Results 181 to 190 of about 2,365 (218)

Was There a Structural Break in Barry Bonds's Bat? [PDF]

Journal of Quantitative Analysis in Sports, 2012
In a recent paper, Fair (2008) utilizes monthly data on on-base percentage plus slugging percentage (OPS) to estimate the expected age profile of batting performance in Major League Baseball (MLB) and finds a peak performance at 27.6 years. However, he notes that a small group of 18 players have age-performance profiles that deviate significantly from ...
Stephen Clayton, Michael Nieswiadomy, Mark C. Strazicich   +2 more
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Asymmetric Volatility Models with Structural Breaks

Communications in Statistics - Simulation and Computation, 2012
This article develops an asymmetric volatility model that takes into consideration the structural breaks in the volatility process. Break points and other parameters of the model are estimated using MCMC and Gibbs sampling techniques. Models with different number of break points are compared using the Bayes factor and BIC.
Neelabh Rohan, T. V. Ramanathan
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Detecting structural breaks in realized volatility

Computational Statistics & Data Analysis, 2019
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Junmo Song, Changryong Baek
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Structural Breaks in Financial Time Series

SSRN Electronic Journal, 2006
This paper reviews the literature on structural breaks in financial time series. The second section discusses the implications of structural breaks in financial time series for statistical inference purposes. In the third section we discuss change-point tests in financial time series, including historical and sequential tests as well as single and ...
Elena Andreou, Eric Ghysels
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Model Restarts for Structural Symmetry Breaking

2008
There exist various methods to break symmetries. The two that concern us in this paper are static symmetry breaking where we add static constraints to the problem (see e.g. [1,3]) and symmetry breaking by dominance detection (SBDD) where we filter values based on a symmetric dominance analysis when comparing the current searchnode with those that were ...
Daniel S. Heller, Aurojit Panda, Meinolf Sellmann, Justin Yip   +3 more
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Structural Breaks in Emission Allowance Prices

SSRN Electronic Journal, 2017
We study structural breaks in the European Union Trading System's emission allowance price process during Phase II and Phase III, covering the years 2008 to 2016. We find that there is a structural break between Phase II and Phase III. However, there are several regimes within each of these phases.
Peter Molnar, Sven Thies
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Testing for structural breaks in GARCH models

Applied Financial Economics, 2006
We study the ability of traditional diagnostic tests and LM and CUSUM structural break tests to detect a range of different types of breaks in GARCH models. We find that Wooldridge's (1990) robust LM tests for autocorrelation and ARCH have no power to detect structural breaks in GARCH models.
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Impact of Breaking Bores on Moored Structures

Water Waves
When a breaking bore advances in a canal, the turbulent roller interacts with natural landforms, man-made structures and vessels. While motivated by the well-documented impact of tidal bores on navigation and harbour facilities, the present study is relevant to other physical and industrial processes, including in-river tsunami and storm surges, and ...
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Accounting for Structural Breaks in the Hamilton Filter

SSRN Electronic Journal
This paper reveals that the regression-based trend-cycle decomposition of Hamilton (2018) introduces spurious cyclical dynamics when time series undergo structural breaks. Because the filter relies on an <i>h</i>-step ahead projection, trend adjustment mechanically lags behind regime shifts, inducing bias in the cyclical component.
Luiggi Donayre, Eiji Goto
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Using Page Breaks for Book Structuring

2012
We report on the XRCE participation to the Structure Extraction task of the INEX/ICDAR Book Structure Extraction 2011. We wanted to assess a simple method for structuring a book: using leading and trailing page whitespace. The detection of such large whitespace occurring at the top of leading pages and at the bottom of trailing pages is based on the ...
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