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Structural Breaks In Financial Time Series
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Book Synopsis Structural Breaks in Financial Time Series by : Elena Andreou
Download or read book Structural Breaks in Financial Time Series written by Elena Andreou and published by . This book was released on 2012 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the literature on structural breaks in financial time series. First we discuss the implications of structural breaks in financial time series for statistical inference purposes. In the second section we discuss the relevant asymptotic results and issues involved in general classifications of change-point tests in financial time series such historical versus sequential tests, parametric versus nonparametric tests and single versus multiple break tests. The third section reviews a number of structural change tests by focusing on certain characteristics or moments of financial time series such as structural break tests in the financial asset returns and volatility, long memory, tails and distribution. In addition, we review changepoint tests for the co-dependence between financial asset returns processes in the context of multivariate volatility models, copulae and last but not least asset pricing. In concluding we provide some areas of future research in the subject.
Author :Torben Gustav Andersen Publisher :Springer Science & Business Media ISBN 13 :3540712976 Total Pages :1045 pages Book Rating :4.5/5 (47 download)
Book Synopsis Handbook of Financial Time Series by : Torben Gustav Andersen
Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Book Synopsis Estimating and Forecasting Structural Breaks in Financial Time Series by : Luc Bauwens
Download or read book Estimating and Forecasting Structural Breaks in Financial Time Series written by Luc Bauwens and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Econometrics of Structural Change by : Walter Krämer
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
Book Synopsis Essentials of Time Series for Financial Applications by : Massimo Guidolin
Download or read book Essentials of Time Series for Financial Applications written by Massimo Guidolin and published by Academic Press. This book was released on 2018-05-29 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essentials of Time Series for Financial Applications serves as an agile reference for upper level students and practitioners who desire a formal, easy-to-follow introduction to the most important time series methods applied in financial applications (pricing, asset management, quant strategies, and risk management). Real-life data and examples developed with EViews illustrate the links between the formal apparatus and the applications. The examples either directly exploit the tools that EViews makes available or use programs that by employing EViews implement specific topics or techniques. The book balances a formal framework with as few proofs as possible against many examples that support its central ideas. Boxes are used throughout to remind readers of technical aspects and definitions and to present examples in a compact fashion, with full details (workout files) available in an on-line appendix. The more advanced chapters provide discussion sections that refer to more advanced textbooks or detailed proofs. Provides practical, hands-on examples in time-series econometrics Presents a more application-oriented, less technical book on financial econometrics Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction Features examples worked out in EViews (9 or higher)
Download or read book Time Series Models written by D.R. Cox and published by CRC Press. This book was released on 2020-11-26 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis prediction and interpolation of economic and other time series has a long history and many applications. Major new developments are taking place, driven partly by the need to analyze financial data. The five papers in this book describe those new developments from various viewpoints and are intended to be an introduction accessible to readers from a range of backgrounds. The book arises out of the second Seminaire European de Statistique (SEMSTAT) held in Oxford in December 1994. This brought together young statisticians from across Europe, and a series of introductory lectures were given on topics at the forefront of current research activity. The lectures form the basis for the five papers contained in the book. The papers by Shephard and Johansen deal respectively with time series models for volatility, i.e. variance heterogeneity, and with cointegration. Clements and Hendry analyze the nature of prediction errors. A complementary review paper by Laird gives a biometrical view of the analysis of short time series. Finally Astrup and Nielsen give a mathematical introduction to the study of option pricing. Whilst the book draws its primary motivation from financial series and from multivariate econometric modelling, the applications are potentially much broader.
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.
Book Synopsis The Econometric Modelling of Financial Time Series by : Terence C. Mills
Download or read book The Econometric Modelling of Financial Time Series written by Terence C. Mills and published by Cambridge University Press. This book was released on 2008-03-20 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.
Book Synopsis Forecasting Economic Time Series Using Dynamic Factor Models Under Structural Breaks by : Johannes Degn
Download or read book Forecasting Economic Time Series Using Dynamic Factor Models Under Structural Breaks written by Johannes Degn and published by . This book was released on 2014 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Econometric Modelling of Financial Time Series by : Terence C. Mills
Download or read book The Econometric Modelling of Financial Time Series written by Terence C. Mills and published by Cambridge University Press. This book was released on 2008-03-20 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.
