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on Econometric Time Series |
| By: | Niels Haldrup (Aarhus University and CREATES); Antonio Montañés (University of Zaragoza); Andreu Sansó (University of The Balearic Islands) |
| Abstract: | The detection and location of additive outliers in integrated variables has attracted much attention recently because such outliers tend to affect unit root inference among other things. Most of these procedures have been developed for non-seasonal processes. However, the presence of seasonality in the form of seasonally varying means and variances affect the properties of outlier detection procedures, and hence appropriate adjustments of existing methods are needed for seasonal data. In this paper we suggest modifications of tests proposed by Shin et al. (1996) and Perron and Rodriguez (2003) to deal with data sampled at a seasonal frequency and the size and power properties are discussed. We also show that the presence of periodic heteroscedasticity will inflate the size of the tests and hence will tend to identify an excessive number of outliers. A modified Perron-Rodriguez test which allows periodically varying variances is suggested and it is shown to have excellent properties in terms of both power and size |
| Keywords: | Additive outliers, outlier detection, integrated processes, periodic heteroscedasticity, seasonality |
| JEL: | C12 C2 C22 |
| Date: | 2009–09–14 |
| URL: | http://d.repec.org/n?u=RePEc:aah:create:2009-40&r=ets |
| By: | A. N. Sekar Iyengar |
| Abstract: | We have presented a novel technique of detecting intermittencies in a financial time series of the foreign exchange rate data of U.S.- Euro dollar(US/EUR) using a combination of both statistical and spectral techniques. This has been possible due to Continuous Wavelet Transform (CWT) analysis which has been popularly applied to fluctuating data in various fields science and engineering and is also being tried out in finance and economics. We have been able to qualitatively identify the presence of nonlinearity and chaos in the time series of the foreign exchange rates for US/EURO (United States dollar to Euro Dollar) and US/UK (United States dollar to United Kingdom Pound) currencies. Interestingly we find that for the US-INDIA(United States dollar to Indian Rupee) foreign exchange rates, no such chaotic dynamics is observed. This could be a result of the government control over the foreign exchange rates, instead of the market controlling them. |
| Date: | 2009–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:0910.0087&r=ets |
| By: | Christa Cuchiero; Damir Filipovi\'c; Eberhard Mayerhofer; Josef Teichmann |
| Abstract: | This paper provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. These matrix-valued affine processes have arisen from a large and growing range of useful applications in finance, including multi-asset option pricing with stochastic volatility and correlation structures, and fixed-income models with stochastically correlated risk factors and default intensities. |
| Date: | 2009–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:0910.0137&r=ets |