Dynamic mixture models for financial time series:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin
Pro Business
2004
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| Ausgabe: | 1. Aufl. |
| Schriftenreihe: | Quantitative Finanzwirtschaft
8 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 204 S. graph. Darst. |
| ISBN: | 3938262079 |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | DYNAMIC MIXTURE MODELS FOR FINANCIAL TIME SERIES INAUGURAL-DISSERTATION
ZUR ERLANGUNG DES GRADES EINES DOKTORS DER WIRTSCHAFTS- UND
SOZIALWISSENSCHAFTEN DER WIRTSCHAFTS- UND SOZIALWISSENSCHAFTLICHEII
FAKULTAT DER CHRISTIAN-ALBRECHTS-UNIVERSITAT ZU KIEL VORGELEGT VON
DIPLOM-VOLKSWIRT MARKUS HAAS AUS WIIRSELEN MIINCHEN, IM MAI 2004
CONTENTS TABLES 5 FIGURES 5 1 INTRODUCTION 7 2 BASIC PROPERTIES OF
NORMAL MIXTURE DISTRIBUTIONS 12 2.1 SKEWUESS AND KURTOSIS OF NORMAL
MIXTURE DISTRIBUTIONS 14 2.1.1 THE CENTER AND THE TAILS OF A NORMAL
MIXTURE DENSITY 15 2.1.2 ASYMMETRY 19 2.2 LINEAR COMBINATIONS OF A MIXED
NOIMAL RANDOM VECTOR 21 2.3 THE INCOMPLETE DATA STRUCTURE OF MIXTURE
MODELS 22 3 GARCH MODELS WITH MIXED NORMAL CONDITIONAL DISTRIBUTIONS 24
3.1 INTRODUCTION OF THE MIXED NORMAL (MN) GARCH PROCESS 26 3.1.1 SPECIAL
CASES 28 3.1.2 RELATIONSHIP WITH OTHER MN-GARCH SPECIFICATIONS 28 3.1.3
RELATIONSHIP WITH THE MARKOV-SWITCHING GARCH MODEL 30 3.2 STATIONARITY
AND PERSISTENCE 32 3.2.1 EXISTENCE OF MOMENTS 32 3.2.2 MEASURING
VOLATILITY PERSISTENCE 36 3.3 NASDAQ RETURNS AND MIXED NORMAL GARCH 36
3.3.1 ESTIMATION ISSUES 37 3.3.2 DETERMINING THE NUMBER OF MIXTURE
COMPONENTS 39 3.3.3 GOODNESS OF FIT AND DIAGNOSTIC CHECKING 40 3.3.4
ESTIMATED MODELS 42 3.3.5 DIAGNOSTIC CHECKS AND FORECASTING PERFORMANCE
49 3.3.6 EMPIIICAL RESULTS FOR THE NON-DIAGONAL MODELS 53 3.3.7
EXTENSION TO FAT-TAILED COMPONENTS: THE MIXED-T-GARCH ... 53 3.4
CONCLUSIONS 54 3.5 TECHNICAL DETAILS 57 3.5.1 DERIVATION OF STATIONARITY
CONDITION (3.10) 57 3.5.2 DYNAMIC PROPERTIES OF THE DIAGONAL
MN-GARCH(1,1) MODEL . . 60 4 FOURTH MOMENT CONDITIONS FOR THE MIXED
NORMAL GARCH(/), Q) PROCESS AND A NEW METHOD FOR COMPUTING THE
AUTOCOVARIANCE STRUCTURE OF GARCH(P,Q) PROCESSES 67 4.1 MOMENT
CONDITIONS 68 4.1.1 EQUIVALENCE TO EARLIER RESULTS 70 4.2 THE
AUTOCORRELATION OF THE SQUARES * 72 4.2.1 EXAMPLE 74 4.3 CONCLUSIONS 79
5 A NEW APPROACH TO MARKOV-SWITCHING GARCH MODELS 80 5.1 INTRODUCTION 80
5.2 MARKOV-SWITCHING GARCH MODELS 83 5.3 A NEW APPROACH TO
MARKOV-SWITCHING GARCH MODELS 84 5.3.1 INTERPRETING THE VARIANCE PROCESS
IN MARKOV-SWITCHING GARCH MODELS 84 5.3.2 DEFINITION OF THE MODEL 86
5.3.3 DYNAMIC PROPERTIES 87 5.4 MODELING EXCHANGE RATE DYNAMICS 97 5.4.1
DATA AND MODEL SPECIFICATION 97 5.4.2 ESTIMATION RESULTS 99 5.4.3
FORECASTING PERFORMANCE 107 5.5 CONCLUSIONS 117 5.6 TECHNICAL DETAILS
118 5.6.1 MOMENT CONDITIONS 118 5.6.2 AUTOCORRELATION FUNCTION OF THE
SQUARED PROCESS 122 5.6.3 PERSISTENCE WHEN ONLY THE INTERCEPT SWITCHES
126 5.6.4 PERSISTENCE AND STATIONARITY IN THE MS(2)-ARCH(1) PROCESS ...
