Author: Publisher:
ISBN:
Category :
Languages : ko
Pages :
Book Description
Three essays on econometric analysis of functional time series
Author: Three Essays on Econometrics
Author: Mijung ChoiPublisher:
ISBN:
Category : Bonds
Languages : en
Pages : 0
Book Description
In the first chapter titled, "A Factor Model for Functional Time Series", I construct a factor model for functional time series. Functions are infinite dimensional, and therefore, they have infinite dimensional features. I define functional factors as features affecting functional time series regularly and frequently. Other components are defined to be idiosyncratic since they only appear intermittently and sporadically. For determining the number of functional factors, asymptotic behaviors of the eigenvalues of the sample variance operator of the underlying functional time series are derived. I examine the time series of densities for the cross-sectional distributions of NYSE stock returns, and credit spread curves between US corporate bonds and Treasury bonds. In both examples, I find two functional factors characterize two main common features of the underlying functional time series. In the second chapter titled "A Factor Model for Functional Time Series with Unit Roots", I extend a factor model developed in the first chapter by allowing nonstationarity in the functional time series. I show functional factors and loadings can be consistently estimated after identifying potential unit roots subspace through functional principal component analysis. I apply the model to the U.S. yield curves and find the stationary fluctuations of the U.S. yield curves are mostly driven by curvature type of features. Also, I find one curvature feature appears regularly and is qualified being a functional factor.In the third chapter titled "A Factor Model for Functional Panels", I develop a factor model for functional panels with potentially large set of cross sections and time series. This model assumes that there are a finite number of common functional time series which keep generating response functions over time and its effects are non-trivial. I examine term structures of government bond yields for the US, the UK, Switzerland, Norway, South Korea, Germany, Canada and Australia. I find one global factor does exist and is important explaining fractions of variation in some country yield curves.
Essays in Nonlinear Time Series Econometrics
Author: Niels HaldrupPublisher: OUP Oxford
ISBN: 0191669547
Category : Business & Economics
Languages : en
Pages : 393
Book Description
This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
Three Essays on Time Series Analysis and Neural Networks in Econometrics
Author: Gerhard FechtelerThe Econometric Analysis of Time Series
Author: Andrew C. HarveyPublisher: MIT Press
ISBN: 9780262081894
Category : Business & Economics
Languages : en
Pages : 418
Book Description
The Econometric Analysis of Time Series focuses on the statistical aspects of model building, with an emphasis on providing an understanding of the main ideas and concepts in econometrics rather than presenting a series of rigorous proofs.
Three Essays on the Analysis of Economic Time Series
Author: Christopher Everett FieldPublisher:
ISBN:
Category :
Languages : en
Pages : 360
Book Description
Analysis of Financial Time Series
Author: Ruey S. TsayPublisher: John Wiley & Sons
ISBN: 0471746185
Category : Business & Economics
Languages : en
Pages : 576
Book Description
Provides statistical tools and techniques needed to understandtoday's financial markets The Second Edition of this critically acclaimed text provides acomprehensive and systematic introduction to financial econometricmodels and their applications in modeling and predicting financialtime series data. This latest edition continues to emphasizeempirical financial data and focuses on real-world examples.Following this approach, readers will master key aspects offinancial time series, including volatility modeling, neuralnetwork applications, market microstructure and high-frequencyfinancial data, continuous-time models and Ito's Lemma, Value atRisk, multiple returns analysis, financial factor models, andeconometric modeling via computation-intensive methods. The author begins with the basic characteristics of financialtime series data, setting the foundation for the three maintopics: Analysis and application of univariate financial timeseries Return series of multiple assets Bayesian inference in finance methods This new edition is a thoroughly revised and updated text,including the addition of S-Plus® commands and illustrations.Exercises have been thoroughly updated and expanded and include themost current data, providing readers with more opportunities to putthe models and methods into practice. Among the new material addedto the text, readers will find: Consistent covariance estimation under heteroscedasticity andserial correlation Alternative approaches to volatility modeling Financial factor models State-space models Kalman filtering Estimation of stochastic diffusion models The tools provided in this text aid readers in developing adeeper understanding of financial markets through firsthandexperience in working with financial data. This is an idealtextbook for MBA students as well as a reference for researchersand professionals in business and finance.
