Essays On Financial Time Series Models
DOWNLOAD
Download Essays On Financial Time Series Models PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Essays On Financial Time Series Models book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Essays On Financial Time Series Models
DOWNLOAD
Author : Menelaos Karnanasos
language : en
Publisher:
Release Date : 1998
Essays On Financial Time Series Models written by Menelaos Karnanasos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Modeling Financial Time Series With S Plus
DOWNLOAD
Author : Eric Zivot
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-11
Modeling Financial Time Series With S Plus written by Eric Zivot and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-11 with Business & Economics categories.
The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.
Essays On Time Series Forecasting With Neural Network Or Long Dependence Autoregressive Models And Macroeconomic News Effects On Bond Yields
DOWNLOAD
Author : Morvan Nongni Donfack
language : en
Publisher:
Release Date : 2022
Essays On Time Series Forecasting With Neural Network Or Long Dependence Autoregressive Models And Macroeconomic News Effects On Bond Yields written by Morvan Nongni Donfack and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with Neural networks (Computer science) categories.
This thesis, organized in three chapters, focuses on modelling and forecasting economic and financial time series. The first two chapters propose new econometric models for analysing economic and financial data by relaxing unrealistic assumptions usually made in the literature. Chapter 1 develops a new volatility model named TVP[subscript ANN]-GARCH. The model offers rich dynamics to model financial data by allowing for a generalized autoregressive conditional heteroscedasticity (GARCH) structure in which parameters vary over time according to an artificial neural network (ANN). The use of ANNs for parameters dynamics is a valuable contribution as it helps to deal with the problem of likelihood evaluation (exhibited in time-varying parameters (TVP) models). It also allows for the use of additional explanatory variables. The chapter develops an original and efficient Sequential Monte Carlo sampler (SMC) to estimate the model. An empirical application shows that the model favourably compares to popular volatility processes in terms of out-of sample fit. The approach can easily be extended to any fixed-parameters model. Chapter 2 develops three parsimonious autoregressive (AR) lag polynomials that generate slowly decaying autocorrelation functions as generally observed financial and economic time series. The dynamics of the lag polynomials are similar to that of two well performing processes, namely the Markov-Switching Multifractal (MSM) and the Factorial Hidden Markov Volatility (FHMV) models. They are very flexible as they can be applied in many popular models such as ARMA, GARCH, and stochastic volatility processes. An empirical analysis highlights the usefulness of the lag polynomials for conditional mean and volatility forecasting. They could be considered as forecasting alternatives for economic and financial time series. The last chapter relies on a two steps predictive regression approach to identify the impact of US macroeconomic releases on three small open economies (Canada, United Kingdom, and Sweden) bond yields at high and low frequencies. Our findings suggest that US macro news are significantly more important in explaining yield curve dynamics in small open economies (SOEs) than domestic news itself. Not only US monetary policy news are important drivers of SOEs bond yield changes, but business cycle news also play a significant role.
Essays On Hybrid Modeling Of Machine Learning Algorithms And Financial Time Series Models
DOWNLOAD
Author : Sherry Luo
language : en
Publisher:
Release Date : 2022
Essays On Hybrid Modeling Of Machine Learning Algorithms And Financial Time Series Models written by Sherry Luo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
Essays In Nonlinear Time Series Econometrics
DOWNLOAD
Author : Niels Haldrup
language : en
Publisher: OUP Oxford
Release Date : 2014-06-26
Essays In Nonlinear Time Series Econometrics written by Niels Haldrup and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-26 with Business & Economics categories.
This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
Essays On Financial Time Series
DOWNLOAD
Author : Isao Ishida
language : en
Publisher:
Release Date : 2004
Essays On Financial Time Series written by Isao Ishida and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Analysis of variance categories.
Volatility And Time Series Econometrics
DOWNLOAD
Author : Tim Bollerslev
language : en
Publisher: OUP Oxford
Release Date : 2010-02-11
Volatility And Time Series Econometrics written by Tim Bollerslev and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-02-11 with Business & Economics categories.
Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study the behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.
Time Series Models
DOWNLOAD
Author : D.R. Cox
language : en
Publisher: CRC Press
Release Date : 2020-11-26
Time Series Models written by D.R. Cox and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-11-26 with Mathematics categories.
The analysis prediction and interpolation of economic and other time series has a long history and many applications. Major new developments are taking place, driven partly by the need to analyze financial data. The five papers in this book describe those new developments from various viewpoints and are intended to be an introduction accessible to readers from a range of backgrounds. The book arises out of the second Seminaire European de Statistique (SEMSTAT) held in Oxford in December 1994. This brought together young statisticians from across Europe, and a series of introductory lectures were given on topics at the forefront of current research activity. The lectures form the basis for the five papers contained in the book. The papers by Shephard and Johansen deal respectively with time series models for volatility, i.e. variance heterogeneity, and with cointegration. Clements and Hendry analyze the nature of prediction errors. A complementary review paper by Laird gives a biometrical view of the analysis of short time series. Finally Astrup and Nielsen give a mathematical introduction to the study of option pricing. Whilst the book draws its primary motivation from financial series and from multivariate econometric modelling, the applications are potentially much broader.
Essays On Financial Time Series Models
DOWNLOAD
Author : Jonas Andersson
language : en
Publisher:
Release Date : 1999
Essays On Financial Time Series Models written by Jonas Andersson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Mathematical statistics categories.
Modelling Financial Time Series
DOWNLOAD
Author : Stephen J. Taylor
language : en
Publisher: World Scientific
Release Date : 2008
Modelling Financial Time Series written by Stephen J. Taylor and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business & Economics categories.
This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts.This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends.