Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Long Memory Regime Switching
Download Long Memory Regime Switching full books in PDF, epub, and Kindle. Read online Long Memory Regime Switching ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Can We Distinguish Regime Switching from Long Memory? A Simulation Evidence by : Yanlin Shi
Download or read book Can We Distinguish Regime Switching from Long Memory? A Simulation Evidence written by Yanlin Shi and published by . This book was released on 2014 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is well know that long memory can be caused by regime switching and is easily confused with it. However, recent study suggests that if the cause of confusion were properly controlled for, long memory and regime switching could be distinguished. Motivated by this idea, our study aims to distinguish Regime Switching from Long Memory for the financial time series. In this paper, we model long memory and regime switching via the ARFIMA and Markov Regime-Switching (MRS) frameworks respectively. A theoretical proof is provided to show that the time-varying smoothing probability series can induce the presence of significant long memory in the regime switching process. We then propose a two-stage Two-State-ARFIMA (2S-ARFIMA) model to control for the effect of the smoothing probability and use a simulation study to demonstrate that it can effectively distinguish the pure MRS process from the pure ARFIMA process.
Book Synopsis Regime Switching Models by : Dominique Guegan
Download or read book Regime Switching Models written by Dominique Guegan and published by . This book was released on 2006 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we analyze the possible confusion in terms of long memory behavior of the autocorrelation function of a Markov switching model. Such a model is known to have a short memory behavior. Analyzing the value of sum of the transition probabilities and the number of switches inside such a model, we show their impact to create long memory. The ability of the true Markov switching model to predict is compared with the forecasts obtained from a long memory process adjusted on data derived from the former model. It is shown that, in certain cases, this spurious long memory behavior can be benefit to get better forecasts.
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.
Book Synopsis Long Memory & Regime Switching by : Soyeon Lee
Download or read book Long Memory & Regime Switching written by Soyeon Lee and published by . This book was released on 2004 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Why Regime Switching Creates the Illusion of Long Memory by : Aaron Smith
Download or read book Why Regime Switching Creates the Illusion of Long Memory written by Aaron Smith and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: When applied to time series processes containing occasional level shifts, the log-periodogram (GPH) estimator often finds long memory. For a stationary markov switching process, which does not contain long memory, I show that the GPH estimator is substantially biased and I derive an asymptotic approximation to this bias. The asymptotic bias lies on the (0,1) interval with the exact value depending on the ratio of the expected number of breaks to a user-defined bandwidth parameter. I also examine the bias in the GPH estimator when applied to a nonstationary hidden markov breaks process and the stochastic permanent breaks process.
Book Synopsis Markov Switching and Long Memory by : William Yu
Download or read book Markov Switching and Long Memory written by William Yu and published by . This book was released on 2009 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper finds the close relationship between long memory and some forms of Markov-switching models. The simulation results suggest: (1) when the transition probabilities are closer to unity, it is more likely to generate long memory process; (2) magnitude of regime-switching plays an important role in generating long memory; and (3) process with switching in variance (disturbance) is much less likely to explain long memory process than switching in mean (intercept) and autoregressive coefficient. Therefore, given the observed high persistence in financial volatility data, volatility modeling by switching in mean and AR coefficient is preferred to that by switching in variance.
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.
Book Synopsis A Regime Switching Long Memory Model for Electricity Prices by : Niels Haldrup
Download or read book A Regime Switching Long Memory Model for Electricity Prices written by Niels Haldrup and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Long Memory and Structural Breaks in Realized Volatility by : Nima Nonejad
Download or read book Long Memory and Structural Breaks in Realized Volatility written by Nima Nonejad and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Long Memory with Markov-Switching GARCH by : Walter Krämer
Download or read book Long Memory with Markov-Switching GARCH written by Walter Krämer and published by . This book was released on 2006 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Long Memory with Markov-Switching GARCH by :
Download or read book Long Memory with Markov-Switching GARCH written by and published by . This book was released on 2008 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Long Range Dependence by : Gennady Samorodnitsky
Download or read book Long Range Dependence written by Gennady Samorodnitsky and published by Now Publishers Inc. This book was released on 2007 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long Range Dependence is a wide ranging survey of the ideas, models and techniques associated with the notion of long memory. It will serve as an invaluable reference source for researchers studying long range dependence, for those building long memory models, and for people who are trying to detect the possible presence of long memory in data.
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
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.
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:
Book Synopsis Long Memory with Markov-Switching GARCH. by :
Download or read book Long Memory with Markov-Switching GARCH. written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices by : Niels Haldrup
Download or read book Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices written by Niels Haldrup and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
