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

M. Timmermans; R. Heijmans; Hennie Daniels

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

M. Timmermans, R. Heijmans, Hennie Daniels

Research output: Working paper › Other research output

75 Downloads (Pure)

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 language	English
Place of Publication	Amsterdam
Publisher	De Nederlandsche Bank
Number of pages	29
Publication status	Published - 9 Jun 2017

Publication series

Name	DNB Working Papers
Volume	558

Keywords

ARIMA
TBATS
time series
TARGET2
cyclical patterns

Access to Document

Working Paper No. 558Final published version, 861 KB

Fingerprint Dive into the research topics of 'Cyclical patterns in risk indicators based on financial market infrastructure transaction data'. Together they form a unique fingerprint.

Cite this

@techreport{b1c76cf9cbdb436c84204fcc9662dc57,

title = "Cyclical patterns in risk indicators based on financial market infrastructure transaction data",

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. ",

keywords = "ARIMA, TBATS, time series, TARGET2, cyclical patterns",

author = "M. Timmermans and R. Heijmans and Hennie Daniels",

year = "2017",

month = jun,

day = "9",

language = "English",

series = "DNB Working Papers",

publisher = "De Nederlandsche Bank",

type = "WorkingPaper",

institution = "De Nederlandsche Bank",

}

TY - UNPB

T1 - Cyclical patterns in risk indicators based on financial market infrastructure transaction data

AU - Timmermans, M.

AU - Heijmans, R.

AU - Daniels, Hennie

PY - 2017/6/9

Y1 - 2017/6/9

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.

AB - 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.

KW - ARIMA

KW - TBATS

KW - time series

KW - TARGET2

KW - cyclical patterns

M3 - Working paper

T3 - DNB Working Papers

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

PB - De Nederlandsche Bank

CY - Amsterdam

ER -