دانلود رایگان مقاله لاتین تقسیم بازار در بازار اوراق قرضه از سایت الزویر
عنوان فارسی مقاله:
همبستگی بلندمدت و تقسیم بازار در بازار اوراق قرضه
عنوان انگلیسی مقاله:
Long-range correlation and market segmentation in bond market
سال انتشار : 2017
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بخشی از مقاله انگلیسی:
2. Methodology
Long-range correlations in time series may be detected in several ways. Two known methods are Rescaled Range Analysis (R/S) [20] and Detrended Fluctuation Analysis (DFA) [21, 22]. However, R/S is seriously biased when the 3 data also exists short range dependence [23] and DFA is based on discontinuous polynomial fitting, oscillations in the fluctuation function and significant errors in crossover locations can be introduced [24]. To overcome the shortcomings of the DFA method, a moving average (MA) process is introduced to replace the polynomial fitting detrending method in DFA by Alessio et al.(2002)[25]. For this research, we will therefore use Hurst exponent provided by Detrended Moving Average method (DMA) to measure long-range correlation for the priorities of DMA compared to DFA in several numerical experiments [26]. The Detrended Moving Average method (DMA) is similar with Detrended Fluctuation Analysis (DFA) except for the trends fitting function. These two are initially proposed for one time series and can be extended to two time series. DFA or DMA method provides an easy way to analyse the long-range correlation for time series. Not only in physics, it has been applied in the economic and financial field [27, 28, 29].
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کلمات کلیدی:
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