Finite mixture model: a comparison method for nonlinear time series data

DOI10.1504/IJCSM.2016.078684MaRDI QIDQ2224121zbMATH OpenOpenAlexFDO

Authors Seuk Yen Phoong, Mohd. Tahir Ismail, Seuk Wai Phoong, Rosmanjawati Binti Abdul Rahman

Publication date 3 February 2021

Published in International Journal of Computing Science and Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1504/ijcsm.2016.078684

zbMATH Keywords

AsiaBayesian methoddeveloping countriesexchange ratesfinance collapsefinite mixture modelglobal financial crisisIndonesiaMalaysiamaximum likelihood estimationMLEmodellingnonlinear time series dataPhilippinesstock pricesstructural changesThailand

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

Summary: Global Financial Crisis 2009 caused the finance collapse in Asia countries. The crisis leads to the economic and financial time series confronted with structural changes or jumps during the time. Stock price and exchange rate play a crucial role as symbol of development for a country's economy. Hence, it is critical to investigate the relationship between these two variables. A two-component finite mixture model is used to examine this issue. In spite of that, maximum likelihood estimation and Bayesian method are applied to fit the finite mixture model. Additionally, this paper concerns on investigating the developing Asian countries since they are easily affected by economic changes of the western countries. In relation to the results, there is a positive relation between the exchange rate and stock price for Malaysia, Thailand, Philippines and Indonesia. Also, this paper highlighted that Bayesian method is superior to maximum likelihood in modelling nonlinear time series data although both methods provided roughly equal results.

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• Hybrid versus highbred: combined economic models with time-series analyses
• Finite Mixture Model: Prediction of Time Series Data Using Bayesian Method

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