Optimized Segmentation-Adaptive-Based Testing of the Wavelet Co-movement Analysis: the Case of US and G8 Countries
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26220%2F19%3APU129586" target="_blank" >RIV/00216305:26220/19:PU129586 - isvavai.cz</a>
Result on the web
<a href="https://www.itm-conferences.org/articles/itmconf/abs/2019/01/itmconf_amcse18_01003/itmconf_amcse18_01003.html" target="_blank" >https://www.itm-conferences.org/articles/itmconf/abs/2019/01/itmconf_amcse18_01003/itmconf_amcse18_01003.html</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1051/itmconf/20192401003" target="_blank" >10.1051/itmconf/20192401003</a>
Alternative languages
Result language
angličtina
Original language name
Optimized Segmentation-Adaptive-Based Testing of the Wavelet Co-movement Analysis: the Case of US and G8 Countries
Original language description
The paper deals with an identification and the description of the co-movement between the US and G8 countries with regard to the impact of the structural change, i.e. the financial crisis in 2008. For an identification of the co-movement we use optimized segmentation-adaptive-based approach (SAB) of significance testing of the power wavelet cross-spectrum. The SAB testing is based on the standard testing for the power wavelet cross-spectrum adapted for the case, when the data have several levels of volatility during the time evolution, i.e. the data can be split into several segments with different volatility. The number of segments is set with the help of heterosdasticity test and the test for comparison of variances in the segments of the time series. The SAB testing allows us an identification of significant co-movement with respect to the local variance, which can reveal additional significant co-movement areas. For the application we use monthly data of industrial production index for G8 countries in 1993–2017.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
ITM Web of Conferences
ISBN
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ISSN
2271-2097
e-ISSN
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Number of pages
7
Pages from-to
1-7
Publisher name
Neuveden
Place of publication
Roma, Italy
Event location
Roma
Event date
Nov 22, 2018
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000473095100003