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Some Statistical Tests and Experiments for Correlation of Financial Series

Dokuchaev, Nikolai - 2009

This short note describes some statistical tests and experiments for serial correlations of historical stock prices. More precisely, some parameters calculated via empirical characteristics functions are compared with the same parameters for time series with known degree of correlation

Persistent link: https://www.econbiz.de/10013157756

Shortcomings of a Parametric VaR Approach and Nonparametric Improvements Based on a Non-Stationary Return Series Model

Gürtler, Marc - 2009

In this paper we first investigate the validity of a general Value at Risk approach, which is widely used for risk management in banking and insurance companies. We discuss and widely reject the conventional assumptions, e.g. independent identically distributed normal returns, and as consequence...

Persistent link: https://www.econbiz.de/10013159079

Testing for Structural Changes in Large Dimensional Factor Models via Discrete Fourier Transform

Fu, Zhonghao - 2020

) approach. If structural changes occur, the conventional principal component analysis fails to estimate common factors and …

Persistent link: https://www.econbiz.de/10012838882

Local Linear Quantile Regression for Time Series Under Near Epoch Dependence

Ren, Xiaohang - 2020

particular, near epoch dependence can cover a wide range of linear or nonlinear time series models that are even not of strong or … $\alpha$-mixing property (a property usually assumed in the nonlinear time series literature). Under the mild conditions, the …. Simulation and application to a real data set are studied, which demonstrate the usefulness of the introduced method for analysis …

Persistent link: https://www.econbiz.de/10012839310

Denoising Non-stationary Signals by Dynamic Multivariate Complex Wavelet Thresholding

Raath, Kim - 2020

Over the past few years, we have seen an increased need for analyzing the dynamically changing behaviors of economic and financial time series. These needs have led to significant demand for methods that denoise non-stationary time series across time and for specific investment horizons (scales)...

Persistent link: https://www.econbiz.de/10012842654

Bootstrapping Laplace Transforms of Volatility

Hounyo, Ulrich - 2020

This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed-span setting using bootstrap methods. Specifically, since standard wild bootstraps provide inconsistent inference, we propose local Gaussian (LG) and modified wild (MW) bootstrap procedures, and...

Persistent link: https://www.econbiz.de/10012843479

Median-Unbiased Optimal Smoothing and Trend Extraction

Thomakos, Dimitrios D. - 2008

Consider the problem of smoothing a time series for extracting its low frequency characteristics, collectively called its trend. This paper proposes a competitive, to existing methods, solution in choosing the optimal degree of smoothing based on the distribution of the residuals from the smooth...

Persistent link: https://www.econbiz.de/10012722448

A Note on Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots with Drift

Thomakos, Dimitrios D. - 2008

the aforementioned paper is based on Singular Spectrum Analysis (SSA) and here I also derive an SSA-based consistent …

Persistent link: https://www.econbiz.de/10012724772

Empirical Bias Bandwidth Choice for Local Polynomial Matching Estimators

Flossmann, Anton - 2008

This paper addresses the choice of an optimal smoothing parameter for local polynomial matching. A version of Empirical Bias Bandwidth Selection (EBBS) proposed by Ruppert (1997) is applied to account for the MSE computation of the matching estimator. Thereby, an estimator for the large sample...

Persistent link: https://www.econbiz.de/10012726981

Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models

Mancini, Loriano - 2008

simulation of multidimensional integrals, a task that has typically to be addressed in the robust estimation of nonlinear models …

Persistent link: https://www.econbiz.de/10012727977