Browsing by Author "Roberts, Leigh"
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Item Restricted ACTS201: Actuarial Science: Financial Mathematics(Victoria University of Wellington, 2017) Roberts, LeighItem Open Access Can implied forward mortgage rates predict future mortgage rates - recent New Zealand experience(Te Herenga Waka—Victoria University of Wellington, 2011) Tripe, David; Xia, Bingru; Roberts, LeighRetail mortgage rate data for the last 13 years in New Zealand indicates that implied forward mortgage rates have only limited power to predict later spot mortgage rates. The low correlation of the forward rates and the future spot rates may in part arise from thin futures and forward markets in interest rates in New Zealand for anything longer than short term contracts. While the pattern of mortgage yield curves has varied substantially over those 13 years, the accumulated or future value of a putative deposit of one dollar with a bank offering the same term rates as the mortgage rates shows relatively little variation over this period. In the wake of the uncertainties following the global financial crisis, the relatively stable pattern of these accumulated values probably provides the best means of prediction of New Zealand mortgage yield curves, at least in the short term. The framework used for dealing with data in this paper could be applied to yield curves based on further families of interest rates; to exchange rates; to analyses of run-off data, as in cohort and longevity analysis; and for claims payments run-off in insurance, as well as in many other contexts.Item Restricted Consistent estimation of breakpoints in time series, with application to wavelet analysis of Citigroup returns(Te Herenga Waka—Victoria University of Wellington, 2014) Roberts, LeighSimple and intuitive non-parametric methods are provided for estimating variance change points for time series data. Only slight alterations to existing open-source computer code applying CUSUM methods for estimating breakpoints are required to apply our proposed techniques. Our approach, apparently new in this context, is first to define two artificial time series of double the length of the original by reflective continuations of the original. We then search for breakpoints forwards and backwards through each of these symmetric extensions to the original time series. A novel feature of this paper is that we are able to identify common breakpoints for multiple time series, even when they collect data at different frequencies. In particular, our methods facilitate the reconciliation of breakpoint outputs from the two standard wavelet filters. Simulation results in this paper indicate that our methods produce accurate results for time series exhibiting both long and short term correlation; and we illustrate by an application to Citigroup stock returns for the last thirty years.Item Restricted FINA304: Finance: Financial Econometrics(Victoria University of Wellington, 2014) Roberts, LeighItem Restricted FINA304: Finance: Financial Econometrics(Victoria University of Wellington, 2016) Roberts, LeighItem Restricted FINA304: Finance: Financial Econometrics(Victoria University of Wellington, 2015) Roberts, LeighItem Restricted FINA307: Finance: Risk and Insurance(Victoria University of Wellington, 2013) Roberts, LeighItem Restricted FINA307: Finance: Risk Management and Insurance(Victoria University of Wellington, 2014) Roberts, LeighItem Restricted FINA307: Finance: Risk Management and Insurance(Victoria University of Wellington, 2016) Roberts, LeighItem Restricted FINA307: Finance: Risk Management and Insurance(Victoria University of Wellington, 2017) Roberts, LeighItem Restricted FINA307: Finance: Risk Management and Insurance(2018) Roberts, LeighItem Restricted FINA307: Finance: Risk Management and Insurance(Victoria University of Wellington, 2015) Roberts, LeighItem Restricted FINA406: Finance: Fixed Income Securities(Victoria University of Wellington, 2011) Roberts, LeighItem Restricted FINA406: Finance: Fixed Income Securities(Victoria University of Wellington, 2012) Roberts, LeighItem Restricted FINA413: Finance: Risk Management and Insurance(Victoria University of Wellington, 2010) Roberts, LeighItem Restricted FINA413: Finance: Risk Management and Insurance(Victoria University of Wellington, 2011) Roberts, LeighItem Restricted FINA413: Finance: Risk Management and Insurance(Victoria University of Wellington, 2014) Roberts, LeighItem Restricted FINA413: Finance: Risk Management and Insurance(Victoria University of Wellington, 2017) Roberts, LeighItem Restricted FINA413: Finance: Risk Management and Insurance(Victoria University of Wellington, 2016) Roberts, LeighItem Restricted FINA413: Finance: Risk Management and Insurance(Victoria University of Wellington, 2015) Roberts, Leigh
