Cyclical patterns in risk indicators based on financial market infrastructure transaction data

M. Timmermans, R. Heijmans, Hennie Daniels

Research output: Working paperOther research output

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Abstract

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 different 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 difference between the performances of the two ARIMA dummy models. The model with the fewest explanatory variables is therefore preferred.
Original languageEnglish
Place of PublicationAmsterdam
PublisherDe Nederlandsche Bank
Number of pages29
Publication statusPublished - 9 Jun 2017

Publication series

NameDNB Working Papers
Volume558

Fingerprint

Financial markets
Transaction data
State-space model

Keywords

  • ARIMA
  • TBATS
  • time series
  • TARGET2
  • cyclical patterns

Cite this

Timmermans, M., Heijmans, R., & Daniels, H. (2017). Cyclical patterns in risk indicators based on financial market infrastructure transaction data. (DNB Working Papers; Vol. 558). Amsterdam: De Nederlandsche Bank.
Timmermans, M. ; Heijmans, R. ; Daniels, Hennie. / Cyclical patterns in risk indicators based on financial market infrastructure transaction data. Amsterdam : De Nederlandsche Bank, 2017. (DNB Working Papers).
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Timmermans, M, Heijmans, R & Daniels, H 2017 'Cyclical patterns in risk indicators based on financial market infrastructure transaction data' DNB Working Papers, vol. 558, De Nederlandsche Bank, Amsterdam.

Cyclical patterns in risk indicators based on financial market infrastructure transaction data. / Timmermans, M.; Heijmans, R.; Daniels, Hennie.

Amsterdam : De Nederlandsche Bank, 2017. (DNB Working Papers; Vol. 558).

Research output: Working paperOther research output

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N2 - 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 different 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 difference between the performances of the two ARIMA dummy models. The model with the fewest explanatory variables is therefore preferred.

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Timmermans M, Heijmans R, Daniels H. Cyclical patterns in risk indicators based on financial market infrastructure transaction data. Amsterdam: De Nederlandsche Bank. 2017 Jun 9. (DNB Working Papers).