Non Parametric Econometric Methods For Continuous Time Diffusion Models
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Non Parametric Econometric Methods For Continuous Time Diffusion Models
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Author : Shin Kanaya
language : en
Publisher:
Release Date : 2008
Non Parametric Econometric Methods For Continuous Time Diffusion Models written by Shin Kanaya and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Nonparametric Econometric Methods
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Author : Qi Li
language : en
Publisher: Emerald Group Publishing
Release Date : 2009-12-04
Nonparametric Econometric Methods written by Qi Li and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-04 with Business & Economics categories.
Contains a selection of papers presented initially at the 7th Annual Advances in Econometrics Conference held on the LSU campus in Baton Rouge, Louisiana during November 14-16, 2008. This work is suitable for those who wish to familiarize themselves with nonparametric methodology.
Handbook Of Financial Econometrics
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Author : Yacine Ait-Sahalia
language : en
Publisher: Elsevier
Release Date : 2009-10-19
Handbook Of Financial Econometrics written by Yacine Ait-Sahalia and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-19 with Business & Economics categories.
This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections
Journal Of The American Statistical Association
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Author :
language : en
Publisher:
Release Date : 2009
Journal Of The American Statistical Association written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Electronic journals categories.
The Econometric Modelling Of Financial Time Series
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Author : Terence C. Mills
language : en
Publisher: Cambridge University Press
Release Date : 2008-03-20
The Econometric Modelling Of Financial Time Series written by Terence C. Mills and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-03-20 with Business & Economics categories.
Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.
Econometric Methods And Their Applications In Finance Macro And Related Fields
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Author : Kaddour Hadri
language : en
Publisher: World Scientific
Release Date : 2014
Econometric Methods And Their Applications In Finance Macro And Related Fields written by Kaddour Hadri and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Business & Economics categories.
The volume aims at providing an outlet for some of the best papers presented at the 15th Annual Conference of the African Econometric Society, which is one of the OC chaptersOCO of the International Econometric Society. Many of these papers represent the state of the art in financial econometrics and applied econometric modeling, and some also provide useful simulations that shed light on the models'' ability to generate meaningful scenarios for forecasting and policy analysis. Contents: Financial Econometrics and International Finance: Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-Based Multivariate Approach (Ruijun Bu, Ludovic Giet, Kaddour Hadri and Michel Lubrano); Financial Risk Management Using Asymmetric Heavy-Tailed Distribution and Nonlinear Dependence Structures of Asset Returns Under Discontinuous Dynamics (Alaa El-Shazly); Modeling Time-Varying Dependence in the Term Structure of Interest Rates (Diaa Noureldin); Nonlinear Filtering and Market Implied Rating for a Jump-Diffusion Structural Model of Credit Risk (Alaa El-Shazly); Time-Varying Optimal Weights for International Asset Allocation in African and South Asian Markets (Dalia El-Edel); Econometric Theory and Methods: Econometric Methods for Ordered Responses: Some Recent Developments (Franco Peracchi); Which Quantile Is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression (Anil K Bera, Antonio F Galvao Jr., Gabriel V Montes-Rojas, Sung Y Park); The Experimetrics of Fairness (Anna Conte and Peter Moffatt); Uniform in Bandwidth Tests of Specification for Conditional Moment Restrictions Models (Pascal Lavergne and Pierre Nguimkeu); Joint LM Test for Homoscedasticity in a Two Way Error Components Model (Eugene Kouassi, Joel Sango, J M BossonBrou and Kern O Kymn); An Approximation to the Distribution of the Pooled Estimator When the Time Series Equation Is One of a Complete System (Ghazal Amer and William Mikhail); Monetary, Labor, Environmental and Other Econometric Applications: Monetary Policy and the Role of the Exchange Rate in Egypt (Tarek Morsi and Mai El-Mossallamy); International Migration, Remittances and Household Poverty Status in Egypt (Rania Roushdy, Ragui Assaad and Ali Rashed); Determinants of Job Quality and Wages of the Working Poor: Evidence From 1998OCo2006 Egypt Labor Market Panel Survey (Mona Said); A Contract-Theoretic Model of Conservation Agreements (Heidi Gjertsen, Theodore Groves, David A Miller, Eduard Niesten, Dale Squires and Joel Watson); Household Environment and Child Health in Egypt (Mahmoud Hailat and Franco Peracchi); Modeling the Relationship between Natural Resource Abundance, Economic Growth, and the Environment: A Cross-Country Study (Hala Abou-Ali and Yasmine M Abdelfattah); Global Cement Industry: Competitive and Institutional Frameworks (Tarek H Selim and Ahmed S Salem); On the Occurrence of Ponzi Schemes in Presence of Credit Restrictions Penalizing Default (Abdelkrim Seghir); Is Targeted Advertising Always Beneficial? (Nada Ben Elhadj-Ben Brahim, Rim Lahmandi-Ayed and Didier Laussel). Readership: Graduate students and researchers in the fields of econometrics, economic theory, applied econometrics.
Inference For Diffusion Processes
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Author : Christiane Fuchs
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-01-18
Inference For Diffusion Processes written by Christiane Fuchs 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 2013-01-18 with Mathematics categories.
Diffusion processes are a promising instrument for realistically modelling the time-continuous evolution of phenomena not only in the natural sciences but also in finance and economics. Their mathematical theory, however, is challenging, and hence diffusion modelling is often carried out incorrectly, and the according statistical inference is considered almost exclusively by theoreticians. This book explains both topics in an illustrative way which also addresses practitioners. It provides a complete overview of the current state of research and presents important, novel insights. The theory is demonstrated using real data applications.
Identification And Inference For Econometric Models
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Author : Donald W. K. Andrews
language : en
Publisher: Cambridge University Press
Release Date : 2005-07-04
Identification And Inference For Econometric Models written by Donald W. K. Andrews and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-07-04 with Business & Economics categories.
This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.
A Portrait Of State Of The Art Research At The Technical University Of Lisbon
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Author : Manuel Seabra Pereira
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-11-24
A Portrait Of State Of The Art Research At The Technical University Of Lisbon written by Manuel Seabra Pereira 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 2007-11-24 with Technology & Engineering categories.
The Technical University of Lisbon (UTL) is celebrating this year its 75th anniversary. Being a jubilee occasion, a full program of events took place, including a two-day Symposium on the research at UTL. This Symposium addressed the state-of-art in major areas of excellence at UTL. Science, technology and innovation and the way universities and society in general, create, use and disseminate knowledge have gained a growing signi?cance over the last decades. UTL no doubt embeds a relevant potential of excellence in different areas of research in basic and applied sciences, which bears its development on the basis of a “research university” model. This book contains the edited version of the invited lectures that were delivered by prominent researchers at UTL. This book brings together in a review manner a comprehensive summary of high quality research contri- tions across basic and applied sciences. The contributing papers are organized around the following major areas: – Emergent areas (Nanosciences, Quantic Computations and Infor- tion, Risk and Volatility in Financial Markets); – Basic Sciences (Mathematics, Physics, Chemistry and Materials); – Social Sciences, Economics and Management Sciences; – Life Sciences and Biotechnology; – Engineering and Technologies – Nature, Environment and Sustainability; – Public Health, Food Quality and Safety; – Health and Sport Sciences; – Urbanism, Transports, Architecture, Arts and Design. The transdisciplinary nature of most areas aims to stress a compelling sense of purpose in the work developed.
Handbook Of Financial Time Series
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Author : Torben Gustav Andersen
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-04-21
Handbook Of Financial Time Series written by Torben Gustav Andersen 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 2009-04-21 with Business & Economics categories.
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.