126 5.6.5 APPROXIMATE STANDARD ERROR OF MARKOVIAN PERSISTENCE IN THE
MSG(3) MODEL 127 6 MIXED NORMALITY OF MULTIVARIATE RETURN DISTRIBUTIONS
129 6.1 PORTFOLIO CHOICE IN THE PRESENCE OF MIXED NORMALLY DISTRIBUTED
ASSET RETURNS 130 6.1.1 INTRODUCTION 130 6.1.2 KURTOSIS AVERSION AS
MIXTURE AVERSION 132 6.1.3 NUMERICAL EXAMPLE 144 6.2 THE MIXED NOIMAL
COMMON CON ELATION MODEL 156 6.2.1 DEFINITION OF THE MODEL 157 6.2.2
ESTIMATION OL THE MODEL VIA THE EM ALGORITHM 160 6.2.3 APPLICATION TO
STOCK MARKET RETURNS 172 6.3 CONCLUSIONS 177 7 CONCLUSIONS 180
|
| any_adam_object | 1 |
| author | Haas, Markus |
| author_facet | Haas, Markus |
| author_role | aut |
| author_sort | Haas, Markus |
| author_variant | m h mh |
| building | Verbundindex |
| bvnumber | BV019670820 |
| classification_rvk | QH 237 |
| ctrlnum | (OCoLC)76538495 (DE-599)BVBBV019670820 |
| dewey-full | 330 510 |
| dewey-hundreds | 300 - Social sciences 500 - Natural sciences and mathematics |
| dewey-ones | 330 - Economics 510 - Mathematics |
| dewey-raw | 330 510 |
| dewey-search | 330 510 |
| dewey-sort | 3330 |
| dewey-tens | 330 - Economics 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. Aufl. |
| format | Thesis Book |
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| id | DE-604.BV019670820 |
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| indexdate | 2024-07-09T20:02:37Z |
| institution | BVB |
| isbn | 3938262079 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-012999049 |
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| series | Quantitative Finanzwirtschaft |
| series2 | Quantitative Finanzwirtschaft |
| spelling | Haas, Markus Verfasser aut Dynamic mixture models for financial time series vorgelegt von Markus Haas 1. Aufl. Berlin Pro Business 2004 204 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Quantitative Finanzwirtschaft 8 Zugl.: Kiel, Univ., Diss., 2004 Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Wechselkursänderung (DE-588)4129405-1 gnd rswk-swf Aktienrendite (DE-588)4126593-2 gnd rswk-swf Hidden-Markov-Modell (DE-588)4352479-5 gnd rswk-swf GARCH-Prozess (DE-588)4346436-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Wechselkursänderung (DE-588)4129405-1 s Zeitreihenanalyse (DE-588)4067486-1 s GARCH-Prozess (DE-588)4346436-1 s Hidden-Markov-Modell (DE-588)4352479-5 s DE-604 Aktienrendite (DE-588)4126593-2 s Quantitative Finanzwirtschaft 8 (DE-604)BV014603618 8 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012999049&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Haas, Markus Dynamic mixture models for financial time series Quantitative Finanzwirtschaft Zeitreihenanalyse (DE-588)4067486-1 gnd Wechselkursänderung (DE-588)4129405-1 gnd Aktienrendite (DE-588)4126593-2 gnd Hidden-Markov-Modell (DE-588)4352479-5 gnd GARCH-Prozess (DE-588)4346436-1 gnd |
| subject_GND | (DE-588)4067486-1 (DE-588)4129405-1 (DE-588)4126593-2 (DE-588)4352479-5 (DE-588)4346436-1 (DE-588)4113937-9 |
| title | Dynamic mixture models for financial time series |
| title_auth | Dynamic mixture models for financial time series |
| title_exact_search | Dynamic mixture models for financial time series |
| title_full | Dynamic mixture models for financial time series vorgelegt von Markus Haas |
| title_fullStr | Dynamic mixture models for financial time series vorgelegt von Markus Haas |
| title_full_unstemmed | Dynamic mixture models for financial time series vorgelegt von Markus Haas |
| title_short | Dynamic mixture models for financial time series |
| title_sort | dynamic mixture models for financial time series |
| topic | Zeitreihenanalyse (DE-588)4067486-1 gnd Wechselkursänderung (DE-588)4129405-1 gnd Aktienrendite (DE-588)4126593-2 gnd Hidden-Markov-Modell (DE-588)4352479-5 gnd GARCH-Prozess (DE-588)4346436-1 gnd |
| topic_facet | Zeitreihenanalyse Wechselkursänderung Aktienrendite Hidden-Markov-Modell GARCH-Prozess Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012999049&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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