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A New Correlation Coefficient for Bivariate Time-Series Data

Erdem, Orhan - 2014

The correlation in time series has received considerable attention in literature. Its use has attained an important … role in the social sciences and finance. For example, pair trading in finance is concerned with the correlation between … stock prices, returns, etc. In general, Pearson's correlation coefficient is employed in these areas although it has many …

Persistent link: https://www.econbiz.de/10013059586

Forecasting Economy with Bayesian Autoregressive Distributed Lag Model : Choosing Optimal Prior in Economic Downturn

Buss, Ginters - 2009

Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag model is chosen. The results show that a sharp...

Persistent link: https://www.econbiz.de/10013156355

Decomposing Realized Variance : A Point Process of Relevant Price Changes with Long Memory in Volatility

Tsai, Ping Chen - 2009

A simple, empirical-based approach to decompose Realized Variance (RV) is proposed, with supportive theoretical argument and empirical evidence. Under the proposed framework, RV is interpreted as a product of the intensity and variance of relevant price changes. Holding the variance aspect...

Persistent link: https://www.econbiz.de/10013159491

Predicting Liquidity of BSE by Using ARIMA Model

Jaiswal, Isha - 2017

Even with the presence of numerous institutional players in the market, there exist a noticeable number of cash group shares which are hardly transacted. To sustain the growth of investors in the market, there is need for assuring easy and quick liquidity to the securities. To serve the same...

Persistent link: https://www.econbiz.de/10012953107

Fast Fractional Differencing in Modeling Long Memory of Conditional Variance for High-Frequency Data

Klein, Tony - 2018

In econometrics, long memory models for variance modeling like FIGARCH or FIAPARCH are characterized by a Fractional Differencing term. In order to estimate and apply these models, the infinite MacLaurin expansion of the differencing term has to be truncated at a certain level. We transfer the...

Persistent link: https://www.econbiz.de/10012936335

Generalized Fractional Time Series Modelling of the Relationship between Consumption and Income in the UK

Gil-Alana, Luis A. - 2008

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/10012770707

Detection of Additive Outliers in Seasonal Time Series

Haldrup, Niels; Sansó, Andreu; Montañés, Antonio - 2009

The detection and location of additive outliers in integrated variables has attracted much attention recently because such outliers tend to affect unit root inference among other things. Most of these procedures have been developed for non-seasonal processes. However, the presence of seasonality...

Persistent link: https://www.econbiz.de/10014204023

A Primer on Spurious Statistical Significance in Time Series Regressions

Deng, Ai - 2015

Persistent link: https://www.econbiz.de/10014134907

A Panic Attack on Unit Roots and Cointegration

Bai, Jushan; Ng, Serena - 2002

permits the construction of valid panel tests even when cross-section correlation invalidates pooling of statistics … individually spurious. We provide a rigorous theory for estimation and inference. In Monte Carlo simulations, the tests have very …

Persistent link: https://www.econbiz.de/10014121962

A General Class of Neural Network-GARCH Models for Financial Time Series Analysis

Thomaidis, Nikolaos S.; Dounias, George D. - 2011

econometric modelling (specification, estimation and evaluation). Based on the maximum likelihood theory, we device procedures for …

Persistent link: https://www.econbiz.de/10014058559

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