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Author : Zacharias Psaradakis
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (247 download)
Download or read book Power Properties of Nonlinearity Tests for Time Series with Markov Regime written by Zacharias Psaradakis and published by . This book was released on 1999 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zacharias Psaradakis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (593 download)
Download or read book Power Properties on Nonlinearity Tests for Time Series with Markov Regime written by Zacharias Psaradakis and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jun Ma
Publisher : Springer Science & Business Media
ISBN 13 : 1461480604
Total Pages : 308 pages
Book Rating : 4.4/5 (614 download)
Download or read book Recent Advances in Estimating Nonlinear Models written by Jun Ma and published by Springer Science & Business Media. This book was released on 2013-09-24 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear models have been used extensively in the areas of economics and finance. Recent literature on the topic has shown that a large number of series exhibit nonlinear dynamics as opposed to the alternative--linear dynamics. Incorporating these concepts involves deriving and estimating nonlinear time series models, and these have typically taken the form of Threshold Autoregression (TAR) models, Exponential Smooth Transition (ESTAR) models, and Markov Switching (MS) models, among several others. This edited volume provides a timely overview of nonlinear estimation techniques, offering new methods and insights into nonlinear time series analysis. It features cutting-edge research from leading academics in economics, finance, and business management, and will focus on such topics as Zero-Information-Limit-Conditions, using Markov Switching Models to analyze economics series, and how best to distinguish between competing nonlinear models. Principles and techniques in this book will appeal to econometricians, finance professors teaching quantitative finance, researchers, and graduate students interested in learning how to apply advances in nonlinear time series modeling to solve complex problems in economics and finance.
Author : Holger Kantz
Publisher : Cambridge University Press
ISBN 13 : 1139440438
Total Pages : 390 pages
Book Rating : 4.1/5 (394 download)
Download or read book Nonlinear Time Series Analysis written by Holger Kantz and published by Cambridge University Press. This book was released on 2003-11-27 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paradigm of deterministic chaos has influenced thinking in many fields of science. Chaotic systems show rich and surprising mathematical structures. In the applied sciences, deterministic chaos provides a striking explanation for irregular behaviour and anomalies in systems which do not seem to be inherently stochastic. The most direct link between chaos theory and the real world is the analysis of time series from real systems in terms of nonlinear dynamics. Experimental technique and data analysis have seen such dramatic progress that, by now, most fundamental properties of nonlinear dynamical systems have been observed in the laboratory. Great efforts are being made to exploit ideas from chaos theory wherever the data displays more structure than can be captured by traditional methods. Problems of this kind are typical in biology and physiology but also in geophysics, economics, and many other sciences.
Author : Niels Haldrup
Publisher : Oxford University Press, USA
ISBN 13 : 0199679959
Total Pages : 393 pages
Book Rating : 4.1/5 (996 download)
Download or read book Essays in Nonlinear Time Series Econometrics written by Niels Haldrup and published by Oxford University Press, USA. This book was released on 2014-05 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: A book on nonlinear economic relations that involve time. It covers specification testing of linear versus non-linear models, model specification testing, estimation of smooth transition models, volatility modelling using non-linear model specification, analysis of high dimensional data set, and forecasting.
Author : Nicola Spagnolo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (594 download)
Download or read book Nonlinearity Testing, Model Selection and Forecasting in the Prescence of Markov Regime Switching written by Nicola Spagnolo and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Philip Rothman
Publisher : Springer Science & Business Media
ISBN 13 : 1461551293
Total Pages : 379 pages
Book Rating : 4.4/5 (615 download)
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 2012-12-06 with total page 379 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.
Author : Azizah Abd Manaf
Publisher : Springer Science & Business Media
ISBN 13 : 3642254527
Total Pages : 773 pages
Book Rating : 4.6/5 (422 download)
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.
Author : Holger Kantz
Publisher : Cambridge University Press
ISBN 13 : 9780521529020
Total Pages : 390 pages
Book Rating : 4.5/5 (29 download)
Download or read book Nonlinear Time Series Analysis written by Holger Kantz and published by Cambridge University Press. This book was released on 2004 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paradigm of deterministic chaos has influenced thinking in many fields of science. Chaotic systems show rich and surprising mathematical structures. In the applied sciences, deterministic chaos provides a striking explanation for irregular behaviour and anomalies in systems which do not seem to be inherently stochastic. The most direct link between chaos theory and the real world is the analysis of time series from real systems in terms of nonlinear dynamics. Experimental technique and data analysis have seen such dramatic progress that, by now, most fundamental properties of nonlinear dynamical systems have been observed in the laboratory. Great efforts are being made to exploit ideas from chaos theory wherever the data displays more structure than can be captured by traditional methods. Problems of this kind are typical in biology and physiology but also in geophysics, economics, and many other sciences.
Author : Daniel R. Smith
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (129 download)
Download or read book Evaluating Specification Tests for Markov-Switching Time Series Models written by Daniel R. Smith and published by . This book was released on 2007 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We evaluate the performance of several specification tests for Markov regime-switching time series models. We consider the Lagrange Multiplier and dynamic specification tests of Hamilton (1994) and Ljung-Box tests based on both the generalized residual and a standard-normal residual constructed using the Rosenblatt transformation. The size and power of the tests is studied using Monte Carlo experiments. We find that the LM tests have the best size and power properties. The Ljung-Box tests exhibit slight size distortions, though the tests based on the Roenblatt transformation perform better than the generalized residual-based tests. The tests exhibit impressive power to detect both autocorrelation and ARCH. The tests are illustrated with a Markov-Switching GARCH model fitted to the US Dollar-British Pound exchange rate, finding that both autocorrelation and GARCH effects are needed to adequately fit the data.
