Holdings: Dynamic mixture models for financial time series

Saved in:

Bibliographic Details
Title:	Dynamic mixture models for financial time series
From:	vorgelegt von Markus Haas
Person:	Haas, Markus Verfasser aut
Main Author:	Haas, Markus (Author)
Format:	Thesis Book
Language:	English
Published:	Berlin Pro Business 2004
Edition:	1. Aufl.
Series:	Quantitative Finanzwirtschaft 8
Notation:	QH 237
Subjects:	Zeitreihenanalyse Wechselkursänderung Aktienrendite Hidden-Markov-Modell GARCH-Prozess Hochschulschrift
Online Access:	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
Physical Description:	204 S. graph. Darst.
ISBN:	3938262079

Staff View

MARC


LEADER	00000nam a2200000 cb4500
001	BV019670820
003	DE-604
005	20050317
007	t\|
008	050125s2004 gw d\|\|\| m\|\|\| 00\|\|\| eng d
015			\|a 04,A52,0415 \|2 dnb
016	7		\|a 972548092 \|2 DE-101
020			\|a 3938262079 \|c kart. : EUR 19.95 \|9 3-938262-07-9
024	3		\|a 9783938262078
035			\|a (OCoLC)76538495
035			\|a (DE-599)BVBBV019670820
040			\|a DE-604 \|b ger \|e rakddb
041	0		\|a eng
044			\|a gw \|c XA-DE-BE
049			\|a DE-739 \|a DE-19 \|a DE-188
082	0		\|a 330
082	0		\|a 510
084			\|a QH 237 \|0 (DE-625)141552: \|2 rvk
084			\|a 510 \|2 sdnb
084			\|a 330 \|2 sdnb
100	1		\|a Haas, Markus \|e Verfasser \|4 aut
245	1	0	\|a Dynamic mixture models for financial time series \|c vorgelegt von Markus Haas
250			\|a 1. Aufl.
264		1	\|a Berlin \|b Pro Business \|c 2004
300			\|a 204 S. \|b graph. Darst.
336			\|b txt \|2 rdacontent
337			\|b n \|2 rdamedia
338			\|b nc \|2 rdacarrier
490	1		\|a Quantitative Finanzwirtschaft \|v 8
502			\|a Zugl.: Kiel, Univ., Diss., 2004
650	0	7	\|a Zeitreihenanalyse \|0 (DE-588)4067486-1 \|2 gnd \|9 rswk-swf
650	0	7	\|a Wechselkursänderung \|0 (DE-588)4129405-1 \|2 gnd \|9 rswk-swf
650	0	7	\|a Aktienrendite \|0 (DE-588)4126593-2 \|2 gnd \|9 rswk-swf
650	0	7	\|a Hidden-Markov-Modell \|0 (DE-588)4352479-5 \|2 gnd \|9 rswk-swf
650	0	7	\|a GARCH-Prozess \|0 (DE-588)4346436-1 \|2 gnd \|9 rswk-swf
655		7	\|0 (DE-588)4113937-9 \|a Hochschulschrift \|2 gnd-content
689	0	0	\|a Wechselkursänderung \|0 (DE-588)4129405-1 \|D s
689	0	1	\|a Zeitreihenanalyse \|0 (DE-588)4067486-1 \|D s
689	0	2	\|a GARCH-Prozess \|0 (DE-588)4346436-1 \|D s
689	0	3	\|a Hidden-Markov-Modell \|0 (DE-588)4352479-5 \|D s
689	0		\|5 DE-604
689	1	0	\|a Aktienrendite \|0 (DE-588)4126593-2 \|D s
689	1	1	\|a Zeitreihenanalyse \|0 (DE-588)4067486-1 \|D s
689	1	2	\|a GARCH-Prozess \|0 (DE-588)4346436-1 \|D s
689	1	3	\|a Hidden-Markov-Modell \|0 (DE-588)4352479-5 \|D s
689	1		\|5 DE-604
830		0	\|a Quantitative Finanzwirtschaft \|v 8 \|w (DE-604)BV014603618 \|9 8
856	4	2	\|m GBV Datenaustausch \|q application/pdf \|u 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 \|3 Inhaltsverzeichnis
943	1		\|a oai:aleph.bib-bvb.de:BVB01-012999049

