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Identifier to cite or link to this item: https://doi.org/10.15057/30973
Identifier to cite or link to this item: https://hdl.handle.net/10086/30973

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Title
An Approach to Modeling on Financial Time Series Data with Regime Shifts
Creator
Creator Name
Yokouchi, Daisuke Yokouchi, Daisuke
横内, 大介 横内, 大介
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Kato, Takeshi Kato, Takeshi
Affiliation
Affiliation Name
Sophia University
Creator Name
Aoki, Yoshimitsu Aoki, Yoshimitsu
Affiliation
Affiliation Name
F-viz Corp.
Abstract
This paper proposes a newmethod to analyze time series data with regime shifts and makes the following three contributions: (1) it suggests an exponential weighted estimation algorithm for autoregressive model with time varying coefficients, (2) it gives a visualization technique of structural change points and an outlier measure based on the Mahalanobis distance and (3) it illustrates that our method works for hedge fund return data and high frequency FX data.
Publisher
Hitotsubashi University
Issued Date
2020-02
Language
English(eng)
Resource Type
departmental bulletin paper
Version Type
VoR
selfDOI
10.15057/30973
ISSN
0018-2796
NCID
AA00207536
Source Title
Hitotsubashi Journal of Commerce and Management
Volume Number
53
Issue Number
1
Page Start
21
Page End
30
Appears in Collections
Vol. 53, no. 1 (Feb. 2020)
URL
https://hdl.handle.net/10086/30973