Structural Breaks In Financial Time Series PDF Download
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| Author | : Elena Andreou |
| Publisher | : |
| Total Pages | : 55 |
| Release | : 2012 |
| Genre | : |
| ISBN | : |
Download Structural Breaks in Financial Time Series Book in PDF, ePub and Kindle
This paper reviews the literature on structural breaks in financial time series. First we discuss the implications of structural breaks in financial time series for statistical inference purposes. In the second section we discuss the relevant asymptotic results and issues involved in general classifications of change-point tests in financial time series such historical versus sequential tests, parametric versus nonparametric tests and single versus multiple break tests. The third section reviews a number of structural change tests by focusing on certain characteristics or moments of financial time series such as structural break tests in the financial asset returns and volatility, long memory, tails and distribution. In addition, we review changepoint tests for the co-dependence between financial asset returns processes in the context of multivariate volatility models, copulae and last but not least asset pricing. In concluding we provide some areas of future research in the subject.
| Author | : Torben Gustav Andersen |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 1045 |
| Release | : 2009-04-21 |
| Genre | : Business & Economics |
| ISBN | : 3540712976 |
Download Handbook of Financial Time Series Book in PDF, ePub and Kindle
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
| Author | : Luc Bauwens |
| Publisher | : |
| Total Pages | : |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
Download Estimating and Forecasting Structural Breaks in Financial Time Series Book in PDF, ePub and Kindle
| Author | : Walter Krämer |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 134 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 3642484123 |
Download Econometrics of Structural Change Book in PDF, ePub and Kindle
Econometric models are made up of assumptions which never exactly match reality. Among the most contested ones is the requirement that the coefficients of an econometric model remain stable over time. Recent years have therefore seen numerous attempts to test for it or to model possible structural change when it can no longer be ignored. This collection of papers from Empirical Economics mirrors part of this development. The point of departure of most studies in this volume is the standard linear regression model Yt = x;fJt + U (t = I, ... , 1), t where notation is obvious and where the index t emphasises the fact that structural change is mostly discussed and encountered in a time series context. It is much less of a problem for cross section data, although many tests apply there as well. The null hypothesis of most tests for structural change is that fJt = fJo for all t, i.e. that the same regression applies to all time periods in the sample and that the disturbances u are well behaved. The well known Chow test for instance assumes t that there is a single structural shift at a known point in time, i.e. that fJt = fJo (t
| Author | : Massimo Guidolin |
| Publisher | : Academic Press |
| Total Pages | : 435 |
| Release | : 2018-05-29 |
| Genre | : Business & Economics |
| ISBN | : 0128134100 |
Download Essentials of Time Series for Financial Applications Book in PDF, ePub and Kindle
Essentials of Time Series for Financial Applications serves as an agile reference for upper level students and practitioners who desire a formal, easy-to-follow introduction to the most important time series methods applied in financial applications (pricing, asset management, quant strategies, and risk management). Real-life data and examples developed with EViews illustrate the links between the formal apparatus and the applications. The examples either directly exploit the tools that EViews makes available or use programs that by employing EViews implement specific topics or techniques. The book balances a formal framework with as few proofs as possible against many examples that support its central ideas. Boxes are used throughout to remind readers of technical aspects and definitions and to present examples in a compact fashion, with full details (workout files) available in an on-line appendix. The more advanced chapters provide discussion sections that refer to more advanced textbooks or detailed proofs. Provides practical, hands-on examples in time-series econometrics Presents a more application-oriented, less technical book on financial econometrics Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction Features examples worked out in EViews (9 or higher)
| Author | : D.R. Cox |
| Publisher | : CRC Press |
| Total Pages | : 243 |
| Release | : 2020-11-26 |
| Genre | : Mathematics |
| ISBN | : 1000152944 |
Download Time Series Models Book in PDF, ePub and Kindle
The analysis prediction and interpolation of economic and other time series has a long history and many applications. Major new developments are taking place, driven partly by the need to analyze financial data. The five papers in this book describe those new developments from various viewpoints and are intended to be an introduction accessible to readers from a range of backgrounds. The book arises out of the second Seminaire European de Statistique (SEMSTAT) held in Oxford in December 1994. This brought together young statisticians from across Europe, and a series of introductory lectures were given on topics at the forefront of current research activity. The lectures form the basis for the five papers contained in the book. The papers by Shephard and Johansen deal respectively with time series models for volatility, i.e. variance heterogeneity, and with cointegration. Clements and Hendry analyze the nature of prediction errors. A complementary review paper by Laird gives a biometrical view of the analysis of short time series. Finally Astrup and Nielsen give a mathematical introduction to the study of option pricing. Whilst the book draws its primary motivation from financial series and from multivariate econometric modelling, the applications are potentially much broader.
| Author | : Eric Zivot |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 632 |
| Release | : 2013-11-11 |
| Genre | : Business & Economics |
| ISBN | : 0387217630 |
Download Modeling Financial Time Series with S-PLUS Book in PDF, ePub and Kindle
The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.
| Author | : Terence C. Mills |
| Publisher | : Cambridge University Press |
| Total Pages | : 468 |
| Release | : 2008-03-20 |
| Genre | : Business & Economics |
| ISBN | : 9780521883818 |
Download The Econometric Modelling of Financial Time Series Book in PDF, ePub and Kindle
Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.
| Author | : Johannes Degn |
| Publisher | : |
| Total Pages | : 154 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Forecasting Economic Time Series Using Dynamic Factor Models Under Structural Breaks Book in PDF, ePub and Kindle
| Author | : Terence C. Mills |
| Publisher | : Cambridge University Press |
| Total Pages | : 411 |
| Release | : 2008-03-20 |
| Genre | : Business & Economics |
| ISBN | : 1139470817 |
Download The Econometric Modelling of Financial Time Series Book in PDF, ePub and Kindle
Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.
