A Trend-Switching Financial Time Series Model with Level-Duration Dependence
نویسندگان
چکیده
منابع مشابه
A Trend-Switching Financial Time Series Model with Level-Duration Dependence
The financial time series model that can capture the nonlinearity and asymmetry of stochastic process has been paid close attention for a long time. However, it is still open to completely overcome the difficult problem that motivates our researches in this paper. An asymmetric and nonlinear model with the change of local trend depending on local high-low turning point process is first proposed...
متن کاملA Markov Switching Model of GNP Growth With Duration Dependence
We use a regime-switching model of real GNP growth to examine the duration dependence of business cycles. The model extends Hamilton (1989) and Durland and McCurdy (1994) and is estimated using both the postwar NIPA data and the secular data constructed by Balke-Gordon. We find that an expansion is more likely to end at a young age, that a contraction is more likely to end at an old age, that o...
متن کاملModelling financial time series with switching state space models
The deeciencies of stationary models applied to nancial time series are well documented. A special form of non-stationarity, where the underlying generator switches between (approximately) stationary regimes, seems particularly appropriate for nancial markets. We use a dynamic switching (modelled by a hidden Markov model) combined with a linear dynamical system in a hybrid switching state space...
متن کاملEconophysics – complex correlations and trend switchings in financial time series
This article focuses on the analysis of financial time series and their correlations. A method is used for quantifying pattern based correlations of a time series. With this methodology, evidence is found that typical behavioral patterns of financial market participants manifest over short time scales, i.e., that reactions to given price patterns are not entirely random, but that similar price ...
متن کاملHigh-level dependence in time series models
We present several notions of high-level dependence for stochastic processes, which have appeared in the literature. We calculate such measures for discrete and continuous-time models, where we concentrate on time series with heavy-tailed marginals, where extremes are likely to occur in clusters. Such models include linear models and solutions to random recurrence equations; in particular, disc...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical Problems in Engineering
سال: 2012
ISSN: 1024-123X,1563-5147
DOI: 10.1155/2012/345093