Biography
Prof. Jaromir Antoch
Prof. Jaromir Antoch
the Charles University, Czech Republic
Title: Structural breaks in panel data Large number of panels and short length time series
Abstract: 

Structural changes and model stability in panel data are of general concern in empirical economics and finance research. Model parameters are assumed to be stable over time if there is no reason to believe otherwise. It is well-known that various economic and political events can cause structural breaks in financial data. Such events include, for example, the change of parameters associated with the introduction of a single currency in Europe, price liberalization in emerging markets, and world integration of equity markets, among others. 

The detection of the (structural) break or so called change point problem has drawn increasing attention from both theoretical and applied economic and financial research over the last decade. A large part of the existing research concentrates on the detection and asymptotic properties of the change point problem for panels with a large time dimension T. 

In this lecture we will concentrate on a different approach, namely, we will consider the asymptotic properties with respect to N (number of panel members) while keeping T fixed. This situation (N ! 1 but T being fixed and rather small) is typically related to the large data sets containing information about an enormous number of units across a limited number of time moments (years/quarters/months). A general approach for testing for the break(s) in considered setup, which also allows their detection, will be presented. The asymptotic behavior of the test statistics, along with an alternative wild bootstrap procedure that can be used to generate the critical values of the test statistics, will be concisely described. 

In the first practical application the testing procedure in the framework of the four factors CAPM model will be demonstrated. In particular, we will concentrate on eventual breaks in monthly returns of the US mutual funds during the period January 2006 to February 2010, covering the subprime crises. Second illustration will describe identification of systemic break points in a factor pricing model for firms traded on European stock markets around the financial crisis 2008 { 2009. The aim is to shed light on the systemic risk transfer in explaining average stock returns in the fragmented European exchanges. 

We find that Western European exchanges are more closely integrated with American financial markets than Northern European stock exchanges and those in the United Kingdom. However, all exchanges were eventually affected by the systemic shock. The results provide insight into immunization strategies for portfolios created from European stocks.

Biography: 
Jaromir Antoch is Professor of Statistics at the Charles University in Prague, Czech Republic. He received his Master and PhD degrees in statistics from the Charles University in Prague. He serves as a head of the statistical group at the Charles University in Prague since 2000. The research of Jaromir Antoch can be divided into three areas, closely connected to each others, i.e. change point detection; computational statistics and its algorithmization; applications in industry and environmetrics. In all these areas he obtained valuable and often cited results. In the course of this work he developed new methods and models for data that are used throughout the community. He has authored or coauthored over 50 papers in major statistical and mathematical journals, see MathSciNet for a complete list. Jaromir Antoch was invited to deliver an invited lecture to many conferences as well as to many universities all over the world. Recently, for example, he presented a special invited plenary lecture to the European Meeting of Statisticians 2010, Piraeus, Greece. He is a member of editorial boards of several journals.