation, periodicity, change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas, like queueing theory. In this substantially updated and extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber?Shiu functions and dependence.

International Financial Markets

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Publisher : Routledge
ISBN 13 : 1351669214
Total Pages : 426 pages
Book Rating : 4.3/5 (516 download)

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Book Synopsis International Financial Markets by : Julien Chevallier

Download or read book International Financial Markets written by Julien Chevallier and published by Routledge. This book was released on 2019-06-28 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. International Financial Markets: Volume I provides a key repository on the current state of knowledge, the latest debates and recent literature on international financial markets. Against the background of the "financialization of commodities" since the 2008 sub-primes crisis, section one contains recent contributions on commodity and financial markets, pushing the frontiers of applied econometrics techniques. The second section is devoted to exchange rate and current account dynamics in an environment characterized by large global imbalances. Part three examines the latest research in the field of meta-analysis in economics and finance. This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

Handbook of Financial Markets: Dynamics and Evolution

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Publisher : Elsevier
ISBN 13 : 0080921434
Total Pages : 607 pages
Book Rating : 4.0/5 (89 download)

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Book Synopsis Handbook of Financial Markets: Dynamics and Evolution by : Thorsten Hens

Download or read book Handbook of Financial Markets: Dynamics and Evolution written by Thorsten Hens and published by Elsevier. This book was released on 2009-06-12 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. - Explains the market dynamics of asset prices, offering insights about asset management approaches - Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics

Regime Change in the Yugoslav Successor States

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Publisher : JHU Press
ISBN 13 : 0801899192
Total Pages : 359 pages
Book Rating : 4.8/5 (18 download)

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Book Synopsis Regime Change in the Yugoslav Successor States by : Mieczysław P. Boduszyński

Download or read book Regime Change in the Yugoslav Successor States written by Mieczysław P. Boduszyński and published by JHU Press. This book was released on 2010-04-26 with total page 359 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 1990s, amid political upheaval and civil war, the Socialist Federal Republic of Yugoslavia dissolved into five successor states. The subsequent independence of Montenegro and Kosovo brought the total number to seven. Balkan scholar and diplomat to the region Mieczyslaw P. Boduszynski examines four of those states—Croatia, Slovenia, Macedonia, and the Federal Republic of Yugoslavia—and traces their divergent paths toward democracy and Euro-Atlantic integration over the past two decades. Boduszynski argues that regime change in the Yugoslav successor states was powerfully shaped by both internal and external forces: the economic conditions on the eve of independence and transition and the incentives offered by the European Union and other Western actors to encourage economic and political liberalization. He shows how these factors contributed to differing formulations of democracy in each state. The author engages with the vexing problems of creating and sustaining democracy when circumstances are not entirely supportive of the effort. He employs innovative concepts to measure the quality of and prospects for democracy in the Balkan region, arguing that procedural indicators of democratization do not adequately describe the stability of liberalism in post-communist states. This unique perspective on developments in the region provides relevant lessons for regime change in the larger post-communist world. Scholars, practitioners, and policymakers will find the book to be a compelling contribution to the study of comparative politics, democratization, and European integration.