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Social and Behavioral Sciences Commons™
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Full-Text Articles in Social and Behavioral Sciences
Econometric Forecasting And High-Frequency Data Analysis, Yiu Kuen Tse, Yiu Kuen Tse
Econometric Forecasting And High-Frequency Data Analysis, Yiu Kuen Tse, Yiu Kuen Tse
Research Collection School of Economics
This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research.
A Cluster Identification Framework Illustrated By A Filtering Model For Earthquake Occurrences, Zhengxiao Wu
A Cluster Identification Framework Illustrated By A Filtering Model For Earthquake Occurrences, Zhengxiao Wu
Research Collection School of Economics
A general dynamical cluster identification framework including both modeling and computation is developed.The earthquake declustering problem is studied to demonstrate how this framework applies.A stochastic model is proposed for earthquake occurrences that considers the sequence of occurrencesas composed of two parts: earthquake clusters and single earthquakes. We suggest that earthquake clusterscontain a “mother quake” and her “offspring.” Applying the filtering techniques, we use the solution offiltering equations as criteria for declustering. A procedure for calculating maximum likelihood estimations(MLE’s) and the most likely cluster sequence is also presented.