Book Synopsis Time Series Econometrics by : John D. Levendis
Download or read book Time Series Econometrics written by John D. Levendis and published by Springer. This book was released on 2019-01-31 with total page 409 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, the author rejects the theorem-proof approach as much as possible, and emphasize the practical application of econometrics. They show with examples how to calculate and interpret the numerical results. This book begins with students estimating simple univariate models, in a step by step fashion, using the popular Stata software system. Students then test for stationarity, while replicating the actual results from hugely influential papers such as those by Granger and Newbold, and Nelson and Plosser. Readers will learn about structural breaks by replicating papers by Perron, and Zivot and Andrews. They then turn to models of conditional volatility, replicating papers by Bollerslev. Finally, students estimate multi-equation models such as vector autoregressions and vector error-correction mechanisms, replicating the results in influential papers by Sims and Granger. The book contains many worked-out examples, and many data-driven exercises. While intended primarily for graduate students and advanced undergraduates, practitioners will also find the book useful.
Book Synopsis Structural Breaks in Panel Data by : Jaromír Antoch
Download or read book Structural Breaks in Panel Data written by Jaromír Antoch and published by . This book was released on 2017 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: The detection of the (structural) break or so called change point problem has drawn increasing attention from both theoretical and applied economic and financial research over the last decade. A large part of the existing research concentrates on the detection and asymptotic properties of the change point problem for panels with a large time dimension T. In this article we study a different approach, i.e., we consider the asymptotic properties with respect to N (number of panel members) while keeping T fixed. This situation (N --> [infinity symbol] but T being fixed and rather small) is typically related to large (firm-level) data containing financial information about an immerse number of firms/stocks across a limited number of years/quarters/months. We propose a general approach for testing for the break(s) in this setup, which also allows their detection. In particular, we show the asymptotic behavior of the test statistics, along with an alternative wild bootstrap procedure that could be used to generate the critical values of the test statistics. The theoretical approach is supplemented by numerous simulations and extended by an empirical illustration. In the practical application we demonstrate the testing procedure in the framework of the four factors CAPM model. In particular, we estimate breaks in monthly returns of the US mutual funds during the period January 2006 to February 2010 which covers the subprime crises.
Book Synopsis Time Series Econometrics by : Pierre Perron
Download or read book Time Series Econometrics 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: Part I. Unit roots and trend breaks -- Part II. Structural change
Book Synopsis Tests for Structural Breaks in Time Series Analysis by : Muthuramu P
Download or read book Tests for Structural Breaks in Time Series Analysis written by Muthuramu P and published by . This book was released on 2019 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: The issue related to a structural break or change point in the econometric and statistics literature is relatively vast. In recent decades it was increasing, and it got recognized by various researchers. The debates are about a structural break or parameter instability in the econometric models. Over some time, there has been a different mechanism, and theoretical development stretching the fundamental change and strengthen the econometric literature. Estimation of structural break has undergone significant changes. Instead of exploring the presence of a known structural break, now the emphasis is on tracing multiple unknown cracks using dynamic programming. The paper an attempt has been made to review the different forms of the presence of structural break(s) over the past.
Book Synopsis Forecasting Time Series Subject to Multiple Structural Breaks by : M. Hashem Pesaran
Download or read book Forecasting Time Series Subject to Multiple Structural Breaks written by M. Hashem Pesaran and published by . This book was released on 2004 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a Bayesian estimation and prediction procedure that allows for the possibility of new breaks over the forecast horizon, taking account of the size and duration of past breaks (if any) by means of a hierarchical hidden Markov chain model. Predictions are formed by integrating over the hyper parameters from the meta distributions that characterize the stochastic break point process. In an application to US Treasury bill rates, we find that the method leads to better out-of-sample forecasts than alternative methods that ignore breaks, particularly at long horizons"--Forschungsinstitut zur Zukunft der Arbeit web site.
Book Synopsis Testing for Structural Breaks in Small Samples by : Sergei Antoshin
Download or read book Testing for Structural Breaks in Small Samples written by Sergei Antoshin and published by . This book was released on 2008-03-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations in both the size and power of their tests in smaller samples. We propose modifying their methodology to deal with small samples by using Monte Carlo simulations to determine sample-specific critical values under the each time the test is run. We draw on the results of our simulations to offer practical suggestions on handling serial correlation, model misspecification, and the use of alternative test statistics for sequential testing. We show that, for most types of data generating processes in samples with as low as 50 observations, our proposed modifications perform substantially better.
Book Synopsis Nonlinear Time Series Analysis of Economic and Financial Data by : Philip Rothman
Download or read book Nonlinear Time Series Analysis of Economic and Financial Data written by Philip Rothman and published by Springer Science & Business Media. This book was released on 1999-01-31 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.
