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Author: Martin Martens Publisher: ISBN: Category : Languages : en Pages : 26
Book Description
In this study we compare volatility forecasts over a thirty-minute horizon for the spot exchange rates of the Deutsche Mark and the Japanese Yen against the US dollar. Explicitly modeling the intraday seasonal pattern improves the out-of-sample forecasting performance. We find that a seasonal estimated from the log of squared returns improves upon the use of simple squared returns, and that the flexible Fourier form (FFF) is an efficient way of determining the seasonal. The two-step approach that first estimates the seasonal using the FFF and then the parameters of the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model for the deseasonalized returns performs only marginally worse than the computationally expensive periodic GARCH model that includes the FFF.
Author: Martin Martens Publisher: ISBN: Category : Languages : en Pages : 26
Book Description
In this study we compare volatility forecasts over a thirty-minute horizon for the spot exchange rates of the Deutsche Mark and the Japanese Yen against the US dollar. Explicitly modeling the intraday seasonal pattern improves the out-of-sample forecasting performance. We find that a seasonal estimated from the log of squared returns improves upon the use of simple squared returns, and that the flexible Fourier form (FFF) is an efficient way of determining the seasonal. The two-step approach that first estimates the seasonal using the FFF and then the parameters of the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model for the deseasonalized returns performs only marginally worse than the computationally expensive periodic GARCH model that includes the FFF.
Author: Estela Bee Dagum Publisher: Springer ISBN: 3319318225 Category : Business & Economics Languages : en Pages : 293
Book Description
This book explores widely used seasonal adjustment methods and recent developments in real time trend-cycle estimation. It discusses in detail the properties and limitations of X12ARIMA, TRAMO-SEATS and STAMP - the main seasonal adjustment methods used by statistical agencies. Several real-world cases illustrate each method and real data examples can be followed throughout the text. The trend-cycle estimation is presented using nonparametric techniques based on moving averages, linear filters and reproducing kernel Hilbert spaces, taking recent advances into account. The book provides a systematical treatment of results that to date have been scattered throughout the literature. Seasonal adjustment and real time trend-cycle prediction play an essential part at all levels of activity in modern economies. They are used by governments to counteract cyclical recessions, by central banks to control inflation, by decision makers for better modeling and planning and by hospitals, manufacturers, builders, transportation, and consumers in general to decide on appropriate action. This book appeals to practitioners in government institutions, finance and business, macroeconomists, and other professionals who use economic data as well as academic researchers in time series analysis, seasonal adjustment methods, filtering and signal extraction. It is also useful for graduate and final-year undergraduate courses in econometrics and time series with a good understanding of linear regression and matrix algebra, as well as ARIMA modelling.
Author: G. Elliott Publisher: Elsevier ISBN: 0444513957 Category : Business & Economics Languages : en Pages : 1071
Book Description
Section headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Forecasting Methods.'.
Author: Wei-Chiang Hong Publisher: MDPI ISBN: 3038975826 Category : Languages : en Pages : 445
Book Description
This book is a printed edition of the Special Issue "Short-Term Load Forecasting by Artificial Intelligent Technologies" that was published in Energies
Author: Andrew C. Harvey Publisher: Cambridge University Press ISBN: 1107034728 Category : Business & Economics Languages : en Pages : 281
Book Description
The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have provided the principal means of analyzing, modeling and monitoring such changes. Taking into account that financial returns typically exhibit heavy tails - that is, extreme values can occur from time to time - Andrew Harvey's new book shows how a small but radical change in the way GARCH models are formulated leads to a resolution of many of the theoretical problems inherent in the statistical theory. The approach can also be applied to other aspects of volatility. The more general class of Dynamic Conditional Score models extends to robust modeling of outliers in the levels of time series and to the treatment of time-varying relationships. The statistical theory draws on basic principles of maximum likelihood estimation and, by doing so, leads to an elegant and unified treatment of nonlinear time-series modeling.
Author: Yu. Kabanov Publisher: Springer Science & Business Media ISBN: 3540307885 Category : Mathematics Languages : en Pages : 659
Book Description
Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the papers make the book attractive for PhD students and young researchers.
Author: Julien Chevallier Publisher: Routledge ISBN: 1351669214 Category : Business & Economics Languages : en Pages : 426
Book Description
This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. International Financial Markets: Volume I provides a key repository on the current state of knowledge, the latest debates and recent literature on international financial markets. Against the background of the "financialization of commodities" since the 2008 sub-primes crisis, section one contains recent contributions on commodity and financial markets, pushing the frontiers of applied econometrics techniques. The second section is devoted to exchange rate and current account dynamics in an environment characterized by large global imbalances. Part three examines the latest research in the field of meta-analysis in economics and finance. This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.
Author: Wei-Chiang Hong Publisher: Springer Science & Business Media ISBN: 1447149688 Category : Business & Economics Languages : en Pages : 203
Book Description
As industrial, commercial, and residential demands increase and with the rise of privatization and deregulation of the electric energy industry around the world, it is necessary to improve the performance of electric operational management. Intelligent Energy Demand Forecasting offers approaches and methods to calculate optimal electric energy allocation to reach equilibrium of the supply and demand. Evolutionary algorithms and intelligent analytical tools to improve energy demand forecasting accuracy are explored and explained in relation to existing methods. To provide clearer picture of how these hybridized evolutionary algorithms and intelligent analytical tools are processed, Intelligent Energy Demand Forecasting emphasizes on improving the drawbacks of existing algorithms. Written for researchers, postgraduates, and lecturers, Intelligent Energy Demand Forecasting helps to develop the skills and methods to provide more accurate energy demand forecasting by employing novel hybridized evolutionary algorithms and intelligent analytical tools.
Author: Wei-Chiang Hong Publisher: Springer Nature ISBN: 3030365298 Category : Business & Economics Languages : en Pages : 179
Book Description
This book is written for researchers and postgraduates who are interested in developing high-accurate energy demand forecasting models that outperform traditional models by hybridizing intelligent technologies. It covers meta-heuristic algorithms, chaotic mapping mechanism, quantum computing mechanism, recurrent mechanisms, phase space reconstruction, and recurrence plot theory. The book clearly illustrates how these intelligent technologies could be hybridized with those traditional forecasting models. This book provides many figures to deonstrate how these hybrid intelligent technologies are being applied to exceed the limitations of existing models.
Author: Martin Martens
Author: Martin Martens
Author: Estela Bee Dagum
Author: G. Elliott
Author: 
Author: Wei-Chiang Hong
Author: Andrew C. Harvey
Author: Yu. Kabanov
Author: Julien Chevallier
Author: Wei-Chiang Hong
Author: Wei-Chiang Hong