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...

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,...

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...

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...

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...

We propose in this article a joint test for testing simultaneously a deterministic trend component and the degree of integration of the cyclical component in a given time series. The test is directly derived from Robinson's (1994) procedure, which is based on the Lagrange Multiplier (LM)...