منابع مشابه
Correlations in Economic Time Series
The correlation function of a financial index of the New York stock exchange, the S&P 500, is analyzed at 1min intervals over the 13-year period, Jan 84 – Dec 96. We quantify the correlations of the absolute values of the index increment. We find that these correlations can be described by two different power laws with a crossover time t× ≈ 600min. Detrended fluctuation analysis gives exponents...
متن کاملForecasting economic time series using unobserved components time series models
A preliminary version, please do not quote
متن کاملModelling High - frequency Economic Time Series
The minute-by-minute move of the Hang Seng Index (HSI) data over a four-year period is analysed and shown to possess similar statistical features as those of other markets. Based on a mathematical theorem [S. B. Pope and E. S. C. Ching, Phys. Fluids A 5, 1529 (1993)], we derive an analytic form for the probability distribution function (PDF) of index moves from fitted functional forms of certai...
متن کاملDisentangling irregular cycles in economic time series
Cycles play an important role when analyzing market phenomena. In many markets, both overlaying (weekly, seasonal or business cycles) and time-varying cycles (e.g. asymmetric lengths of peak and off peak or variation of business cycle length) exist simultaneously. Identification of these market cycles is crucial and no standard detection procedure exists to disentangle them. We introduce and in...
متن کاملForecasting Non - stationary Economic Time Series
Forecasting macroeconomic time series is notoriously difficult. Previously unannounced changes in policy, natural and man-made disasters, institutional changes, new discoveries, new data definitions and revisions among others cause occasional large forecast errors in the standard constant-parameter models. While much effort has been put into working out the theory of estimation, inference and i...
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: Journal of Applied Statistics
سال: 2013
ISSN: 0266-4763,1360-0532
DOI: 10.1080/02664763.2013.767416