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    Wyświetlanie 1-6 z 6
    Tytuł:
    Volatility Persistence and Predictability of Squared Returns in GARCH(1,1) Models
    Autorzy:
    Triacca, Umberto
    Powiązania:
    https://bibliotekanauki.pl/articles/483247.pdf
    Data publikacji:
    2009
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    GARCH Models
    returns
    time series
    volatility persistence
    Opis:
    Volatility persistence is a stylized statistical property of financial time-series data such as exchange rates and stock returns. The purpose of this letter is to investigate the relationship between volatility persistence and predictability of squared returns.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2009, 1, 3; 285-291
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Volatile ARMA Modelling of GARCH Squares
    Autorzy:
    Lawrance, Anthony J.
    Powiązania:
    https://bibliotekanauki.pl/articles/483293.pdf
    Data publikacji:
    2010
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    ARCH
    ARMA
    GARCH
    prediction
    time series
    volatility
    Opis:
    This paper points out that the ARMA models followed by GARCH squares are volatile and gives explicit and general forms of their dependent and volatile innovations. The volatility function of the ARMA innovations is shown to be the square of the corresponding GARCH volatility function. The prediction of GARCH squares is facilitated by the ARMA structure and predictive intervals are considered. Further, the developments suggest families of volatile ARMA processes.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2010, 2, 3; 195-203
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Non-Parametric Test for the Existence of the Common Deterministic Cycle: The Case of the Selected European Countries
    Autorzy:
    Lenart, Łukasz
    Pipień, Mateusz
    Powiązania:
    https://bibliotekanauki.pl/articles/2076426.pdf
    Data publikacji:
    2017
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    testing deterministic cycles
    subsampling
    spectral analysis
    almostperiodic mean function
    Almost Periodically Correlated time series
    Opis:
    The aim of the article is to construct an asymptotically consistent test, based on a subsampling approach, to verify hypothesis about existence of the individual or common deterministic cycle in coordinates of multivariate macroeconomic time series. By the deterministic cycle we mean the periodic or almost periodic fluctuations in the mean function in cyclical fluctuations. To construct test we formulate a multivariate non-parametric model containing the business cycle component in the unconditional mean function. The construction relies on the Fourier representation of the unconditional expectation of the multivariate Almost Periodically Correlated time series and is related to fixed deterministic cycle presented in the literature. The analysis of the existence of common deterministic business cycles for selected European countries is presented based on monthly industrial production indexes. Our main findings from the empirical part is that the deterministic cycle can be strongly supported by the data and therefore should not be automatically neglected during analysis without justification.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2017, 3; 201-241
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Autocovariance and Linear Transformations of Markov Switching VARMA Processes
    Autorzy:
    Cavicchioli, Maddalena
    Powiązania:
    https://bibliotekanauki.pl/articles/2076570.pdf
    Data publikacji:
    2014
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    time series
    multivariate ARMA
    state-space models
    Markovchains
    changes in regime
    autocovariance
    linear representations
    Opis:
    We study the autocovariance structure of a general Markov switching second-order stationary VARMA model. Then we give stable finite order VARMA(p∗, q∗) representations for those M-state Markov switching VARMA(p, q) processes where the observables are uncorrelated with the regime variables. This allows us to obtain sharper bounds for p∗and q∗ with respect to the ones existing in literature. Our results provide new insights into stochastic properties and facilitate statistical inference about the orders of MS-VARMA models and the underlying number of hidden states
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2014, 4; 275-289
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    State-dependent Autoregressive Models with p Lags: Properties, Estimation and Forecasting
    Autorzy:
    Gobbi, Fabio
    Mulinacci, Sabrina
    Powiązania:
    https://bibliotekanauki.pl/articles/2119921.pdf
    Data publikacji:
    2022
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    convolution-based autoregressive models
    level-increment dependence
    nonlinear time series
    maximum likelihood
    forecasting accuracy
    Opis:
    In this paper we consider a class of nonlinear autoregressive models in which a specific type of dependence structure between the error term and the lagged values of the state variable is assumed. We show that there exists an equivalent representation given by a p-th order state-dependent autoregressive (SDAR(p)) model where the error term is independent of the last p lagged values of the state variable (yt−1, . . . , yt−p) and the autoregressive coefficients are specific functions of them. We discuss a quasi-maximum likelihood estimator of the model parameters and we prove its consistency and asymptotic normality. To test the forecasting ability of the SDAR(p) model, we propose an empirical application to the quarterly Japan GDP growth rate which is a time series characterized by a level-increment dependence. A comparative analyses is conducted taking into consideration some alternative and competitive models for nonlinear time series such as SETAR and AR-GARCH models.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2022, 1; 81-108
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Forecasting of a Hierarchical Functional Time Series on Example of Macromodel for the Day and Night Air Pollution in Silesia Region — A Critical Overview
    Autorzy:
    Kosiorowski, Daniel
    Mielczarek, Dominik
    Rydlewski, Jerzy P.
    Powiązania:
    https://bibliotekanauki.pl/articles/2076274.pdf
    Data publikacji:
    2018
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    day and night air pollution
    functional data analysis
    functionalmedian
    hierarchical time series
    reconciliation of forecasts
    Opis:
    In economics we often face a system which intrinsically imposes a structure of hierarchy of its components, i.e., in modeling trade accounts related to foreign exchange or in optimization of regional air protection policy. A problem of reconciliation of forecasts obtained on different levels of hierarchy has been addressed in the statistical and econometric literature many times and concerns bringing together forecasts obtained independently at different levels of hierarchy. This paper deals with this issue with regard to a hierarchical functional time series. We present and critically discuss a state of art and indicate opportunities of an application of these methods to a certain environment protection problem. We critically compare the best predictor known from the literature with our own original proposal. Within the paper we study a macromodel describing the day and night air pollution in Silesia region divided into five subregions.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2018, 1; 53-73
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-6 z 6

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