File Name: nonlinear time series analysis of economic and financial data .zip
Go back. Overview Organisations People Publications Outcomes. Abstract Funding details.
This article provides a comprehensive review of the core ideas and models that have proved central to the forecasting of financial time series. Forecasting the levels or, more appropriately, the changes in financial time series can be an extremely difficult exercise, particularly when using just the past history of the series itself. Other features of financial time series, such as volatility and the time between price changes, are more likely to exhibit some degree of forecastability.
Go back. Overview Organisations People Publications Outcomes. Abstract Funding details. Beyond traditional university-based researchers, beneficiaries will include those in research divisions of central banks, government treasuries and federal reserve banks of the US, as well as macroeconomic modellers, forecasters and policy makers at institutions such as the World Bank, International Monetary Fund and the Organisation for Economic Co-operation and Development.
As discussed in the Objectives and Academic Beneficiaries sections, the expected impact to these researchers will take the form of the provision of new techniques for multivariate time series modelling.
Principally, the proposed methods are aimed at enabling practitioners to better determine the properties of key macroeconomic and financial variables, and to provide more reliable and more widely applicable foundations for modelling and forecasting with such data.
Since the effectiveness of models, their associated forecasts and policy predictions are directly contingent on the quality of the inference provided by these phases of the analysis, it is vital that robust and reliable multivariate procedures, such as the ones we plan to develop in this project, are made available to practitioners.
This provides additional opportunities for disseminating the results from this project to the anticipated beneficiaries. These will include an on-line open-access discussion paper series, an on-going occasional seminar series, and an annual conference. Research papers from the project will be made available through the discussion paper series while the associated computer routines will also be made available in both Gauss and Ox format, the latter being open-source through the Centre's website in order that others can apply the methods to their own data.
Dissemination will build on these links, with papers from the project also sent to individual central bank researchers and offered to workshops they organise. A number of the PI's earlier contributions on co-integration methods see publications 7, 8 and 9 on Taylor's CV have been integrated into the latest release of the popular econometric software package, Microfit. We will explore the possibility of incorporating the procedures developed in this project into widely-used econometrics software packages in order to increase impact among practitioners.
We will run two one-day workshops at Essex based around the themes of the research project. Each will consist of papers given by four invited speakers, at least two of whom will be international, and one of the Investigators. Researchers from outside the academic community will be invited to attend and, where they have relevant research, to present at the workshop.
In addition, project papers will be submitted to two regional meetings Europe and either the U. The project will also provide a platform for mentoring existing and new PhD and MSc students at Essex. Publications The following are buttons which change the sort order, pressing the active button will toggle the sort order Author Name descending press to sort ascending. Cavaliere G Sieve-based inference for infinite-variance linear processes in The Annals of Statistics.
Chambers M Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data in Journal of Econometrics. Chambers M The estimation of continuous time models with mixed frequency data in Journal of Econometrics. Description 1. This first achievement has developed new techniques, based either on the industry-standard co-integrated vector autoregressive [CVAR] model or fractionally integrated models, to enable practitioners to perform reliable empirical econometric analysis and forecasting of series which undergo structural breaks at unknown points in time in their trend component.
New estimators of the number and timing of such breaks are developed and incorporated into the modelling procedure. We have also developed the statistical theory for consistent estimation of the timing and number of trend breaks in data which also display within-sample variation in the level of volatility.
This new statistical theory has been employed to extend the reach of the aforementioned new techniques to allow for both trend and volatility regime changes in the CVAR framework, using novel bootstrap methods. The research from this first achievement has been widely presented at national and international meetings held by universities and central banks and at a workshop at Essex.
The research will result in four publications in leading journals. Development of methods for incorporating mixed frequency and mixed sample data in dynamic models of long run equilibrium subject to temporal aggregation The second achievement has developed methods to enable practitioners to use mixed frequency and mixed sample data in the estimation and analysis of dynamic models that are subject to temporal aggregation.
Exact discrete time representations corresponding to continuous time models are derived for a wide range of stationary and nonstationary including cointegrated systems that contain stock or flow variables or mixtures of both observed at different frequencies.
Statistical procedures for estimating and testing long run equilibrium relationships with mixed frequency and mixed sample data have also been developed and have the advantage that only weak assumptions are required for the dynamic interactions within the system.
In addition the new techniques have been applied to areas of interest empirically in economics and finance. The research from this second achievement has been disseminated at national and international seminars and conferences and a workshop on this topic was hosted at the University of Essex. The research will result in three publications in leading journals and a survey chapter in an international interdisciplinary book on continuous time methods in the behavioural and social sciences.
For theoretical researchers, we have provided significant advances in the corpus of large sample theory available for analysing multivariate time series methods measured at different data frequencies and subject to environmental structural change.
Moreover, the methodology we have established lays important foundations needed for further methodological developments in this area. For the other beneficiaries, our research has delivered significant and novel advancements in directions that are important for empirical practice previously lacking in the literature.
In particular, we have developed a rigorous toolbox of statistical methods which can be used by academics and practitioners to analyse the properties and inter-relationships between economic and financial data which are subject to structural change in both their underlying trend and volatility and where the data series under investigation may be observed at different frequencies. We are also in discussion with leading software providers to include statistical procedures from the project in established econometric software packages.
Description As noted in the Pathways to Impact section of our application, the impact from research in this project was primarily oriented towards beneficiaries in the academic research community. Notwithstanding this, we did outline mechanisms in our Pathways to Impact by which we hoped to potentially gain impact beyond the purely academic sphere, including the presentation of our work at two workshops we organised at Essex around the themes of the research which involved participants from central banks and other non-academic institutions.
All three events provided excellent opportunities for further discussion with non-academic attendees and a number of informal conversations were had where interest in using or at least knowing more about the work from the project was indicated.
