Detecting Structural Breaks in Foreign Exchange Markets by using the group LASSO technique

• Tác giả: Mikio Ito
• Ngôn ngữ: eng
• Ký hiệu phân loại: 332.45 Foreign exchange
• Thông tin xuất bản: 2022
• Bộ sưu tập: Metadata
• ID: 191895

Tóm tắt

Comment: 10 pages, 4 figures. The author reported the previous version in the 96th meeting of Western Economic Association International in 2021This article proposes an estimation method to detect breakpoints for linear time series models with their parameters that jump scarcely. Its basic idea owes the group LASSO (group least absolute shrinkage and selection operator). The method practically provides estimates of such time-varying parameters of the models. An example shows that our method can detect each structural breakpoint's date and magnitude.