Temat: periodically correlated stochastic processes - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Seasonality Revisited - Statistical Testing for Almost Periodically Correlated Stochastic Processes
Autorzy:: Lenart, Łukasz
Pipień, Mateusz
Powiązania:: https://bibliotekanauki.pl/articles/483321.pdf
Data publikacji:: 2013
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: seasonality
almost periodically correlated stochastic processes
subsampling
business cycle
Opis:: This article aims at constructing a new method for testing the statistical significance of seasonal fluctuations for non-stationary processes. The constructed test is based on a method of subsampling and on the spectral theory of Almost Periodically Correlated (APC) time series. In the article we consider an equation of a nonstationary process, containing a component which includes seasonal fluctuations and business cycle fluctuations, both described by an almost periodic function. We build subsampling test justifying the significance of frequencies obtained from the Fourier representation of the unconditional expectation of the process. The empirical usefulness of the constructed test is examined for selected macroeconomic data. The article studies survey indicators of economic climate in industry, retail trade and consumption for European countries.
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2013, 5, 2; 85-102
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process
Autorzy:: Mazur, Błażej
Pipień, Mateusz
Powiązania:: https://bibliotekanauki.pl/articles/483329.pdf
Data publikacji:: 2012
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: GARCH models
Bayesian inference
periodically correlated stochastic processes
volatility
unconditional variance
Opis:: We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following Amado and Terasvirta (2009), Cizek and Spokoiny (2009) and others, we consider a general conditionally heteroscedastic process with stationarity property distorted by a deterministic function that governs the possible time variability of the unconditional variance. The function proposed in this paper can be interpreted as a finite Fourier approximation of an Almost Periodic (AP) function as defined by Corduneanu (1989). The resulting model has a particular form of a GARCH process with time varying parameters, intensively discussed in the recent literature. In the empirical analyses we apply a generalisation of the Bayesian AR(1)-GARCH model for daily returns of S&P500, covering the period of sixty years of US postwar economy, including the recently observed global financial crisis. The results of a formal Bayesian model comparison clearly indicate the existence of significant long term cyclical patterns in volatility with a strongly supported periodic component corresponding to a 14 year cycle. Our main results are invariant with respect to the changes of the conditional distribution from Normal to Student-t and to the changes of the volatility equation from regular GARCH to the Asymmetric GARCH.
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2012, 4, 2; 95-116
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

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