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Download or read book Simple (but Effective) Tests of Long Memory Versus Structural Breaks written by and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Philipp Sibbertsen
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (248 download)
Download or read book Long-memory Versus Structural Breaks written by Philipp Sibbertsen and published by . This book was released on 2001 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Juan José Dolado
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (83 download)
Download or read book What is what?[ written by Juan José Dolado and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Aris Kartsaklas
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (931 download)
Download or read book Long Memory, Structural Breaks and the Volatility-volume Relationship written by Aris Kartsaklas and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Clive William John Granger
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (437 download)
Download or read book Occasional Structural Breaks and Long Memory written by Clive William John Granger and published by . This book was released on 1999 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David E. Rapach
Publisher : Emerald Group Publishing
ISBN 13 : 044452942X
Total Pages : 691 pages
Book Rating : 4.4/5 (445 download)
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.
Author : Jan Beran
Publisher : Springer Science & Business Media
ISBN 13 : 3642355129
Total Pages : 892 pages
Book Rating : 4.6/5 (423 download)
Download or read book Long-Memory Processes written by Jan Beran and published by Springer Science & Business Media. This book was released on 2013-05-14 with total page 892 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant.
Author : Dek Terrell
Publisher : Emerald Group Publishing
ISBN 13 : 1789739594
Total Pages : 418 pages
Book Rating : 4.7/5 (897 download)
Download or read book Essays in Honor of Cheng Hsiao written by Dek Terrell and published by Emerald Group Publishing. This book was released on 2020-04-15 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.
Author : Uwe Hassler
Publisher : John Wiley & Sons
ISBN 13 : 1119470285
Total Pages : 288 pages
Book Rating : 4.1/5 (194 download)
Download or read book Time Series Analysis with Long Memory in View written by Uwe Hassler and published by John Wiley & Sons. This book was released on 2018-09-07 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a simple exposition of the basic time series material, and insights into underlying technical aspects and methods of proof Long memory time series are characterized by a strong dependence between distant events. This book introduces readers to the theory and foundations of univariate time series analysis with a focus on long memory and fractional integration, which are embedded into the general framework. It presents the general theory of time series, including some issues that are not treated in other books on time series, such as ergodicity, persistence versus memory, asymptotic properties of the periodogram, and Whittle estimation. Further chapters address the general functional central limit theory, parametric and semiparametric estimation of the long memory parameter, and locally optimal tests. Intuitive and easy to read, Time Series Analysis with Long Memory in View offers chapters that cover: Stationary Processes; Moving Averages and Linear Processes; Frequency Domain Analysis; Differencing and Integration; Fractionally Integrated Processes; Sample Means; Parametric Estimators; Semiparametric Estimators; and Testing. It also discusses further topics. This book: Offers beginning-of-chapter examples as well as end-of-chapter technical arguments and proofs Contains many new results on long memory processes which have not appeared in previous and existing textbooks Takes a basic mathematics (Calculus) approach to the topic of time series analysis with long memory Contains 25 illustrative figures as well as lists of notations and acronyms Time Series Analysis with Long Memory in View is an ideal text for first year PhD students, researchers, and practitioners in statistics, econometrics, and any application area that uses time series over a long period. It would also benefit researchers, undergraduates, and practitioners in those areas who require a rigorous introduction to time series analysis.
Author : Kyongwook Choi
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)
Download or read book Long Memory Versus Structural Breaks in Modeling and Forecasting Realized Volatility written by Kyongwook Choi and published by . This book was released on 2009 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We explore the possibility of structural breaks in the daily realized volatility of the Deutschemark/Dollar, Yen/Dollar and Yen/Deutschemark spot exchange rates with observed long-memory behavior. We find that structural breaks in the mean can partly explain the persistence of realized volatility. We propose a VAR-RV-Break model that provides superior predictive ability when the timing of future breaks is known. With unknown break dates and sizes, we find that a VAR-RV-I(d) long memory model provides a robust forecasting method even when the true financial volatility series are generated by structural breaks.
