Penalized spline smoothing in financial and economic research:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2012
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | X, 164 S. graph. Darst. |
Internformat
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Datensatz im Suchindex
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|---|---|
| adam_text | IMAGE 1
CONTENTS
1 INTRODUCTION 1
1.1 NONPARAMETRIC MODELING O F E C O N O M I C A N D FINANCIAL D A T A 1
1.2 T H E CHOICE O F A SMOOTHING APPROACH 2
1.3 PREVIOUS APPLICATIONS O F PENALIZED SPLINES IN FINANCE AND ECONOMICS
. . 4
1.4 THESIS OBJECTIVES A N D OUTLINE 5
2 T H E IDEA OF PENALIZED S P L I N E S M O O T H I N G 9
2.1 INTRODUCTION 9
2.2 MOTIVATING EXAMPLE: T H E TERM STRUCTURE O F U S G O V E R N M E N T
B O N D S . . . 10
2.3 SCATTERPLOT SMOOTHING 12
2.3.1 SMOOTHING PARAMETER SELECTION 15
2.3.2 ALTERNATIVE BASIS FUNCTIONS A N D SPECIFICATIONS 18
2.3.3 CONFIDENCE INTERVALS 2 4
2.3.4 SCATTERPLOTS O F THE U S YIELD C U R V E 2 4
2.4 SMOOTHING A N D M I X E D MODELS 2 5
2.4.1 INTRODUCTION 2 5
2.4.2 M I X E D MODELS A N D THEIR ESTIMATION 2 6
2.4.3 PENALIZED SPLINES AS M I X E D MODELS 2 9
2.4.4 GENERAL M I X E D M O D E L SPLINES 3 0
2.4.5 CONFIDENCE INTERVALS IN THE M I X E D M O D E L FRAMEWORK 3 2
2.5 MULTIVARIATE MODELS 3 3
2.5.1 INTRODUCTION 3 3
I
HTTP://D-NB.INFO/1032680059
IMAGE 2
CONTENTS
2.5.2 BIVARIATE SMOOTHING 3 4
2.5.3 ADDITIVE MODELS 35
2.5.4 EXAMPLE: IMPLIED VOLATILITY FUNCTION O F THE S & P 5 0 0 37
2.5.5 INTERACTION MODELS 4 1
2.5.6 FACTOR-BY-CURVE INTERACTIONS 4 1
2.5.7 VARYING COEFFICIENT MODELS 4 2
2.5.8 EXAMPLE: T I M E VARYING RELATION O F TRADING COSTS A N D T I M E
T O
MATURITY O F FRENCH GOVERNMENT B O N D S 4 3
2.6 GENERALIZED MODELS 4 5
2.7 IMPLEMENTATION 4 7
3 ANALYSIS OF FINANCIAL TIME S E R I E S U S I N G PENALIZED S P L I N E
S 4 9
3.1 INTRODUCTION 4 9
3.2 PENALIZED SPLINE ESTIMATION IN A TIME SERIES CONTEXT 4 9
3.3 FUNCTIONAL AUTOREGRESSIVE MODELS 5 1
3.4 PREDICTION 5 5
3.5 SIMULATIONS 5 7
3.5.1 PARAMETRIC NONLINEAR AUTOREGRESSIVE MODELS 5 7
3.5.2 SIMULATED D A T A 5 8
3.5.3 RESULTS 5 9
3.6 APPLICATION: NONPARAMETRIC MODELING O F E U R O OVERNIGHT R A T E
DYNAMICS 6 4
3.7 DISCUSSION 6 8
4 EXAMINING HETEROGENEITY IN IMPLIED EQUITY RISK P R E M I U M U S I N G
PE
NALIZED S P L I N E S 6 9
4.1 INTRODUCTION 6 9
4.2 MODELLING IMPLIED R I S K PREMIA 7 1
4.2.1 CALCULATION O F THE R I S K P R E M I U M 71
4.2.2 NONPARAMETRIC MODELING B A S E D O N PENALIZED SPLINES 7 5
4.2.3 SPLINE SMOOTHING WITH CORRELATED ERRORS 7 8
II
IMAGE 3
CONTENTS
4.2.4 RISK PREMIUMS WITH O N E GLOBAL CURVE 7 8
4.2.5 R I S K PREMIUMS WITH MULTIPLE GLOBAL CURVES 7 9
4.2.6 SUBJECT-SPECIFIC CURVES 8 0
4.2.7 GROUP-SPECIFIC CURVES WITH INDIVIDUAL DEVIATIONS 8 2
4.2.8 COMPARING DIFFERENT M O D E L S 8 3
4.3 COMPTUTITIONAL DETAILS 8 4
4.4 EMPIRICAL RESULTS 8 6
4.5 DISCUSSION 9 3
