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Analysis of the dependence structure in econometric time series

Author

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  • Aurélien Hazan

    (IBISC - Informatique, Biologie Intégrative et Systèmes Complexes - UEVE - Université d'Évry-Val-d'Essonne - CNRS - Centre National de la Recherche Scientifique)

  • Vincent Vigneron

    (IBISC - Informatique, Biologie Intégrative et Systèmes Complexes - UEVE - Université d'Évry-Val-d'Essonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

The various scales of a signal maintain relations of dependence the on es with the others. Those can vary in time and reveal speed changes in the studied phenomenon. In the goal to establish these changes, one shall compute first the wavelet transform of a signal, on various scales. Then one shall study the statistical dependences between these transforms thanks to an estimator of mutual information. One shall then propose to summarize the resulting network of dependences by a graph of dependences by thresholding the values of the mutual information or by quantifying its values. The method can be applied to several types of signals, such as fluctuations of market indexes for instance the S&P 500, or high frequency foreign exchange (FX) rates.

Suggested Citation

  • Aurélien Hazan & Vincent Vigneron, 2008. "Analysis of the dependence structure in econometric time series," Post-Print hal-00287463, HAL.
    • Handle: RePEc:hal:journl:hal-00287463
    Note: View the original document on HAL open archive server: https://hal.science/hal-00287463
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    Keywords

    wavelet; dependence; mutual information; financial; time-series; FX;
    All these keywords.

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