A sequence of events measured at disrete points in time.

learn more… | top users | synonyms

1
vote
3answers
1k views

What does it mean by autocorrelation coefficient near 1?

It is said that the time series has a stochastic trend if the first autocorrelation coefficient will be near 1. Q1) What does it mean by the above statement? Q2) How do we calculate the first ...
5
votes
0answers
80 views

2-state HMM / ARMA process?

I have issues with this problem: Let $\{X_t, t\in \Bbb N\}$ be a 2-state stationary Markov chain, with transition $M$ (and $M(1,2)\neq 0 \neq M(2,1)$), let $\{W_t, t\in \Bbb N\}$ be a strong Gaussian ...
0
votes
0answers
113 views

Fitting Egarch Model

I am performing a monte-carlo simulation in MATLAB for the first order EGARCH model in which case I am simulating 100 paths of size 500 assuming Gaussian and Student's-t distributions for the ...
2
votes
0answers
84 views

Derivation of variance of Zhou (1996) volatility estimator

Does anyone know how to derive the Variance of Bin Zhou's volatility estimator (Theorem 1) in 'High-Frequency Data and Volatility in Foreign-Exchange Rates' (1996) Zhou 1996 Any help would be ...
2
votes
3answers
91 views

how to back out levels from a forecast of differenced series

I have a non-stationary series of bond yields $x_{t}$ that are logged and differenced $$y_{t}\equiv ln\left(x_{t}\right)-ln\left(x_{t-4}\right) $$ From that, I get a series of forecasted values ...
0
votes
1answer
82 views

Can we model components in a set of multivariate multi-period time-series data?

There are N data sets in periods occurring weekly/monthly, across a 10-year historical timeline. In each period, five dates are observed (labelled a to e), where a denotes the day the period ...
3
votes
3answers
211 views

Is the number of outstanding shares a stationary series?

I'm doing a panel data analysis where the log of the freefloat number of outstanding shares is one of the explanatory variables, but it fails the Augmented Dickey Fuller and Person Phillips unit root ...
3
votes
2answers
404 views

How to remove outliers in financial times series?

I have a bunch of time series; i need to clean them before modelling. So far I just know the “filtering/smoothing” method : -Ex: moving average methodology (filter the data with a moving average ...
2
votes
1answer
260 views

How should we select efficiently orders parameters in time series modelling?

A common way to select orders parameters (ex: to choose the number of AR terms to be included in the model ) in time series modelling is to rely on some Information Criteria (AIC, BIC, Hannan ...
4
votes
2answers
179 views

Multifractal Model, Generating Sample Paths with Correlations between Assets

I have studied option pricing using Geometric Brownian Motion to generate sample paths. Because of the normal distribution, it is easy to create a covariance matrix and get correlated asset returns. ...
1
vote
2answers
305 views

Optimizing Principal Component factor weightings over time

I was given the returns of a cross-asset class portfolio of ETFs and I conducted PCA to obtain factors on dates from T-n, T-3, T-2,..., T. What I would like to do is decompose the market moves from ...
1
vote
1answer
457 views

Lagged dependent variable, yes or no?

I read conflicting opinions about the inclusion of lagged dependent variables in modeling, and I guess it is partly up to the researcher and depending on the scope and goal of the research. I'm ...