Three Essays in Applied Time Series Analysis
Author: Naci Hüseyin MocanPublisher:
ISBN:
Category : Time-series analysis
Languages : en
Pages : 210
Book Description
Three Essays on the Econometric Analysis of High-frequency Data
Author: Peter MalecElements of Time Series Econometrics: an Applied Approach
Author: Evžen KočendaPublisher: Charles University in Prague, Karolinum Press
ISBN: 8024631997
Category : Business & Economics
Languages : en
Pages : 220
Book Description
This book presents the numerous tools for the econometric analysis of time series. The text is designed with emphasis on the practical application of theoretical tools. Accordingly, material is presented in a way that is easy to understand. In many cases intuitive explanation and understanding of the studied phenomena are offerd. Essential concepts are illustrated by clear-cut examples. The attention of readers is drawn to numerous applied works where the use of specific techniques is best illustrated. Such applications are chiefly connected with issues of recent economic transition and European integration. The outlined style of presentation makes the book also a rich source of references. The text is divided into five major sections. The first section, “The Nature of Time Series”, gives an introduction to time series analysis. The second section, “Difference Equations”, describes briefly the theory of difference equations with an emphasis on results that are important for time series econometrics. The third section, “Univariate Time Series”, presents the methods commonly used in univariate time series analysis, the analysis of time series of one single variable. The fourth section, “Multiple Time Series”, deals with time series models of multiple interrelated variables. The fifth section “Panel Data and Unit Root Tests”, deals with methods known as panel unit root tests that are relevant to issues of convergence. Appendices contain an introduction to simulation techniques and statistical tables. Kniha přináší soubor základních i pokročilých technik a postupů používaných v ekonometrické analýze časových řad. Kniha klade důraz na umožnění efektivního použití popsaných technik v aplikovaném ekonomickém výzkumu. Toho je dosaženo tím, že teoretické základy popsané ekonometrie jsou prezentovány spolu s intuitivním vysvětlením problematiky a jednotlivé techniky jsou ilustrovány na výsledcích současného výzkumu a to především v kontextu procesu nedávné ekonomické transformace a současné evropské integrace. Toto pojetí z knihy činí nejen učebnici v klasickém smyslu, ale také užitečný referenční zdroj neboť odkazy v knize spojují klasickou i moderní ekonometrickou literaturu se soudobými aplikacemi, na nichž je použití jednotlivých technik jasně pochopitelné. Mnohá použití vycházejí z bohaté předchozí práce autorů v oboru. Text knihy je rozdělen do pěti hlavních částí. První část, “The Nature of Time Series”, přináší úvod do analýzy časových řad a popis jejich nejdůležitějších charakteristik, vlastností a procesů. Druhá část, “Difference Equations”, stručně popisuje teorii diferenciálních rovnic s důrazem na aspekty, které jsou klíčové v ekonometrii časových řad. Třetí část, “Univariate Time Series”, poměrně rozsáhle popisuje techniky, které se používají při analýze jednotlivých časových řad bez jejich vzájemené interakce a zahrnuje jak lineární tak nelineární modelované struktury. Čtvrtá část, “Multiple Time Series”, popisuje modely které umožňují analýzu několika časových řad a jejich vzájemných interakcí. Pátá část “Panel Data and Unit Root Tests”, zahrnuje některé techniky postavené na panelových datech, jež k průřezovým datům přidávají časovou dimenzi a vztahují se k analýze konvergence. Závěr knihy je doplněn o úvod do simulační techniky a statistické tabulky