Changepoint in dependent and non-stationary panels

Maciak, Matúš; Pešta, Michal; Peštová, Barbora

doi:10.1007/s00362-020-01180-6

Cited by 19 publications

(14 citation statements)

References 37 publications

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“…3), assuming that the volatilities are approximately constant before and after the possible change for every strike. The ratio-type changepoint test statistics proposed in [14] as well as the bootstrap self-normalized changepoint test statistics form [15] both suggest Fig. 3 The estimated panels of the implied volatilities: for each time point t ∈ {1, .…”

Section: Application: Implied Volatility With Constant Maturitymentioning

confidence: 98%

Implied Volatility Surface Estimation via Quantile Regularization

Maciak¹,

Pešta²,

Vitali³

2020

Analytical Methods in Statistics

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The implied volatility function and the implied volatility surface are both key tools for analyzing financial and derivative markets and various approaches were proposed to estimate theses quantities. On the other hand, theoretical, practical, and also computational pitfalls occur in most of them. An innovative estimation method based on an idea of a sparse estimation and an atomic pursuit approach is introduced to overcome some of these limits: the quantile LASSO estimation implies robustness with respect to common market anomalies; the panel data structure allows for a time dependent modeling; changepoints introduce some additional flexibility in order to capture some sudden changes in the market and linear constraints ensure the arbitrage-free validity; last but not least, the interpolated implied volatility concept overcomes the problem of consecutive maturities when observing the implied volatility over time. Some theoretical backgrounds for the quantile LASSO estimation method are presented, the idea of the interpolated volatilities is introduced, and the proposed estimation approach is applied to estimate the implied volatility of the Erste Group Bank AG call options quoted in EUREX Deutschland Market.

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Section: Application: Implied Volatility With Constant Maturitymentioning

confidence: 98%

Implied Volatility Surface Estimation via Quantile Regularization

Maciak¹,

Pešta²,

Vitali³

2020

Analytical Methods in Statistics

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“…The economic shocks and political changes can cause structural changes in financial data. The exact time of change is normally unknown but different methods can be used to identify that change period [53,54]. The identifying process of unexpected shock or any change due to the distribution or structural change is called change point detection.…”

Section: Stability Diagnosticsmentioning

confidence: 99%

“…The identifying process of unexpected shock or any change due to the distribution or structural change is called change point detection. The change point refers to a specific time in which the behavior of an observation changes [54]. Short-term and smooth changes are considered to be normal.…”

Section: Stability Diagnosticsmentioning

confidence: 99%

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Reverse Causality between Fiscal and Current Account Deficits in ASEAN: Evidence from Panel Econometric Analysis

2021

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This study aims to explore the causal relationship between fiscal deficit (FD) and current account deficit (CAD) along with policy recommendations based on long-run and short-run dynamics and sensitivities. A panel data span from 1990 to 2019 is analyzed based on panel unit root tests, panel co-integration with auto-regressive distributed lag (ARDL), panel co-integration regression with fully modified ordinary least squares (FMOLS) and dynamic ordinary least squares (DOLS), and causal analysis with the Dumitrescu and Hurlin (DH) technique. The results disclosed that all tested variables are stationary at the first difference I(1) except the real interest rate (IR), which is stationary at level I(0). The ARDL estimates suggested that there is a long-run relationship between tested variables and 92% annual convergence is possible for long-run equilibrium. The FMOLS and DOLS estimates indicated that the CAD is sensitive towards the FD and the exchange rate. The DH causality test showed that the CAD is significantly affecting the FD, supporting the current account targeting hypothesis. Furthermore, it is observed that the interest rate is acting as a moderating factor between the FD and the CAD because it causes both the deficits. Thus, reverse causality is concluded from the CAD to the FD. These results have macroeconomic implications for fiscal policy in the Association of South-East Asian Nations (ASEAN-10).

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“…The concept of multivariate normality was overcome in recent applications of statistical multivariate modeling techniques. A copula approach or notion of weak dependence can be utilized instead (Gijbels et al 2017;Maciak et al 2020;Pešta and Wendler 2020).…”

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confidence: 99%

Application of Discriminant Analysis for Avoiding the Risk of Quarry Operation Failure

Csikósová

Janošková

Čulková

2020

JRFM

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Activity in the mining industry is based on the profitability principle similar to other business sectors. In the case of stone pits, gravel and sand quarries, it presents a very complex task, mainly due to the fact that the economy of localities is influenced greatly by natural conditions, which cannot be changed. The presented contribution deals with the problem of how mining companies, realizing the surface extraction of construction materials, could be profitable in the future. The main research method of this contribution presents regression and correlation analyses with the goal of determining parameters with a decisive influence on the future economic development of the locality. A complex system of stone pit, gravel and sand quarries demanded discriminant analysis to evaluate individual localities with the goal of dividing them into profitable and not profitable localities. The results of the contribution divide localities of quarry mining among profitable or not profitable, serving for predicting the future development of the company, based on discriminant analysis. The results of maximally possible measures respect assumptions, enabling the correct application of such multivariate statistical methods. A further orientation of the research in an area of model creation for predicting the future development of the company is possible in the application of logistic regression and neuron nets.

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Changepoint in dependent and non-stationary panels

Cited by 19 publications

References 37 publications

Implied Volatility Surface Estimation via Quantile Regularization

Implied Volatility Surface Estimation via Quantile Regularization

Reverse Causality between Fiscal and Current Account Deficits in ASEAN: Evidence from Panel Econometric Analysis

Application of Discriminant Analysis for Avoiding the Risk of Quarry Operation Failure

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