Autor: Stawiarski, Bartosz - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: SELECTED TECHNIQUES OF DETECTING STRUCTURAL BREAKS IN FINANCIAL VOLATILITY
Autorzy:: Stawiarski, Bartosz
Powiązania:: https://bibliotekanauki.pl/articles/599704.pdf
Data publikacji:: 2015
Wydawca:: Wyższa Szkoła Informatyki i Zarządzania z siedzibą w Rzeszowie
Tematy:: volatility
structural breaks
financial time series
logarithmic returns
Threshold-GARCH model
Opis:: We investigate several promising algorithms, proposed in literature, devised to detect sudden changes (structural breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng’s algorithm is carried out via numerical simulation in the case of simulated T-GARCH models and two real series, namely German and US stock indices. Simulations show that the NPCPM algorithm is superior to ICSS because is not over-sensitive either to heavy tails of market returns or to their serial dependence. Some signals generated by ICSS are falsely classified as structural breaks in volatility, while Cheng’s technique works well only when a single break occurs.
Źródło:: Finansowy Kwartalnik Internetowy e-Finanse; 2015, 11, 1; 32-43
1734-039X
Pojawia się w:: Finansowy Kwartalnik Internetowy e-Finanse
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: On non-existence of moment estimators of the GED power parameter
Autorzy:: Stawiarski, Bartosz
Powiązania:: https://bibliotekanauki.pl/articles/729730.pdf
Data publikacji:: 2016
Wydawca:: Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:: Generalized Error Distribution
nonparametric bootstrap
bootstrap consistency
moment estimator
power parameter
Opis:: We reconsider the problem of the power (also called shape) parameter estimation within symmetric, zero-mean, unit-variance one-parameter Generalized Error Distribution family. Focusing on moment estimators for the parameter in question, through extensive Monte Carlo simulations we analyze the probability of non-existence of moment estimators for small and moderate samples, depending on the shape parameter value and the sample size. We consider a nonparametric bootstrap approach and prove its consistency. However, despite its established asymptotics, bootstrap does not substantially improve the statistical inference based on moment estimators once they fall into the non-existence area in case of small and moderate sample sizes.
Źródło:: Discussiones Mathematicae Probability and Statistics; 2016, 36, 1-2; 5-23
1509-9423
Pojawia się w:: Discussiones Mathematicae Probability and Statistics
Dostawca treści:: Biblioteka Nauki

Artykuł

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