Schröder, Anna Louise and Fryzlewicz, Piotr (2013): Adaptive trend estimation in financial time series via multiscale changepointinduced basis recovery. Published in: Statistics and Its Interface , Vol. 4, No. 6 (2013): pp. 449461.

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Abstract
Lowfrequency financial returns can be modelled as centered around piecewiseconstant trend functions which change at certain points in time. We propose a new stochastic time series framework which captures this feature. The main ingredient of our model is a hierarchicallyordered oscillatory basis of simple piecewiseconstant functions. It differs from the Fourierlike bases traditionally used in time series analysis in that it is determined by changepoints, and hence needs to be estimated from the data before it can be used. The resulting model enables easy simulation and provides interpretable decomposition of nonstationarity into short and longterm components. The model permits consistent estimation of the multiscale changepointinduced basis via binary segmentation, which results in a variablespan movingaverage estimator of the current trend, and allows for shortterm forecasting of the average return.
Item Type:  MPRA Paper 

Original Title:  Adaptive trend estimation in financial time series via multiscale changepointinduced basis recovery 
English Title:  Adaptive trend estimation in financial time series via multiscale changepointinduced basis recovery 
Language:  English 
Keywords:  Financial time series, Adaptive trend estimation, Changepoint detection, Binary segmentation, Unbalanced Haar wavelets, Frequencydomain modelling 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C13  Estimation: General C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C51  Model Construction and Estimation C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C58  Financial Econometrics G  Financial Economics > G1  General Financial Markets > G17  Financial Forecasting and Simulation 
Item ID:  52379 
Depositing User:  Ms Anna Louise Schröder 
Date Deposited:  26 Dec 2013 21:21 
Last Modified:  27 Sep 2019 22:48 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/52379 