Studies in Nonlinear Dynamics and Econometrics最新文献_第7页

Recovering cointegration via wavelets in the presence of non-linear patterns 利用小波恢复非线性模式下的协整

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2021-10-15 DOI: 10.1515/snde-2018-0120

Jorge Martínez Compains, Ignacio Rodríguez Carreño, R. Gencay, Tommaso Trani, Daniel Ramos Vilardell

引用次数: 1

Prediction of stock index of two-scale long short-term memory model based on multiscale nonlinear integration 基于多尺度非线性积分的两尺度长短期记忆模型股票指数预测

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2021-10-08 DOI: 10.1515/snde-2021-0032

Decai Tang, Zhiwei Pan, Brandon J. Bethel

{"title":"Prediction of stock index of two-scale long short-term memory model based on multiscale nonlinear integration","authors":"Decai Tang, Zhiwei Pan, Brandon J. Bethel","doi":"10.1515/snde-2021-0032","DOIUrl":"https://doi.org/10.1515/snde-2021-0032","url":null,"abstract":"Abstract Although the prediction of stock prices and analyses of their returns and risks have always played integral roles in the stock market, accurate predictions are notoriously difficult to make, and mistakes may be devastatingly costly. This study attempts to resolve this difficulty by proposing and applying a two-stage long short-term memory (LSTM) model based on multi-scale nonlinear integration that considers a diverse array of factors. Initially, variational mode decomposition (VMD) is used to decompose an employed stock index to identify the different characteristics of the stock index sequence. Then, an LSTM model based on the multi-factor nonlinear integration of overnight information is established in a second stage. Finally, the joint VMD-LSTM model is used to predict the stock index. To validate the model, the Shanghai Composite, Nikkei 225, and Hong Kong Hang Seng indices were analyzed. Experiments show that, by comparison, the prediction effect of the mixed model is better than that of a single LSTM. For example, RMSE, MAE and MAPE of the mixed model of the Shanghai Composite Index are 4.22, 4.25 and 0.2 lower than the single model respectively. The RMSE, MAE and MAPE of the mixed model of the Nikkei 225 Index are 47.74, 37.21 and 0.17 lower than the single model respectively, and the RMSE, MAE and MAPE of the mixed model of the Hong Kong Hang Seng Index are 37.88, 25.06 and 0.08 lower than the single model respectively.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"723 - 735"},"PeriodicalIF":0.8,"publicationDate":"2021-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49175425","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach 消费、总财富和预期股票回报：分位数协整方法

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2021-09-13 DOI: 10.1515/snde-2020-0059

Ricardo Quineche

{"title":"Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach","authors":"Ricardo Quineche","doi":"10.1515/snde-2020-0059","DOIUrl":"https://doi.org/10.1515/snde-2020-0059","url":null,"abstract":"Abstract This paper empirically examines the long-run relationship between consumption, asset wealth and labor income (i.e., cay) in the United States through the lens of a quantile cointegration approach. The advantage of using this approach is that it allows for a nonlinear relationship between these variables depending on the level of consumption. We estimate the coefficients using a Phillips–Hansen type fully modified quantile estimator to correct for the presence of endogeneity in the cointegrating relationship. To test for the null of cointegration at each quantile, we apply a quantile CUSUM test. Results show that: (i) consumption is more sensitive to changes in labor income than to changes in asset wealth for the entire distribution of consumption, (ii) the elasticity of consumption with respect to labor income (asset wealth) is larger at the right (left) tail of the consumption distribution than at the left (right) tail, (iii) the series are cointegrated around the median, but not in the tails of the distribution of consumption, (iv) using the estimated cay obtained for the right (left) tail of the distribution of consumption improves the long-run (short-run) forecast ability on real excess stock returns over a risk-free rate.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"693 - 703"},"PeriodicalIF":0.8,"publicationDate":"2021-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44916808","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

What does Google say about credit developments in Brazil? b谷歌对巴西的信贷发展有何看法?