Record in the Search Index

_version_	1819359380537081856
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
author_facet	Haas, Markus
author_role	aut
author_sort	Haas, Markus
author_variant	m h mh
building	Verbundindex
bvnumber	BV019670820
classification_rvk	QH 237
ctrlnum	(OCoLC)76538495 (DE-599)BVBBV019670820
dewey-full	330 510
dewey-hundreds	300 - Social sciences 500 - Natural sciences and mathematics
dewey-ones	330 - Economics 510 - Mathematics
dewey-raw	330 510
dewey-search	330 510
dewey-sort	3330
dewey-tens	330 - Economics 510 - Mathematics
discipline	Mathematik Wirtschaftswissenschaften
edition	1. Aufl.
format	Thesis Book
fullrecord	<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02351nam a2200613 cb4500</leader><controlfield tag="001">BV019670820</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20050317 </controlfield><controlfield tag="007">t\|</controlfield><controlfield tag="008">050125s2004 gw d\|\|\| m\|\|\| 00\|\|\| eng d</controlfield><datafield tag="015" ind1=" " ind2=" "><subfield code="a">04,A52,0415</subfield><subfield code="2">dnb</subfield></datafield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">972548092</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">3938262079</subfield><subfield code="c">kart. : EUR 19.95</subfield><subfield code="9">3-938262-07-9</subfield></datafield><datafield tag="024" ind1="3" ind2=" "><subfield code="a">9783938262078</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)76538495</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV019670820</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">XA-DE-BE</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-739</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-188</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">330</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">510</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 237</subfield><subfield code="0">(DE-625)141552:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">510</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">330</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Haas, Markus</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Dynamic mixture models for financial time series</subfield><subfield code="c">vorgelegt von Markus Haas</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">1. Aufl.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Berlin</subfield><subfield code="b">Pro Business</subfield><subfield code="c">2004</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">204 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Quantitative Finanzwirtschaft</subfield><subfield code="v">8</subfield></datafield><datafield tag="502" ind1=" " ind2=" "><subfield code="a">Zugl.: Kiel, Univ., Diss., 2004</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Zeitreihenanalyse</subfield><subfield code="0">(DE-588)4067486-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Wechselkursänderung</subfield><subfield code="0">(DE-588)4129405-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Aktienrendite</subfield><subfield code="0">(DE-588)4126593-2</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Hidden-Markov-Modell</subfield><subfield code="0">(DE-588)4352479-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">GARCH-Prozess</subfield><subfield code="0">(DE-588)4346436-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4113937-9</subfield><subfield code="a">Hochschulschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Wechselkursänderung</subfield><subfield code="0">(DE-588)4129405-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Zeitreihenanalyse</subfield><subfield code="0">(DE-588)4067486-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">GARCH-Prozess</subfield><subfield code="0">(DE-588)4346436-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">Hidden-Markov-Modell</subfield><subfield code="0">(DE-588)4352479-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Aktienrendite</subfield><subfield code="0">(DE-588)4126593-2</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Zeitreihenanalyse</subfield><subfield code="0">(DE-588)4067486-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="2"><subfield code="a">GARCH-Prozess</subfield><subfield code="0">(DE-588)4346436-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="3"><subfield code="a">Hidden-Markov-Modell</subfield><subfield code="0">(DE-588)4352479-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">Quantitative Finanzwirtschaft</subfield><subfield code="v">8</subfield><subfield code="w">(DE-604)BV014603618</subfield><subfield code="9">8</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">GBV Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">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</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-012999049</subfield></datafield></record></collection>
genre	(DE-588)4113937-9 Hochschulschrift gnd-content
genre_facet	Hochschulschrift
id	DE-604.BV019670820
illustrated	Illustrated
indexdate	2024-12-20T12:03:09Z
institution	BVB
isbn	3938262079
language	English
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-012999049
oclc_num	76538495
open_access_boolean
owner	DE-739 DE-19 DE-BY-UBM DE-188
owner_facet	DE-739 DE-19 DE-BY-UBM DE-188
physical	204 S. graph. Darst.
publishDate	2004
publishDateSearch	2004
publishDateSort	2004
publisher	Pro Business
record_format	marc
series	Quantitative Finanzwirtschaft
series2	Quantitative Finanzwirtschaft
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

Holdings

‌

Order interlibrary loan
Table of contents