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Econometric Analysis of Financial and Economic Time Series: Part a: 20, Part A (Advances in Econometrics, 20, Part A) - Tapa dura
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Talks about the time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, application of the technique of boosting in volatility forecasting, and more.
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The editors are pleased to offer the following papers to the reader in recognition and appreciation of the contributions to our literature made by Robert Engle and Sir Clive Granger, winners of the 2003 Nobel Prize in Economics. The basic themes of this part of Volume 20 of Advances in Econometrics are time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, the application of the technique of boosting in volatility forecasting, the use of different time scales in GARCH modelling, out-of-sample evaluation of the Fed Model in stock price valuation, structural change as an alternative to long memory, the use of smooth transition auto-regressions in stochastic volatility modelling, the analysis of the balanced-ness of regressions analyzing Taylor-Type rules of the Fed Funds rate, a mixture-of-experts approach for the estimation of stochastic volatility, a modern assessment of Clives first published paper on Sunspot activity, and a new class of models of tail-dependence in time series subject to jumps.
*This Series: Aids in the diffusion of new econometric techniques
* Emphasis is placed on expositional clarity and ease of assimilation for readers who are unfamiliar with a given topic of a volume
*Illustrates new concepts
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Advances in Econometrics, Vol 20 (Econometric Analysis of Financial and Economic Time Series Part A) [Hardcover] Dek Terrell and Thomas B. B Fomby
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Econometric Analysis of Financial and Economic Time Series Part A 20 Advances in Econometrics Advances in Econometrics 20, Part A
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Econometric Analysis of Financial and Economic Time Series
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ISBN 13: 9780762312740
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Econometric Analysis of Financial and Economic Time Series (Advances in Econometrics, 20, Part A)
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Emerald Publishing Limited, 2006
ISBN 10: 0762312742
ISBN 13: 9780762312740
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Econometric Analysis of Financial and Economic Time Series (Advances in Econometrics, 20, Part A)
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Emerald Publishing Limited, 2006
ISBN 10: 0762312742
ISBN 13: 9780762312740
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Econometric Analysis of Financial and Economic Time Series
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ISBN 13: 9780762312740
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Hardback. Condición: New. The editors are pleased to offer the following papers to the reader in recognition and appreciation of the contributions to our literature made by Robert Engle and Sir Clive Granger, winners of the 2003 Nobel Prize in Economics. The basic themes of this part of "Volume 20 of Advances in Econometrics" are time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, the application of the technique of boosting in volatility forecasting, the use of different time scales in GARCH modelling, out-of-sample evaluation of the Fed Model in stock price valuation, structural change as an alternative to long memory, the use of smooth transition auto-regressions in stochastic volatility modelling, the analysis of the balanced-ness of regressions analyzing Taylor-Type rules of the Fed Funds rate, a mixture-of-experts approach for the estimation of stochastic volatility, a modern assessment of Clives first published paper on Sunspot activity, and a new class of models of tail-dependence in time series subject to jumps. This series aids in the diffusion of new econometric techniques. Emphasis is placed on expositional clarity and ease of assimilation for readers who are unfamiliar with a given topic of a volume. It illustrates new concepts. Nº de ref. del artículo: LU-9780762312740
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Econometric Analysis of Financial and Economic Time Series
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Emerald Publishing Limited, 2006
ISBN 10: 0762312742
ISBN 13: 9780762312740
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Econometric Analysis of Financial and Economic Time Series
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ISBN 10: 0762312742
ISBN 13: 9780762312740
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Gebunden. Condición: New. InhaltsverzeichnisIntroduction (D. Terrell, T. Fomby). Remarks (R. Engle, C. Granger) Part I: Multivariate volatility models. A flexible dynamic correlation model (D. Baur). A multivariate skew-garch model (G. De Luca, M. Genton, N. Lo. Nº de ref. del artículo: 5964121
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Econometric Analysis of Financial and Economic Time Series
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Emerald Group Publishing Limited, 2006
ISBN 10: 0762312742
ISBN 13: 9780762312740
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Condición: New. Talks about the time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, application of the technique of boosting in volatility forecasting, and more. Editor(s): Fomby, Thomas B.; Terrell, Dek; Hill, R. Carter. Series: Advances in Econometrics. Num Pages: 408 pages, 1, black & white illustrations. BIC Classification: KCH. Category: (P) Professional & Vocational. Dimension: 234 x 156 x 23. Weight in Grams: 747. . 2006. Hardback. . . . . Nº de ref. del artículo: V9780762312740
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Econometric Analysis of Financial and Economic Time Series
Publicado por
Emerald Publishing Limited, US, 2006
ISBN 10: 0762312742
ISBN 13: 9780762312740
Nuevo
Tapa dura
Librería: Rarewaves USA United, OSWEGO, IL, Estados Unidos de America
Calificación del vendedor: 5 de 5 estrellas
Hardback. Condición: New. The editors are pleased to offer the following papers to the reader in recognition and appreciation of the contributions to our literature made by Robert Engle and Sir Clive Granger, winners of the 2003 Nobel Prize in Economics. The basic themes of this part of "Volume 20 of Advances in Econometrics" are time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, the application of the technique of boosting in volatility forecasting, the use of different time scales in GARCH modelling, out-of-sample evaluation of the Fed Model in stock price valuation, structural change as an alternative to long memory, the use of smooth transition auto-regressions in stochastic volatility modelling, the analysis of the balanced-ness of regressions analyzing Taylor-Type rules of the Fed Funds rate, a mixture-of-experts approach for the estimation of stochastic volatility, a modern assessment of Clives first published paper on Sunspot activity, and a new class of models of tail-dependence in time series subject to jumps. This series aids in the diffusion of new econometric techniques. Emphasis is placed on expositional clarity and ease of assimilation for readers who are unfamiliar with a given topic of a volume. It illustrates new concepts. Nº de ref. del artículo: LU-9780762312740
Cantidad disponible: Más de 20 disponibles