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Persistent link: https://www.econbiz.de/10009611548
Price variations observed at speculative markets exhibit positive autocorrelation and cross correlation among a set of assets, stock market indices, exchange rates etc. A particular problem in investigating multivariate volatility processes arises from the high dimensionality implied by a...
Persistent link: https://www.econbiz.de/10009612567
linear state space representation. We provide a simulation study and apply the test to the HFDF96 data set. Our results …
Persistent link: https://www.econbiz.de/10009578026
Correspondence analysis (CA) is a descriptive method which allows us to analyze and to XploRe the structure of contingency tables (or, by extension, non-negative tables where rows and columns are the entities of interest). It is similar to principal cornponent analysis (PCA) in the sense that,...
Persistent link: https://www.econbiz.de/10009611547
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theory developed shows validity of the proposed bootstrap procedure for a large class of periodogram statistics. For …
Persistent link: https://www.econbiz.de/10009614876
We design and implement a prototype time series analysis system named TISAS for fully using modern graphical user interface technologies. An object oriented approach is adopted to represent data, statistics and models as instance objects and to visualize them by icons on the screen arranged as a...
Persistent link: https://www.econbiz.de/10009583889
A particular version of the tests of Robinson (1994) for testing stochastic cycles in macroeconomic time series is proposed in this article. The tests have a standard limit distribution and are easy to implement in raw time series. A Monte Carlo experiment is conducted, studying the size and the...
Persistent link: https://www.econbiz.de/10009611541
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We propose in this article a general time series model, whose components are modelled in terms of fractionally integrated processes. This specification allows us to consider the trend, the seasonal and the cyclical components as stochastic processes, including the unit root models as particular...
Persistent link: https://www.econbiz.de/10009612016