Author: Florian ZielPublisher:
ISBN:
Category :
Languages : en
Pages : 17
Book Description
Quasi-maximum Likelihood Estimation of Periodic Autoregressive, Conditionally Heteroscedastic Time Series
Author: Florian ZielStochastic Models, Statistics and Their Applications
Author: Ansgar StelandPublisher: Springer
ISBN: 3319138812
Category : Mathematics
Languages : en
Pages : 479
Book Description
This volume presents the latest advances and trends in stochastic models and related statistical procedures. Selected peer-reviewed contributions focus on statistical inference, quality control, change-point analysis and detection, empirical processes, time series analysis, survival analysis and reliability, statistics for stochastic processes, big data in technology and the sciences, statistical genetics, experiment design, and stochastic models in engineering. Stochastic models and related statistical procedures play an important part in furthering our understanding of the challenging problems currently arising in areas of application such as the natural sciences, information technology, engineering, image analysis, genetics, energy and finance, to name but a few. This collection arises from the 12th Workshop on Stochastic Models, Statistics and Their Applications, Wroclaw, Poland.
Modern Statistical Methods for Astronomy
Author: Eric D. FeigelsonPublisher: Cambridge University Press
ISBN: 052176727X
Category : Science
Languages : en
Pages : 495
Book Description
Modern Statistical Methods for Astronomy: With R Applications.
Periodic Time Series Models
Author: Philip Hans FransesPublisher: Oxford University Press
ISBN: 019924202X
Category : Business & Economics
Languages : en
Pages : 162
Book Description
In this insightful, modern study of the use of periodic models in the description and forecasting of economic data the authors investigate such areas as seasonal time series, periodic time series models, periodic integration and periodic cointegration.
Estimation in Conditionally Heteroscedastic Time Series Models
Author: Daniel StraumannPublisher: Springer Science & Business Media
ISBN: 3540269789
Category : Business & Economics
Languages : en
Pages : 239
Book Description
In his seminal 1982 paper, Robert F. Engle described a time series model with a time-varying volatility. Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price. Nowadays ARCH has been replaced by more general and more sophisticated models, such as GARCH (generalized autoregressive heteroscedastic). This monograph concentrates on mathematical statistical problems associated with fitting conditionally heteroscedastic time series models to data. This includes the classical statistical issues of consistency and limiting distribution of estimators. Particular attention is addressed to (quasi) maximum likelihood estimation and misspecified models, along to phenomena due to heavy-tailed innovations. The used methods are based on techniques applied to the analysis of stochastic recurrence equations. Proofs and arguments are given wherever possible in full mathematical rigour. Moreover, the theory is illustrated by examples and simulation studies.
Anticipating Correlations
Author: Robert EnglePublisher: Princeton University Press
ISBN: 1400830192
Category : Business & Economics
Languages : en
Pages : 176
Book Description
Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts. This fast-evolving environment presents econometricians with the challenge of forecasting dynamic correlations, which are essential inputs to risk measurement, portfolio allocation, derivative pricing, and many other critical financial activities. In Anticipating Correlations, Nobel Prize-winning economist Robert Engle introduces an important new method for estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle demonstrates the role of correlations in financial decision making, and addresses the economic underpinnings and theoretical properties of correlations and their relation to other measures of dependence. He compares DCC with other correlation estimators such as historical correlation, exponential smoothing, and multivariate GARCH, and he presents a range of important applications of DCC. Engle presents the asymmetric model and illustrates it using a multicountry equity and bond return model. He introduces the new FACTOR DCC model that blends factor models with the DCC to produce a model with the best features of both, and illustrates it using an array of U.S. large-cap equities. Engle shows how overinvestment in collateralized debt obligations, or CDOs, lies at the heart of the subprime mortgage crisis--and how the correlation models in this book could have foreseen the risks. A technical chapter of econometric results also is included. Based on the Econometric and Tinbergen Institutes Lectures, Anticipating Correlations puts powerful new forecasting tools into the hands of researchers, financial analysts, risk managers, derivative quants, and graduate students.
Encyclopedia of Actuarial Science
Author: Bjørn SundtPublisher:
ISBN:
Category : Actuarial science
Languages : en
Pages : 692
Book Description
Count Time Series
Author: Konstantinos FokianosPublisher: CRC Press
ISBN: 9781482248050
Category :
Languages : en
Pages : 220
Book Description
Time Series Analysis and Its Applications
Author: Robert H. ShumwayPublisher:
ISBN: 9781475732627
Category :
Languages : en
Pages : 568
Book Description
Time Series with Long Memory
Author: Peter M. RobinsonPublisher: Advanced Texts in Econometrics
ISBN: 9780199257300
Category : Business & Economics
Languages : en
Pages : 396
Book Description
Long memory time series are characterized by a strong dependence between distant events.