5 N O N P A R A M E T R I C CLASSIFICATION OF US R E C E S S I O N S U S
I N G MANUFACTURING
S U R V E Y DATA 9 7
5.1 INTRODUCTION 9 7
5.2 NONPARAMETRIC CLASSIFICATION 9 9
5.2.1 GENERALIZED ADDITIVE M O D E L S 9 9
5.2.2 ALTERNATIVE WEIGHTING S C H E M E 101
5.3 T H E P M I A N D RECESSION DATA 103
5.3.1 T H E PURCHASING MANAGERS INDEX (PMI) 103
5.3.2 RECESSION-DATING 104
5.4 EMPIRICAL RESULTS 104
5.4.1 IN-SAMPLE ANALYSIS 104
5.4.2 OUT-OF-SAMPLE ANALYSIS 114
5.5 DISCUSSION 116
6 FUNCTIONAL VARIANCE ESTIMATION U S I N G PENALIZED S P L I N E S WITH
PRINCI
PAL C O M P O N E N T ANALYSIS 117
6.1 INTRODUCTION 117
6.2 JOINT MODELING O F M E A N A N D VARIANCE 119
6.3 ESTIMATING THE SMOOTHING PARAMETERS 124
6.4 SIMULATIONS 126
6.5 PRINCIPAL C O M P O N E N T ANALYSIS F O R S M O O T H MATRICES 130
I N
IMAGE 4
CONTENTS
6.6 APPLICATION 133
6.7 DISCUSSION 139
7 C O N C L U S I O N 141
I V
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| spelling | Wegener, Michael Verfasser (DE-588)1032764074 aut Penalized spline smoothing in financial and economic research vorgelegt von Michael Wegener 2012 X, 164 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bielefeld, Univ., Diss., 2012 Glättung (DE-588)4157404-7 gnd rswk-swf Spline (DE-588)4182391-6 gnd rswk-swf Empirische Wirtschaftsforschung (DE-588)4014609-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Glättung (DE-588)4157404-7 s Spline (DE-588)4182391-6 s Empirische Wirtschaftsforschung (DE-588)4014609-1 s DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025869734&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Wegener, Michael Penalized spline smoothing in financial and economic research Glättung (DE-588)4157404-7 gnd Spline (DE-588)4182391-6 gnd Empirische Wirtschaftsforschung (DE-588)4014609-1 gnd |
| subject_GND | (DE-588)4157404-7 (DE-588)4182391-6 (DE-588)4014609-1 (DE-588)4113937-9 |
| title | Penalized spline smoothing in financial and economic research |
| title_auth | Penalized spline smoothing in financial and economic research |
| title_exact_search | Penalized spline smoothing in financial and economic research |
| title_full | Penalized spline smoothing in financial and economic research vorgelegt von Michael Wegener |
| title_fullStr | Penalized spline smoothing in financial and economic research vorgelegt von Michael Wegener |
| title_full_unstemmed | Penalized spline smoothing in financial and economic research vorgelegt von Michael Wegener |
| title_short | Penalized spline smoothing in financial and economic research |
| title_sort | penalized spline smoothing in financial and economic research |
| topic | Glättung (DE-588)4157404-7 gnd Spline (DE-588)4182391-6 gnd Empirische Wirtschaftsforschung (DE-588)4014609-1 gnd |
| topic_facet | Glättung Spline Empirische Wirtschaftsforschung Hochschulschrift |
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