Author : Claudio Morana
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Modeling Long Memory and Structural Breaks in Conditional Variances written by Claudio Morana and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces a new long memory volatility process, denoted by Adaptive FIGARCH, or A-FIGARCH, which is designed to account for both long memory and structural change in the conditional variance process. Structural change is modeled by allowing the intercept to follow a smooth deterministic process, specified by Gallant (1984)'s flexible functional form. A Monte Carlo study finds that the A-FIGARCH model outperforms the standard FIGARCH model when structural change is present, and performs at least as well in the absence of structural instability. An empirical application to stock market volatility is also included to illustrate the usefulness of the technique.
Author : Pierre Perron
Publisher : MDPI
ISBN 13 : 3038428116
Total Pages : 167 pages
Book Rating : 4.0/5 (384 download)
Download or read book Unit Roots and Structural Breaks written by Pierre Perron and published by MDPI. This book was released on 2018-04-13 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Author : Van-Nam Huynh
Publisher : Springer Science & Business Media
ISBN 13 : 3642354432
Total Pages : 323 pages
Book Rating : 4.6/5 (423 download)
Download or read book Uncertainty Analysis in Econometrics with Applications written by Van-Nam Huynh and published by Springer Science & Business Media. This book was released on 2012-12-14 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unlike uncertain dynamical systems in physical sciences where models for prediction are somewhat given to us by physical laws, uncertain dynamical systems in economics need statistical models. In this context, modeling and optimization surface as basic ingredients for fruitful applications. This volume concentrates on the current methodology of copulas and maximum entropy optimization. This volume contains main research presentations at the Sixth International Conference of the Thailand Econometrics Society held at the Faculty of Economics, Chiang Mai University, Thailand, during January 10-11, 2013. It consists of keynote addresses, theoretical and applied contributions. These contributions to Econometrics are somewhat centered around the theme of Copulas and Maximum Entropy Econometrics. The method of copulas is applied to a variety of economic problems where multivariate model building and correlation analysis are needed. As for the art of choosing copulas in practical problems, the principle of maximum entropy surfaces as a potential way to do so. The state-of-the-art of Maximum Entropy Econometrics is presented in the first keynote address, while the second keynote address focusses on testing stationarity in economic time series data.
Author : Pierre Perron
Publisher :
ISBN 13 : 9783038428121
Total Pages : pages
Book Rating : 4.4/5 (281 download)
Download or read book Unit Roots and Structural Breaks written by Pierre Perron and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Unit Roots and Structural Breaks.
Author : Abderazak Ben Maatoug
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Modelling Foreign Exchange Realized Volatility Using High Frequency Data written by Abderazak Ben Maatoug and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show evidence for the presence of long memory in the exchange rates' realized volatility. From the Bai - Perron test, we found structural breakpoints that match significant events in financial markets. Furthermore, the findings provide strong evidence in favour of the presence of long memory.
Author : Walter Krämer
Publisher : Springer Science & Business Media
ISBN 13 : 3642484123
Total Pages : 134 pages
Book Rating : 4.6/5 (424 download)
Download or read book Econometrics of Structural Change written by Walter Krämer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: Econometric models are made up of assumptions which never exactly match reality. Among the most contested ones is the requirement that the coefficients of an econometric model remain stable over time. Recent years have therefore seen numerous attempts to test for it or to model possible structural change when it can no longer be ignored. This collection of papers from Empirical Economics mirrors part of this development. The point of departure of most studies in this volume is the standard linear regression model Yt = x;fJt + U (t = I, ... , 1), t where notation is obvious and where the index t emphasises the fact that structural change is mostly discussed and encountered in a time series context. It is much less of a problem for cross section data, although many tests apply there as well. The null hypothesis of most tests for structural change is that fJt = fJo for all t, i.e. that the same regression applies to all time periods in the sample and that the disturbances u are well behaved. The well known Chow test for instance assumes t that there is a single structural shift at a known point in time, i.e. that fJt = fJo (t
Author : Gilles Teyssière
Publisher : Springer Science & Business Media
ISBN 13 : 3540346252
Total Pages : 394 pages
Book Rating : 4.5/5 (43 download)
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.
