Mixed-frequency Regression Modelling with Some Financial Applications


Virmantas Kvedaras (Vilnius University)
  1. MMDSについて
  2. MMDSの教員・組織
  3. MMDSで学びたい方へ
  4. カリキュラム
  5. MMDSの活動

  6. 学内向け情報

大証寄附研究部門セミナーシリーズ 第33回
Mixed-frequency Regression Modelling with Some Financial Applications

Virmantas Kvedaras (Vilnius University)

Regression modelling alternatives are considered whenever the regularly sampled explanatory variables are observed at a higher frequency than the dependent one. The ordered weighted aggregation (OWA) and the mixed data sampling (MIDAS) alternatives are discussed in more detail. An LM-type test is proposed to detect the non-linearity induced by the OWA-type effects. Its small sample properties are compared with the established tests for omitted non-linearity. Next, the statistical origin is defined of the non-linear restriction on parameters imposed in the MIDAS regressions, and the tests for its empirical adequacy are characterized in regressions with finite and infinite number of higher-frequency lags of explanatory variables. The relevance of OWA-type effects and the application of the MIDAS testing are illustrated using the stock exchange indices data.

講 師:
Virmantas Kvedaras (Vilnius University)
テーマ:
Mixed-frequency Regression Modelling with Some Financial Applications
日 時:
2012年06月1日(金)16:20-17:50
場 所:
大阪大学大学院基礎工学研究科 (豊中キャンパス)I 棟 204号室
参加費:
無料
アクセス:
会場までのアクセスは下記URLをご参照ください。
http://www.es.osaka-u.ac.jp/access/
お問い合せ:
本ウェブサイトの「お問い合せ」のページをご参照ください。