[PDF] Three Essays On Econometric Analysis Of Functional Time Series eBook

Author : Mijung Choi
Publisher :
Page : 0 pages
File Size : 36,36 MB
Release : 2022
Category : Bonds
ISBN :

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In the first chapter titled, "A Factor Model for Functional Time Series", I construct a factor model for functional time series. Functions are infinite dimensional, and therefore, they have infinite dimensional features. I define functional factors as features affecting functional time series regularly and frequently. Other components are defined to be idiosyncratic since they only appear intermittently and sporadically. For determining the number of functional factors, asymptotic behaviors of the eigenvalues of the sample variance operator of the underlying functional time series are derived. I examine the time series of densities for the cross-sectional distributions of NYSE stock returns, and credit spread curves between US corporate bonds and Treasury bonds. In both examples, I find two functional factors characterize two main common features of the underlying functional time series. In the second chapter titled "A Factor Model for Functional Time Series with Unit Roots", I extend a factor model developed in the first chapter by allowing nonstationarity in the functional time series. I show functional factors and loadings can be consistently estimated after identifying potential unit roots subspace through functional principal component analysis. I apply the model to the U.S. yield curves and find the stationary fluctuations of the U.S. yield curves are mostly driven by curvature type of features. Also, I find one curvature feature appears regularly and is qualified being a functional factor.In the third chapter titled "A Factor Model for Functional Panels", I develop a factor model for functional panels with potentially large set of cross sections and time series. This model assumes that there are a finite number of common functional time series which keep generating response functions over time and its effects are non-trivial. I examine term structures of government bond yields for the US, the UK, Switzerland, Norway, South Korea, Germany, Canada and Australia. I find one global factor does exist and is important explaining fractions of variation in some country yield curves.

Author : Andrew C. Harvey
Publisher : MIT Press
Page : 418 pages
File Size : 45,86 MB
Release : 1990
Category : Business & Economics
ISBN : 9780262081894

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The Econometric Analysis of Time Series focuses on the statistical aspects of model building, with an emphasis on providing an understanding of the main ideas and concepts in econometrics rather than presenting a series of rigorous proofs.

Author : Niels Haldrup
Publisher : OUP Oxford
Page : 393 pages
File Size : 33,26 MB
Release : 2014-06-26
Category : Business & Economics
ISBN : 0191669547

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This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.

Author : Ruey S. Tsay
Publisher : John Wiley & Sons
Page : 576 pages
File Size : 44,43 MB
Release : 2005-09-15
Category : Business & Economics
ISBN : 0471746185

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Provides statistical tools and techniques needed to understandtoday's financial markets The Second Edition of this critically acclaimed text provides acomprehensive and systematic introduction to financial econometricmodels and their applications in modeling and predicting financialtime series data. This latest edition continues to emphasizeempirical financial data and focuses on real-world examples.Following this approach, readers will master key aspects offinancial time series, including volatility modeling, neuralnetwork applications, market microstructure and high-frequencyfinancial data, continuous-time models and Ito's Lemma, Value atRisk, multiple returns analysis, financial factor models, andeconometric modeling via computation-intensive methods. The author begins with the basic characteristics of financialtime series data, setting the foundation for the three maintopics: Analysis and application of univariate financial timeseries Return series of multiple assets Bayesian inference in finance methods This new edition is a thoroughly revised and updated text,including the addition of S-Plus® commands and illustrations.Exercises have been thoroughly updated and expanded and include themost current data, providing readers with more opportunities to putthe models and methods into practice. Among the new material addedto the text, readers will find: Consistent covariance estimation under heteroscedasticity andserial correlation Alternative approaches to volatility modeling Financial factor models State-space models Kalman filtering Estimation of stochastic diffusion models The tools provided in this text aid readers in developing adeeper understanding of financial markets through firsthandexperience in working with financial data. This is an idealtextbook for MBA students as well as a reference for researchersand professionals in business and finance.

Author : Kenneth Frank Wallis
Publisher : Edward Elgar Publishing
Page : 462 pages
File Size : 32,63 MB
Release : 1995-01-01
Category : Business & Economics
ISBN : 9781782541622

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'An excellent reference volume of this author's work, bringing together articles published over a 25 year span on the statistical analysis of economic time series, large scale macroeconomic modelling and the interface between them.' - Aslib Book Guide This major volume of essays by Kenneth F. Wallis features 28 articles published over a quarter of a century on the statistical analysis of economic time series, large-scale macroeconometric modelling, and the interface between them. The first part deals with time-series econometrics and includes significant early contributions to the development of the LSE tradition in time-series econometrics, which is the dominant British tradition and has considerable influence worldwide. Later sections discuss theoretical and practical issues in modelling seasonality and forecasting with applications in both large-scale and small-scale models. The final section summarizes the research programme of the ESRC Macroeconomic Modelling Bureau, a unique comparison project among economy-wide macroeconometric models.