Search
Search Results
-
Time Series in Economics and Finance
This book presents the principles and methods for the practical analysis and prediction of economic and financial time series. It covers...
-
Multiway clustering with time-varying parameters
This paper proposes a clustering approach for multivariate time series with time-varying parameters in a multiway framework. Although clustering...
-
Moving dynamic principal component analysis for non-stationary multivariate time series
This paper proposes an extension of principal component analysis to non-stationary multivariate time series data. A criterion for determining the...
-
Linear Time Series Models with Non-Gaussian Innovations
The time series models with normally distributed innovations generate stationary normal sequences. However, if the innovations are not normal then...
-
A Network Analysis of the Sectoral From-Whom-To-Whom Financial Stock Matrix
This study enhances global flow of funds (GFF) statistics for assessing global financial stability at the national and cross-border sectoral levels....
-
Other Methods for Financial Time Series
In Sect. 8.2 , we presented a general nonlinear scheme
-
Financial Cycle, Stress, and Policy Roles in Small Open Economy: Spillover Index Approach
This chapter analyzes the dynamic spillover of shocks between selected macroeconomic and financial variables in the case of a small open economy. To...
-
Hidden Markov and Semi-Markov Models When and Why are These Models Useful for Classifying States in Time Series Data?
Hidden Markov models (HMMs) and their extensions have proven to be powerful tools for classification of observations that stem from systems with...
-
Change point detection and estimation methods under gamma series of observations
The aim of the article is to analyze inhomogeneous time series data caused by the presence of an unknown change point. We assume that the time series...
-
Asset and Liability Risk Management in Financial Markets
Most financial organisations depend on their ability to match the assets and liabilities they hold. This managerial challenge has been traditionally...
-
Statistical inference for mixture GARCH models with financial application
In this paper we consider mixture generalized autoregressive conditional heteroskedastic models, and propose a new iteration algorithm of type EM for...
-
Time Value of Money Determinations and Their Applications
The concepts of present value, discounting, and compounding are frequently used in most types of financial analysis. This chapter discusses the...
-
Theory and Applications of Time Series Analysis Selected Contributions from ITISE 2019
This book presents a selection of peer-reviewed contributions on the latest advances in time series analysis, presented at the International...
-
Ordinal patterns in clusters of subsequent extremes of regularly varying time series
In this paper, we investigate temporal clusters of extremes defined as subsequent exceedances of high thresholds in a stationary time series. Two...
-
Financial Conflicts of Interest in Clinical Trials
Because clinical trials are the gold standard for evaluating the safety and efficacy of drugs and medical devices, they should be conducted as safely...
-
Change-point methods for multivariate time-series: paired vectorial observations
We consider paired and two-sample break-detection procedures for vectorial observations and multivariate time series. The new methods involve L2-type...
-
Some Non-linear AR-type Models for Non-Gaussian Time Series
: The sequences of non-negative rvs find applications in many areas of the real world. For example, sequence of times to events in survival analysis,...
-
Financial Modelling Based on Telegraph Processes
This last chapter of the book is devoted to financial applications of the previously described results. After brief preliminaries, the chapter opens...
-
Estimation Under Normal Mixture Models for Financial Time Series Data
We propose an estimation method under a copula-based Markov model for serially correlated data. Motivated by the fat-tailed distribution of financial...
-
A new time-varying model for forecasting long-memory series
In this work we propose a new class of long-memory models with time-varying fractional parameter. In particular, the dynamics of the long-memory...
