在聚类多个时间序列中进行非参数性波动性测试
Erniel B Barrios1, Paolo Victor T Redondo2
1Monash University Malaysia, Selangor, Malaysia.
概括
我们为多个时间序列开发了一种新的启动测试,以解决金融市场的波动性聚类和传染效应. 这种方法提高了统计能力和准确性,特别是对于静止时间序列数据.
科学领域:
- 计量经济学 计量经济学 计量经济学
- 金融时间序列分析分析
- 统计建模 统计建模
背景情况:
- 在多个时间序列中聚合波动性,例如股票市场指标,使波动性分析复杂化.
- 参数测试可能会显示出由于传染效应而导致的大小和功率的问题.
- 现有的方法可能无法充分解决相互依存的金融时间序列的复杂性.
研究的目的:
- 提出一种新的统计测试,用于多个时间序列中的波动性.
- 为了考虑到财务数据中传染效应的潜在存在.
- 为分析波动提供一种可靠的方法,这种方法不太依赖于分布假设.
主要方法:
- 为多个时间序列开发使用启动式方法的波动性测试.
- 测试应用于显示潜在传染效应的数据.
- 在各种时间序列属性下测试性能的评估,包括非静止性.
主要成果:
- 拟议的启动测试对分布假设是可靠的.
- 测试证明了正确的尺寸,即使在几乎非静止的时间序列.
- 测试显示了显著的功率,特别是当时间序列的平均值是静止的,波动性集群很少时.
结论:
- 基于引导的波动性测试有效地处理多个时间序列中的传染效应.
- 与传统的参数测试相比,这种方法提供了更好的准确性和功率.
- 该方法使用全球股票价格数据进行验证,证明了其实际适用性.
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