總體與財務時間序列中的趨勢、變化與景氣循環的波動 - 以經驗模態解構法觀點出發之比較與應用;On the Trend, Variability and Business Cycle Fluctuations in Macroeconomic/Financial Time Series - a New Empirical Model Decomposition Approach

NCU Institutional Repository > 管理學院 > 財務金融學系 > 研究計畫 > Item 987654321/62846

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://ir.lib.ncu.edu.tw/handle/987654321/62846

题名:	總體與財務時間序列中的趨勢、變化與景氣循環的波動 - 以經驗模態解構法觀點出發之比較與應用;On the Trend, Variability and Business Cycle Fluctuations in Macroeconomic/Financial Time Series - a New Empirical Model Decomposition Approach
作者:	葉錦徽
贡献者:	國立中央大學財務金融學系
关键词:	經濟學
日期:	2012-12-01
上传时间:	2014-03-17 14:05:46 (UTC+8)
出版者:	行政院國家科學委員會
摘要:	研究期間：10108~10207;This proposal contains three sub-projects tries to adopt a new perspective and method, namely the Empirical Mode Decomposition (EMD) proposed by Huang et al. (1998), to reexamine the decomposition, modeling and forecasting of a non-stationary and potentially nonlinear macroeconomic time series. Besides some preliminary interesting results from our previous papers, the proposal shall concentrate on (1) comparing the trend-cycle decomposition of the EMD approach with the HP and BP filters with some remarks on the Beveridge-Nelson and unobservable component decompositions of the log post-war quarterly US real GDP and the issue of dating business turning points. (2) International business cycle synchronization:, we are in particular interested in which frequencies and how are those business cycle across borders being linked since our dynamic IMFs capture all international and intertemporal cross-correlation among the observed real log GDP. Sychronization test of the business cycle phases raised by Harding and Pagan will be examined. (3) Discuss the dynamic sychronization between series both in the time domain as well as in the frequency domain with the idea of sychronization between stationary series brought up by Liu (1990) and Granger and Liu (1994) and then generalize our discussions into the case of nonstationary time series with the framework under the EMD or Ensamble EMD decomposed series.
關聯:	財團法人國家實驗研究院科技政策研究與資訊中心
显示于类别:	[財務金融學系] 研究計畫

文件中的档案:

档案	描述	大小	格式	浏览次数
index.html		0Kb	HTML	294	检视/开启

在NCUIR中所有的数据项都受到原著作权保护.

社群 sharing

数据加载中.....