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2021-08-30 DOI: 10.1515/snde-2019-0122

A. Neto, Osvaldo Candido

引用次数: 1

Testing for exuberance in house prices using data sampled at different frequencies 使用不同频率采样的数据测试房价的繁荣

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2021-08-09 DOI: 10.1515/snde-2021-0030

Jesús Otero, Theodore Panagiotidis, Georgios Papapanagiotou

引用次数: 1

Time-specific average estimation of dynamic panel regressions. 动态面板回归的时间平均估计。

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2021-07-26 eCollection Date: 2022-09-01 DOI: 10.1515/snde-2019-0084

Ba Chu

引用次数: 0

Asymmetries in the monetary policy reaction function: evidence from India 货币政策反应函数的不对称:来自印度的证据

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2021-07-14 DOI: 10.1515/snde-2019-0121

I. Shah, Srikanta Kundu

{"title":"Asymmetries in the monetary policy reaction function: evidence from India","authors":"I. Shah, Srikanta Kundu","doi":"10.1515/snde-2019-0121","DOIUrl":"https://doi.org/10.1515/snde-2019-0121","url":null,"abstract":"Abstract This paper analyzes the reaction function of monetary authority in India from 1997Q1 to 2019Q4 using nonlinear Taylor rule. It has been found that monetary policy reaction function (MPRF) in India is asymmetric and is influenced by the state of the economy, determined by the lagged interest rate. To capture such asymmetry, we have used a set of nonlinear models including smooth transition regression (STR) model, threshold regression (TR) model and Markov-switching regression (MSR) model along with the instrumental variable estimation technique. The analysis discloses that the behaviour of the Reserve Bank of India (RBI) is asymmetric, reacts aggressively to output gap in general and particularly during periods of high interest rate. Furthermore, the RBI reacts more to inflation and output gap during low volatile regimes in MSR models compared to high volatile regimes. We also found that there is a high degree of inertia in the policy rates of the RBI. The study concludes that nonlinear models may not only help in understanding the behaviour of the RBI but also prevent from making incorrect and misleading conclusions in Indian context.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"541 - 558"},"PeriodicalIF":0.8,"publicationDate":"2021-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44351767","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Rescaled variance tests for seasonal stationarity 季节平稳性的重标方差检验

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2021-07-02 DOI: 10.1515/snde-2021-0004

K. C. Gogebakan

{"title":"Rescaled variance tests for seasonal stationarity","authors":"K. C. Gogebakan","doi":"10.1515/snde-2021-0004","DOIUrl":"https://doi.org/10.1515/snde-2021-0004","url":null,"abstract":"Abstract This paper introduces rescaled variance [V/S] tests for seasonal stationarity. The V/S statistic is designed by Giraitis, L., P. Kokoszka, R. Leipus, and G. Teyssière. 2003. “Rescaled Variance and Related Tests for Long Memory in Volatility and Levels.” Journal of Econometrics 112: 265–94 to be the mean corrected versions of the KPSS statistic. In the seasonal context, Canova, F., and B. E. Hansen. 1995. “Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability.” Journal of Business & Economic Statistics 13: 237–52 present the seasonal generalization of the KPSS statistic. In this regard, I aim to strengthen the work of Canova, F., and B. E. Hansen. 1995. “Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability.” Journal of Business & Economic Statistics 13: 237–52 [CH] by mean correction in the seasonal framework. I obtain the asymptotic distributions of the seasonal V/S tests. The V/S tests enjoy better power performance than the CH tests while exhibiting similiar size performance. Furthermore, by data pre-filtering, I propose robustified versions of the V/S statistics to eliminate the unattended unit root problem observed in the CH tests.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"98 ","pages":"617 - 633"},"PeriodicalIF":0.8,"publicationDate":"2021-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2021-0004","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41282327","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Regulated seasonal unit root process 调节季节性单位根过程

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2021-06-15 DOI: 10.1515/snde-2019-0110

B. Eroğlu, A. Pehlivan

引用次数: 1

Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: a panel cointegration approach for 50 US states 消费、个人收入、金融财富、住房财富和长期利率:美国50个州的面板协整方法

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2021-06-09 DOI: 10.1515/snde-2020-0057

Dimitra Kontana, Stilianos Fountas

引用次数: 0