International Journal of Engineering and Manufacturing (IJEM)
IJEM Vol. 2, No. 2, 6 Apr. 2012
Cover page and Table of Contents: PDF (size: 205KB)
Author(s)
Fengjing Cai
1,*
Yuan Li
2
Index Terms
Graphical model, Time-Varying, Bayes
Abstract
We introduce the graphical models to describe the changing dependency structure between multivariate time series and design the algorithm by the markov chain monte carlo method. The model is applied to the stock market of Shanghai in China to study the changing correlation of five segments of the market, empirical results show that there is stronger dependency structure in the bear market and weaker correlation in the bull market.
Cite This Paper
Fengjing Cai, Yuan Li,"Modeling Changing Graphical Structure", IJEM, vol.2, no.2, pp.50-57, 2012. DOI: 10.5815/ijem.2012.02.08
Reference
[1] Dempster A.P. “Covariance selection”, Biometrika, Vol 28, No. 1, pp. 157-175, 1972.
[2] Whittaker J. “Graphical models in applied multivariate statistics”, New York:Wiley, pp.1-120,1990.
[3] Cox D.R. , Wermuth N. “Linear dependencies represented by chain graphs”, Statistical Science, Vol. 8,No. 3, pp.204-218,1993.
[4] Edwards D. “Introduction to graphical modelling”, New York: Springer, pp.1-20,2001.
[5] Lauritzen S.L. “Graphical models”, Oxford: Oxford University Press, pp.1-33, 1996.
[6] Friedman N., Linial M., Nachman I. “Using bayesian networks to analyze expression data”. Journal of Computational Biology, Vol. 7, No. 3, pp.601-620, 2000.
[7] Gather U., Imhoff M., Fried R. “Graphical models for multivariate time series from intensive care monitoring”, Statistics in Medicine, Vol. 21, No. 18, pp. 2685-2701, 2002.
[8] Dobra A., Eicher T.S., Lenkoski A. “Modeling uncertainty in macroeconomic growth determinants”, Statistical Methodology, Vol. 7, No. 3, pp.1-15, 2009.
[9] Longin F., Solnik B. “Extreme correlation and international equity markets”, Journal of Finance, Vol. 56, No. 2, pp.649-676, 2001.
[10] Goetzmann W.N., Li L., Rouwenhorst K.G. “Long-term global market correlations”, Journal of Business, Vol. 78 , No. 1,pp.1-38, 2005.
[11] Talih M. “Markov random fields on time-varying graphs with an application to portfolio selection”, University Yale, pp.1-86,2003.
[12] Zhang F. “Detection of structural changes in multivariate models and study of time-varying graphs”, University Guangzhou,pp.30-48,2007.