Author: Philipp SibbertsenPublisher:
ISBN:
Category :
Languages : en
Pages : 28
Book Description
Long-memory Versus Structural Breaks
Author: Philipp SibbertsenSimple (but Effective) Tests of Long Memory Versus Structural Breaks
Author: What is what?[
Author: Juan José DoladoLong Memory, Structural Breaks and the Volatility-volume Relationship
Author: Aris KartsaklasOccasional Structural Breaks and Long Memory
Author: Clive William John GrangerPublisher:
ISBN:
Category : Autocorrelation (Statistics)
Languages : en
Pages : 32
Book Description
Long-Memory Processes
Author: Jan BeranPublisher: Springer Science & Business Media
ISBN: 3642355129
Category : Mathematics
Languages : en
Pages : 892
Book Description
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.
Forecasting in the Presence of Structural Breaks and Model Uncertainty
Author: David E. RapachPublisher: Emerald Group Publishing
ISBN: 044452942X
Category : Business & Economics
Languages : en
Pages : 691
Book Description
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.
Essays in Honor of Cheng Hsiao
Author: Dek TerrellPublisher: Emerald Group Publishing
ISBN: 1789739594
Category : Business & Economics
Languages : en
Pages : 418
Book Description
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.
Time Series Analysis with Long Memory in View
Author: Uwe HasslerPublisher: John Wiley & Sons
ISBN: 1119470285
Category : Mathematics
Languages : en
Pages : 292
Book Description
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.
Long Memory Versus Structural Breaks in Modeling and Forecasting Realized Volatility
Author: Kyongwook ChoiPublisher:
ISBN:
Category :
Languages : en
Pages : 36
Book Description
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.