Markov Switching And Long Memory

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Markov Switching and Long Memory

Author : William Yu
Publisher :
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (129 download)

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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.

Regime Switching Models

Author : Dominique Guegan
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (129 download)

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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.

Long Memory with Markov-Switching GARCH

Author : Walter Krämer
Publisher :
ISBN 13 :
Total Pages : 9 pages
Book Rating : 4.:/5 (255 download)

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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:

Long Memory with Markov-Switching GARCH

Author :
Publisher :
ISBN 13 :
Total Pages : 9 pages
Book Rating : 4.:/5 (227 download)

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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:

Long Memory with Markov-Switching GARCH.

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (12 download)

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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:

Can We Distinguish Regime Switching from Long Memory? A Simulation Evidence

Author : Yanlin Shi
Publisher :
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (13 download)

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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.

Long Memory and Regime Switching

Author : Francis X. Diebold
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.

Long Memory and Structural Breaks in Realized Volatility

Author : Nima Nonejad
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)

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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:

Why Regime Switching Creates the Illusion of Long Memory

Author : Aaron Smith
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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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.

Long Memory & Regime Switching

Author : Soyeon Lee
Publisher :
ISBN 13 :
Total Pages : 278 pages
Book Rating : 4.:/5 (896 download)

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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:

Long Memory in Economics

Author : Gilles Teyssière
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.

2021 IEEE Radar Conference (RadarConf21)

Author : IEEE Staff
Publisher :
ISBN 13 : 9781728176109
Total Pages : pages
Book Rating : 4.1/5 (761 download)

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Book Synopsis 2021 IEEE Radar Conference (RadarConf21) by : IEEE Staff

Download or read book 2021 IEEE Radar Conference (RadarConf21) written by IEEE Staff and published by . This book was released on 2021-05-07 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The rich technical program, themed under Radar on the Move, will include topics in radar systems, subsystems, techniques, technology, applications, phenomenology, and signal processing

Statistics for Long-Memory Processes

Author : Jan Beran
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.

Finite Mixture and Markov Switching Models

Author : Sylvia Frühwirth-Schnatter
Publisher : Springer Science & Business Media
ISBN 13 : 0387357688
Total Pages : 506 pages
Book Rating : 4.3/5 (873 download)

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Book Synopsis Finite Mixture and Markov Switching Models by : Sylvia Frühwirth-Schnatter

Download or read book Finite Mixture and Markov Switching Models written by Sylvia Frühwirth-Schnatter and published by Springer Science & Business Media. This book was released on 2006-11-24 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: The past decade has seen powerful new computational tools for modeling which combine a Bayesian approach with recent Monte simulation techniques based on Markov chains. This book is the first to offer a systematic presentation of the Bayesian perspective of finite mixture modelling. The book is designed to show finite mixture and Markov switching models are formulated, what structures they imply on the data, their potential uses, and how they are estimated. Presenting its concepts informally without sacrificing mathematical correctness, it will serve a wide readership including statisticians as well as biologists, economists, engineers, financial and market researchers.

Forecasting Time Series With Long Memory and Level Shifts

Author : Silvio Di Sanzo
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Forecasting Time Series With Long Memory and Level Shifts by : Silvio Di Sanzo

Download or read book Forecasting Time Series With Long Memory and Level Shifts written by Silvio Di Sanzo and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent studies have showed that it is troublesome, in practice, to distinguish between long memory and nonlinear processes. Therefore, it is of obvious interest to try to capture both features of long memory and non-linearity into a single time series model to be able to assess their relative importance. In this paper we put forward such a model, where we combine the features of long memory and Markov nonlinearity. A Markov Chain Monte Carlo algorithm is proposed to estimate the model and evaluate its forecasting performance using Bayesian predictive densities. The resulting forecasts are a significant improvement over those obtained by the linear long memory and Markov switching models.

On the Memory of a Non-homogeneous Markov Chain with Coverging Transition Probabilities

Author : Bo Lindqvist
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (254 download)

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Book Synopsis On the Memory of a Non-homogeneous Markov Chain with Coverging Transition Probabilities by : Bo Lindqvist

Download or read book On the Memory of a Non-homogeneous Markov Chain with Coverging Transition Probabilities written by Bo Lindqvist and published by . This book was released on 1981 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Informatics Engineering and Information Science, Part II

Author : Azizah Abd Manaf
Publisher : Springer Science & Business Media
ISBN 13 : 3642254527
Total Pages : 773 pages
Book Rating : 4.6/5 (422 download)

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Book Synopsis Informatics Engineering and Information Science, Part II by : Azizah Abd Manaf

Download or read book Informatics Engineering and Information Science, Part II written by Azizah Abd Manaf and published by Springer Science & Business Media. This book was released on 2011-10-28 with total page 773 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 4-Volume-Set, CCIS 0251 - CCIS 0254, constitutes the refereed proceedings of the International Conference on Informatics Engineering and Information Science, ICIEIS 2011, held in Kuala Lumpur, Malaysia, in November 2011. The 210 revised full papers presented together with invited papers in the 4 volumes were carefully reviewed and selected from numerous submissions. The papers are organized in topical sections on e-learning, information security, software engineering, image processing, algorithms, artificial intelligence and soft computing, e-commerce, data mining, neural networks, social networks, grid computing, biometric technologies, networks, distributed and parallel computing, wireless networks, information and data management, web applications and software systems, multimedia, ad hoc networks, mobile computing, as well as miscellaneous topics in digital information and communications.