Optimized Segmentation-Adaptive-Based Testing of the Wavelet Co-movement Analysis: the Case of US and G8 Countries

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Optimized Segmentation-Adaptive-Based Testing of the Wavelet Co-movement Analysis: the Case of US and G8 Countries

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Optimized Segmentation-Adaptive-Based Testing of the Wavelet Co-movement Analysis: the Case of US and G8 Countries

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

ITM Web of Conferences

ISBN

—

ISSN

2271-2097

e-ISSN

—

Počet stran výsledku

7

Strana od-do

1-7

Název nakladatele

Neuveden

Místo vydání

Roma, Italy

Místo konání akce

Roma

Datum konání akce

22. 11. 2018

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000473095100003