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Cyclical patterns in risk indicators based on financial market infrastructuretransaction data

  • Received: 22 March 2018 Accepted: 05 July 2018 Published: 03 August 2018
  • JEL Codes: E42, E50, E58, E59

  • This paper studies cyclical patterns in risk indicators based on TARGET2 transaction data. These indicators provide information on network properties, operational aspects and links to ancillary systems. We compare the performance of two di erent ARIMA dummy models to the TBATS state space model. The results show that the forecasts of the ARIMA dummy models perform better than the TBATS model. We also find that there is no clear di erence between the performances of the two ARIMA dummy models. The model with the fewest explanatory variables is therefore preferred.

    Citation: Monique Timmermans, Ronald Heijmans, Hennie Daniels. Cyclical patterns in risk indicators based on financial market infrastructuretransaction data[J]. Quantitative Finance and Economics, 2018, 2(3): 615-636. doi: 10.3934/QFE.2018.3.615

    Related Papers:

  • This paper studies cyclical patterns in risk indicators based on TARGET2 transaction data. These indicators provide information on network properties, operational aspects and links to ancillary systems. We compare the performance of two di erent ARIMA dummy models to the TBATS state space model. The results show that the forecasts of the ARIMA dummy models perform better than the TBATS model. We also find that there is no clear di erence between the performances of the two ARIMA dummy models. The model with the fewest explanatory variables is therefore preferred.


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