Arbeitspapier
Dynamic semi-parametric factor model for functional expectiles
High-frequency data can provide us with a quantity of informa- tion for forecasting, help to calculate and prevent the future risk based on extremes. This tail behaviour is very often driven by ex- ogenous components and may be modelled conditional on other vari- ables. However, many of these phenomena are observed over time, exhibiting non-trivial dynamics and dependencies. We propose a func- tional 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2017-027
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models
Large Data Sets: Modeling and Analysis
Optimization Techniques; Programming Models; Dynamic Analysis
Climate; Natural Disasters and Their Management; Global Warming
- Thema
-
factor model
functional data
expectiles
extremes
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Burdejová, Petra
Härdle, Wolfgang Karl
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:25 MESZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Burdejová, Petra
- Härdle, Wolfgang Karl
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2017
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