As a result of interactions following on from the second Essex workshop, Chambers and Zadrozny are currently co-guest editing a special issue of the Journal of Time Series Analysis around the theme of the workshop with papers from both the academic and non-academic attendees being peer-reviewed for inclusion. During the conference discussions took place between Taylor and staff working in the Structural Studies Group of the Bank of Portugal regarding how the methodology discussed in Taylor's keynote presentation and the aforementioned journal publication could be used in their work.
Subsequently, the econometric methodology developed in the paper has been implemented into the toolkit of econometric and statistical methods used by the Structural Studies Group and has been used in connection with its work on the monitoring and forecasting of house price determinants. Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point.
Journal of Econometrics, 2 , pp. DOI: The talk sparked interest and a number of questions. Many useful discussions with colleagues after the talk. The talk attracted an audience of both academic and academic-related colleagues, the latter from central bank positions. The talk attracted a large audience of both academic and academic-related colleagues. Many researchers asked Robert Taylor for his paper after the talk and expressed considerable interest in using the new methodological tools for testing for co-integration in the presence of trend breaks that he outlined.
The talk attracted a large audience of both academic and academic-related colleagues, the latter from central bank positions. The seminar was attended by approximately 15 academics and postgraduate students and helpful feedback was received.
My talk was entitled "Econometrics with Mixed Frequency Data". The talk was attended by academic staff and PhD students in the Department. Useful feedback was received from the audience and it sparked some interesting conversation with both staff and some of the PhD students. Discussions with PhD students very productive. The purpose was to bring together an international group of experts in this field to present their work to an audience of academics and postgraduate students.
As a result of the workshop a special issue of the Journal of Time Series Analysis is being prepared on this topic. Attendees at the event came from both the university sector both UK and international universities and from the Bank of England and the European Central Bank.
A link to the programme of the event is given in the URL box below. The workshop was intensive and highly productive. In particular, very useful interactions and discussions were held between the academic and academic-related central bank researchers attendees. Anthony Michael Taylor Principal Investigator. Marcus James Chambers Co-Investigator.
The research produced in this project is of benefit to theoretical researchers and researchers in applied econometrics, empirical macroeconomics and empirical finance in academia and also academic-related researchers in government institutions such as central banks and practitioners and researchers in private sector economic and financial consultancy firms.
Education,Financial Services, and Management Consultancy. As noted in the Pathways to Impact section of our application, the impact from research in this project was primarily oriented towards beneficiaries in the academic research community. The talk sparked interest and a nu.
Many useful discussions took. Robert Taylor presented the paper "Testing for co-integration rank in VAR models allowing for multiple breaks in trend and variance" to the weekly departmental seminar series of the Statistics Department, University of Bristol on 12th May Robert Taylor presented paper at conference to celebrate the retirement of Professor Jayasri Dutta, University of Birmingham, June 9th
Taking place between November , the e. STL decomposes a time series into seasonal, trend, and irregular components. The power output of wind turbines is subject to various meteorological parameters, such as wind speed, wind. Each entity represents a logical grouping of temporal information — such as measurements from different weather stations in climatology, or vital signs from different patients in medicine — and can be observed at the same time. Exploring time series forecasting with forecast The most logical next step after understanding a time series' features and trends is trying to forecast its future development.
See the Infomation below how to get to the Institute. There will be 6 hours of lectures per day, 4 given by Richard A. Generous financial support for Richard A. Davis by the Villum Kann Rasmussen Foundation is greatfully acknowledged. In this course, nonlinear time series models will be developed to model a wide-range of phenomena. These include generalized state space models for modeling time series of counts, GARCH and stochastic volatility models for modeling financial data, and continuous-time models that incorporate long memory.
Skip to search form Skip to main content You are currently offline. Some features of the site may not work correctly. Dwyer Published Computer Science. This is a preliminary, very brief summary of nonlinear time series useful for finance. The purpose of these notes is to provide an overview of nonlinear time series and their financial applications. The notes cover the basics of linear and nonlinear difference equations, chaos, and linear and nonlinear time series, all in a bit over 20 pages! This is very brief.
In Mathematics , a time series is a series of data points indexed or listed or graphed in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. Examples of time series are heights of ocean tides , counts of sunspots , and the daily closing value of the Dow Jones Industrial Average. Time series are very frequently plotted via run charts a temporal line chart.
Time series data is data that is collected at different points in time. This is opposed to cross-sectional data which observes individuals, companies, etc. Because data points in time series are collected at adjacent time periods there is potential for correlation between observations. This is one of the features that distinguishes time series data from cross-sectional data.
This book chapter investigated the place of backtesting approach in financial time series analysis in choosing a reliable Generalized Auto-Regressive Conditional Heteroscedastic GARCH Model to analyze stock returns in Nigeria. To achieve this, The chapter used a secondary data that was collected from www. Daily stock price was collected on Zenith bank stock price from October 21st to May 8th
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Volume 20 of Advances in Econometrics is dedicated to Rob Engle and Sir Clive Granger, winners of the Nobel Prize in Economics, for their many valuable contributions to the econometrics profession. No doubt, their Nobel Prizes are richly deserved. And the 48 authors of the two parts of this volume think likewise. They have authored some very fine papers that contribute nicely to the same literature that Rob's and Clive's research helped build.
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Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past.
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Стратмор бросил взгляд на лежавшего в беспамятстве Хейла, положил беретту на столик рядом со Сьюзан и крикнул, перекрывая вой сирены: - Я сейчас вернусь! - Исчезая через разбитое стекло стены Третьего узла, он громко повторил: - Найди ключ. Поиски ключа не дали никаких результатов. Сьюзан надеялась, что Стратмору не придется долго возиться с отключением ТРАНСТЕКСТА.
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