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McAleer, Michael; Chan, Felix; Oxley, Les - 2013

Persistent link: https://www.econbiz.de/10009765832

An information theoretic criterion for empirical validation of time series models

Lamperti, Francesco - 2015

Simulated models suffer intrinsically from validation and comparison problems. The choice of a suitable indicator quantifying the distance between the model and the data is pivotal to model selection. However, how to validate and discriminate between alternative models is still an open problem...

Persistent link: https://www.econbiz.de/10010490842

Optimal bandwidth selection in non-parametric spectral density estimation : review and simulation

Fortin, Ines - 1999

comparison is based on a small simulation study. The processes that are simulated are in the class of ARMA (5,5) processes. Based … on the simulation evidence, we suggest to use a slightly modified version of Buehlmann's (1996) iterative method …. -- window width ; bandwidth ; non-parametric spectral estimation ; simulation …

Persistent link: https://www.econbiz.de/10009711652

Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality

Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...

Persistent link: https://www.econbiz.de/10003636133

Wavelet Power : Wavelet Energy Ratio Unit Root Tests

Trokic, Mirza - 2014

This paper uses wavelet theory to propose a frequency domain nonparametric and tuning parameter free family of unit root tests indexed by the fractional parameter d. The proposed test exploits the wavelet power spectrum of the observed series and its fractional partial sum to construct a test of...

Persistent link: https://www.econbiz.de/10013065650

Regulated Fractional Variance Ratio Unit Root Tests

Trokic, Mirza - 2014

This article addresses unit root testing on regulated series through the variance ratio (VR) statistic of Nielsen (2009). The asymptotic distribution of the regulated VR statistic is developed with and without OLS detrending. Results of Cavaliere and Xu (2011) are extended by also developing the...

Persistent link: https://www.econbiz.de/10013066223

MATLAB Applications of Trading Rules and GARCH with Wavelets Analysis

Giovanis, Eleftherios - 2009

In this paper we provide MATLAB routines for two major used trading rules, the moving average indicator and MACD oscillator as also the GARCH univariate regression with Monte Carlo simulations and wavelets decomposition, which is an update of an older algorithm

Persistent link: https://www.econbiz.de/10013153142

Generalized Exponential Moving Average (EMA) Model with Particle Filtering and Anomaly Detection

Nakano, Masafumi - 2018

This paper proposes a generalized exponential moving average (EMA) model, a new stochastic volatility model with time-varying expected return in financial markets. In particular, we effectively apply a particle filter (PF) to sequential estimation of states and parameters in a state space...

Persistent link: https://www.econbiz.de/10012935606

Markov-Chain Approximation and Estimation of Nonlinear, Non-Gaussian State Space Models

Farmer, Leland - 2014

I develop a new method for approximating and estimating nonlinear, non-Gaussian state space models. I show that any such model can be well approximated by a discrete-state Markov process and estimated using techniques developed in Hamilton (1989). Through Monte Carlo simulations, I demonstrate...

Persistent link: https://www.econbiz.de/10013048908

An Information Theoretic Criterion for Empirical Validation of Time Series Models

Lamperti, Francesco - 2015

Persistent link: https://www.econbiz.de/10013027428

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