Author : Greg N. Gregoriou
Publisher : Springer
ISBN 13 : 0230295215
Total Pages : 214 pages
Book Rating : 4.2/5 (32 download)
Download or read book Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration written by Greg N. Gregoriou and published by Springer. This book was released on 2010-12-08 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.
Author : Ruey S. Tsay
Publisher : John Wiley & Sons
ISBN 13 : 1119264065
Total Pages : 516 pages
Book Rating : 4.1/5 (192 download)
Download or read book Nonlinear Time Series Analysis written by Ruey S. Tsay and published by John Wiley & Sons. This book was released on 2018-09-13 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive resource that draws a balance between theory and applications of nonlinear time series analysis Nonlinear Time Series Analysis offers an important guide to both parametric and nonparametric methods, nonlinear state-space models, and Bayesian as well as classical approaches to nonlinear time series analysis. The authors—noted experts in the field—explore the advantages and limitations of the nonlinear models and methods and review the improvements upon linear time series models. The need for this book is based on the recent developments in nonlinear time series analysis, statistical learning, dynamic systems and advanced computational methods. Parametric and nonparametric methods and nonlinear and non-Gaussian state space models provide a much wider range of tools for time series analysis. In addition, advances in computing and data collection have made available large data sets and high-frequency data. These new data make it not only feasible, but also necessary to take into consideration the nonlinearity embedded in most real-world time series. This vital guide: • Offers research developed by leading scholars of time series analysis • Presents R commands making it possible to reproduce all the analyses included in the text • Contains real-world examples throughout the book • Recommends exercises to test understanding of material presented • Includes an instructor solutions manual and companion website Written for students, researchers, and practitioners who are interested in exploring nonlinearity in time series, Nonlinear Time Series Analysis offers a comprehensive text that explores the advantages and limitations of the nonlinear models and methods and demonstrates the improvements upon linear time series models.
Author : Yan Zhang
Publisher :
ISBN 13 :
Total Pages : 226 pages
Book Rating : 4.:/5 (512 download)
Download or read book Testing for Nonlinearities in Time Series with an Application to Exchange Rates written by Yan Zhang and published by . This book was released on 2002 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation focuses on testing for nonlinearities in time series. Inspired by the work of Luukkonen et al. (1988) and Saikkonen and Luukkonen (1988), we consider applying a linearity test constructed specifically to general linearity testing by utilizing the power of a specific linearity test against "incorrect" nonlinear models. The LM test is discussed as a specific linearity test. To evaluate its performance as a general linearity test, we introduce a popular general linearity test, the BDS test, for comparison. Both power and size properties of the tests are investigated using Monte Carlo simulation and Bootstrap methods. The data generating process are the linear AR model and the nonlinear BL, EAR, TAR, STAR and ARCH models. Though the powers of the LM tests vary according to the data generating process, as Luukkonen et al. (1988) and Saikkonen and Luukkonen (1988) concluded, we are able to find that the START, the LM test with the STAR model as alternative, has generally good powers for all the nonlinear models discussed. We apply the result to an empirical study of four major countries' foreign exchange rate series. Linearity tests in the form of START and BDS are conducted for the data. The START statistics indicate that all the four exchange rates series are nonlinear, while the BDS statistics only detect nonlinearities in three of the four series. We estimate the series in the nonlinear form of ESTAR and BL models. All of them are significant and most of them are better than the linear AR estimation. Meese and Rogoff's myth that nonlinear models cannot do better than the naïve random walk model is also discussed for this specific data.
Author : Robert A. Meyers
Publisher : Springer Science & Business Media
ISBN 13 : 1441977007
Total Pages : 919 pages
Book Rating : 4.4/5 (419 download)
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Download or read book Nonlinearity Testing, Model Selection and Forecasting in the Presence of Markov Regime Switching written by and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (924 download)
Download or read book Power Properties of Linearity Tests for Time Series written by and published by . This book was released on 1996 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sheng-Lung Peng
Publisher : Springer Nature
ISBN 13 : 981993611X
Total Pages : 559 pages
Book Rating : 4.8/5 (199 download)
Download or read book Proceedings of 3rd International Conference on Mathematical Modeling and Computational Science written by Sheng-Lung Peng and published by Springer Nature. This book was released on 2023-08-28 with total page 559 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume is a collection of high-quality, peer-reviewed research papers presented at the Third International Conference on Mathematical Modeling and Computational Science (ICMMCS 2023), held during 24 – 25 February 2023 in hybrid mode. The topics covered in the book are mathematical logic and foundations, numerical analysis, neural networks, fuzzy set theory, coding theory, higher algebra, number theory, graph theory and combinatory, computation in complex networks, calculus, differential educations and integration, application of soft computing, knowledge engineering, machine learning, artificial intelligence, big data and data analytics, high performance computing, network and device security, Internet of Things (IoT).
