Holdings: Dynamic mixture models for financial time series

Dynamic mixture models for financial time series:

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Bibliographic Details
Main Author:	Haas, Markus (Author)
Format:	Thesis Book
Language:	English
Published:	Berlin Pro Business 2004
Edition:	1. Aufl.
Series:	Quantitative Finanzwirtschaft 8
Subjects:	Zeitreihenanalyse Wechselkursänderung Aktienrendite Hidden-Markov-Modell GARCH-Prozess Hochschulschrift
Online Access:	Inhaltsverzeichnis
Physical Description:	204 S. graph. Darst.
ISBN:	3938262079

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MARC


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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
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discipline	Mathematik Wirtschaftswissenschaften
edition	1. Aufl.
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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
volume_link	(DE-604)BV014603618
work_keys_str_mv	AT haasmarkus dynamicmixturemodelsforfinancialtimeseries

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