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POMĚNKOVÁ, J. KLEJMOVÁ, E. MALACH, T.
Originální název
Optimized Segmentation-Adaptive-Based Testing of the Wavelet Co-movement Analysis: the Case of US and G8 Countries
Typ
článek ve sborníku ve WoS nebo Scopus
Jazyk
angličtina
Originální abstrakt
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.
Klíčová slova
wavelets, comovement, significance testing
Autoři
POMĚNKOVÁ, J.; KLEJMOVÁ, E.; MALACH, T.
Vydáno
1. 2. 2019
Místo
Roma, Italy
ISSN
2271-2097
Periodikum
ITM Web of Conferences
Ročník
16
Stát
Francouzská republika
Strany od
1
Strany do
7
Strany počet
URL
https://www.itm-conferences.org/articles/itmconf/abs/2019/01/itmconf_amcse18_01003/itmconf_amcse18_01003.html
BibTex
@inproceedings{BUT150978, author="Jitka {Dluhá} and Eva {Klejmová} and Tobiáš {Malach}", title="Optimized Segmentation-Adaptive-Based Testing of the Wavelet Co-movement Analysis: the Case of US and G8 Countries", booktitle="ITM Web of Conferences", year="2019", series="The 2018 International Conference Applied Mathematics, Computational Science and Systems Engineering", journal="ITM Web of Conferences", volume="16", number="17", pages="1--7", address="Roma, Italy", doi="10.1051/itmconf/20192401003", issn="2271-2097", url="https://www.itm-conferences.org/articles/itmconf/abs/2019/01/itmconf_amcse18_01003/itmconf_amcse18_01003.html" }