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Dynamic Semi-Parametric Factor Model for Functional Expectiles
| Content Provider | Scilit |
|---|---|
| Author | Burdejova, Petra Hhrdle, Wolfgang K. |
| Copyright Year | 2017 |
| Description | Journal: SSRN Electronic Journal High-frequency data can provide us with a quantity of information for forecasting, help to calculate and prevent the future risk based on extremes. This tail behaviour is very often driven by exogenous components and may be modelled conditional on other variables. However, many of these phenomena are observed over time, exhibiting non-trivial dynamics and dependencies. We propose a functional dynamic factor model to study the dynamics of expectile curves. The complexity of the model and the number of dependent variables are reduced by lasso penalization. The functional factors serve as a low-dimensional representation of the conditional tail event, while the time-variation is captured by factor loadings. We illustrate the model with an application to climatology, where daily data over years on temperature, rainfalls or strength of wind are available. |
| Related Links | http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2017-027.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3085863 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3085863 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2017-12-01 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Statistics and Probability Factor Model Functional Data |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
