Title page for etd-0724108-133705


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URN etd-0724108-133705
Author Yen-Hsiang Chang
Author's Email Address No Public.
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Department Applied Mathematics
Year 2007
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Statistical tests for long memory and unit root of high
frequency financial data
Date of Defense 2008-06-25
Page Count 73
Keyword
  • GPH long memory test
  • MPP unit root test
  • R/S long memory test
  • PP unit root test
  • DF-GLS unit root test
  • ERS unit root test
  • threshold unit root test
  • ADF unit root test
  • KPSS unit root test
  • Abstract In this thesis, we study the unit root tests which includes the ADF, PP and KPSS tests, the long memory tests such as the R/S and GPH tests, and the applications of these methods in high frequency
    financial data analysis. The software SPLUS was adopted to analyze data and correction of the SPLUS program in unit tests are also proposed. To apply these two test methods in high frequency data, we
    quoted the library, HFlibrary designed by Yan and Zivot in 2003 for preliminary data analysis and propose a new library HFanalysis, which can be used in correcting high frequency data (excluding N.A. value, sorting transactions and retrieve a certain time of
    transactions), obtaining equi-distanced time intervals and testing for unit root and long memory properties. In additions, we apply this proposed library to simulate the power of traditional unit root methods such as the ADF test and long memory test method such as the R/S and to perform an empirical study. Finally, we explore the power of the ADF for testing data simulated from a threshold unit root model and simulate the percentiles of the null distribution of
    the following threshold unit root tests: WALD, LM, LR and Wλ.
    Advisory Committee
  • Mong-Na Lo Huang - chair
  • Fu-Chuen Chang - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0724108-133705.pdf
  • indicate not accessible
    Date of Submission 2008-07-24

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