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Inference for functional time series with applications to yield curves and intraday cumulative returns.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Inference for functional time series with applications to yield curves and intraday cumulative returns./
Author:	Young, Gabriel J.
Description:	1 online resource (176 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 77-11(E), Section: B.
Subject:	Statistics. -
Online resource:	click for full text (PQDT)
ISBN:	9781339936833

Inference for functional time series with applications to yield curves and intraday cumulative returns.
Young, Gabriel J.

Inference for functional time series with applications to yield curves and intraday cumulative returns. - 1 online resource (176 pages)

Source: Dissertation Abstracts International, Volume: 77-11(E), Section: B.

Thesis (Ph.D.)--Colorado State University, 2016.

Includes bibliographical references

Econometric and financial data often take the form of a functional time series. Examples include yield curves, intraday price curves and term structure curves. Before an attempt is made to statistically model or predict such series, we must address whether or not such a series can be assumed stationary or trend stationary. We develop extensions of the KPSS stationarity test to functional time series. Motivated by the problem of a change in the mean structure of yield curves, we also introduce several change point methods applied to dynamic factor models. For all testing procedures, we include a complete asymptotic theory, a simulation study, illustrative data examples, as well as details of the numerical implementation of the testing procedures. The impact of scheduled macroeconomic announcements has been shown to account for sizable fractions of total annual realized stock returns. To assess this impact, we develop methods of derivative estimation which utilize a functional analogue of local-polynomial smoothing. The confidence bands are then used to find time intervals of statistically increasing cumulative returns.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9781339936833Subjects--Topical Terms:

556824
Statistics.
Index Terms--Genre/Form:

554714
Electronic books.

Inference for functional time series with applications to yield curves and intraday cumulative returns.
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245 1 0 $a Inference for functional time series with applications to yield curves and intraday cumulative returns.
264 0 $c 2016
300 $a 1 online resource (176 pages)
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500 $a Source: Dissertation Abstracts International, Volume: 77-11(E), Section: B.
500 $a Adviser: Piotr S. Kokoszka.
502 $a Thesis (Ph.D.)--Colorado State University, 2016.
504 $a Includes bibliographical references
520 $a Econometric and financial data often take the form of a functional time series. Examples include yield curves, intraday price curves and term structure curves. Before an attempt is made to statistically model or predict such series, we must address whether or not such a series can be assumed stationary or trend stationary. We develop extensions of the KPSS stationarity test to functional time series. Motivated by the problem of a change in the mean structure of yield curves, we also introduce several change point methods applied to dynamic factor models. For all testing procedures, we include a complete asymptotic theory, a simulation study, illustrative data examples, as well as details of the numerical implementation of the testing procedures. The impact of scheduled macroeconomic announcements has been shown to account for sizable fractions of total annual realized stock returns. To assess this impact, we develop methods of derivative estimation which utilize a functional analogue of local-polynomial smoothing. The confidence bands are then used to find time intervals of statistically increasing cumulative returns.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Statistics. $3 556824
650 4 $a Finance. $3 559073
650 4 $a Economics. $3 555568
655 7 $a Electronic books. $2 local $3 554714
690 $a 0463
690 $a 0508
690 $a 0501
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a Colorado State University. $b Statistics. $3 1148437
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10138072 $z click for full text (PQDT)