Detekcia nelinearity vo finančných časových radoch
| Thesis title in thesis language (Slovak): | Detekcia nelinearity vo finančných časových radoch |
|---|---|
| Thesis title in Czech: | Detekce nelinearity ve finančních časových řadách |
| Thesis title in English: | Nonlinearity detection in financial time series |
| Key words: | AR proces|neparametrické testy|bispektrálny test|parametrické testy|RESET test|Keenanov test|F test |
| English key words: | AR process|nonparametric tests|bispectral test|parametric test|RESET test|Keenan test|F test. |
| Academic year of topic announcement: | 2021/2022 |
| Thesis type: | diploma thesis |
| Thesis language: | slovenština |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | RNDr. Jitka Zichová, Dr. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 24.10.2021 |
| Date of assignment: | 25.10.2021 |
| Confirmed by Study dept. on: | 11.01.2022 |
| Date and time of defence: | 31.01.2023 09:40 |
| Date of electronic submission: | 03.01.2023 |
| Date of submission of printed version: | 09.01.2023 |
| Date of proceeded defence: | 31.01.2023 |
| Opponents: | doc. RNDr. Zuzana Prášková, CSc. |
| Guidelines |
| Z praxe je známo, že pro modelování časových řad z oblasti financí nejsou příliš vhodné klasické lineární modely. Posluchač/ka se zaměří na problematiku zkoumání nelinearity v časových řadách, popíše vybrané testy nelinearity a provede simulační experimenty k ověření jejich vlastností, případně analýzu reálných dat. |
| References |
| Fan,J.; Yao, Q.: Nonlinear Time Series. Nonparametric and Parametric Methods. Springer, New York, 2003.
Fuller, W. A.: Introduction to Statistical Time Series. Wiley, New York, 1976. Hinich, M.J.: Testing for Gaussianity and Linearity of a Stationary Time Series. Journal of Time series analysis, Vol. 3, No. 3, 1982, pp. 169-176. Hsieh, D.A.: Testing for Nonlinear Dependence in Daily Foreign Exchange Rates. Journal of Business, Vol. 62, No. 3, 1989, pp. 339-368. Chan, K.S.: Percentage Points of Likelihood Ratio Tests for Treshold Autoregression. Journal of the Royal Statistical Society, Series B, Vol. 53, No. 3, 1991, pp. 691-696. Keenan, D.M.: A Tukey Nonadditivity-Type test for Time Series Nonlinearity. Biometrika, Vol. 72, No. 1, 1985, pp. 39-44. Mc Leod, A. I.; Li, W.K.: Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations. Journal of Time series analysis, Vol. 4, No. 4, 1983, pp. 269-273. Ramsey, J.B.: Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis. Journal of the Royal Statistical Society, Series B, Vol. 31, No. 2, 1969, pp. 350-371. Subba Rao, T.; Gabr, M. M. : A test for linearity of stationary time series. Journal of Time series analysis, Vol. 1, No.2, 1980, pp.145-158. Tsay, R.S.: Nonlinearity Tests for Time Series . Biometrika, Vol. 73, No. 2, 1986, pp. 461-466. Tsay, R.S.: Analysis of Financial Time Series. Wiley, New York, 2002. |