Recent Econometric Techniques For Macroeconomic And Financial Data
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Recent Econometric Techniques For Macroeconomic And Financial Data
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Author : Gilles Dufrénot
language : en
Publisher: Springer Nature
Release Date : 2020-11-21
Recent Econometric Techniques For Macroeconomic And Financial Data written by Gilles Dufrénot and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-11-21 with Business & Economics categories.
The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models. The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.
Data Science For Financial Econometrics
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Author : Nguyen Ngoc Thach
language : en
Publisher: Springer Nature
Release Date : 2020-11-13
Data Science For Financial Econometrics written by Nguyen Ngoc Thach and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-11-13 with Computers categories.
This book offers an overview of state-of-the-art econometric techniques, with a special emphasis on financial econometrics. There is a major need for such techniques, since the traditional way of designing mathematical models – based on researchers’ insights – can no longer keep pace with the ever-increasing data flow. To catch up, many application areas have begun relying on data science, i.e., on techniques for extracting models from data, such as data mining, machine learning, and innovative statistics. In terms of capitalizing on data science, many application areas are way ahead of economics. To close this gap, the book provides examples of how data science techniques can be used in economics. Corresponding techniques range from almost traditional statistics to promising novel ideas such as quantum econometrics. Given its scope, the book will appeal to students and researchers interested in state-of-the-art developments, and to practitioners interested in using data science techniques.
Macroeconomic Forecasting In The Era Of Big Data
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Author : Peter Fuleky
language : en
Publisher: Springer Nature
Release Date : 2019-11-28
Macroeconomic Forecasting In The Era Of Big Data written by Peter Fuleky and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-11-28 with Business & Economics categories.
This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Empirical Finance
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Author : Sardar M. N. Islam
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Empirical Finance written by Sardar M. N. Islam 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 2012-12-06 with Business & Economics categories.
This book makes two key contributions to empirical finance. First it provides a comprehensive analysis of the Thai stock market. Second it presents an excellent exposition ofhow modem econometric techniques can be utilised to understand a market. The increasing globalisation of the world's financial markets has made our un derstanding of the risk-return relationship in a broader range of markets critical. This is particularly so in emerging markets where market depth and liquidity are major issues. One such emerging market is Thailand. The Thai capital market isof particular interest given that it was the market in which the Asian financial crises commenced. As such an understanding ofthe Thai capital market via study of the pre and post-crisis periods enables one to shed light on one of the major financial markets events of recent times. This book provides a quantitative analysis of the Thai capital market using some very useful and recent econometric techniques. The book provides an over view of the Thai stock market in chapter 2. Descriptive statistics and time series models (moving average, exponential smoothing, ARIMA) are presented in chap ter 3 followed by market efficiency tests based on autocorrelations in chapter 4. A richer set of models is then considered in chapters 5 through 8. Chapter 5 finds a cointegrating relationship between macroeconomic factors and stock returns.
New Challenges For Macroeconomic Policies
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Author : Gilles Dufrénot
language : en
Publisher: Springer Nature
Release Date : 2023-03-10
New Challenges For Macroeconomic Policies written by Gilles Dufrénot and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-03-10 with Business & Economics categories.
This book examines the economic policies that will underpin the evolution of growth in industrialised economies in coming decades. The change in focus of policymakers away from short-term regulation and policies towards problems of structural change is discussed in relation to the Taylor rule and Fisher relationship. Both empirical observations and quantitative analyses are utilised to explore diverse but interrelating topics, including interest rates dynamics, macroeconomic equilibrium, economic vulnerability, poverty and inequality, environmental sustainability, and monetary and fiscal policies. This book aims to propose policies that can produce economic growth without compromising social stability and environmental balances. It will be of interest to researchers and policymakers working within economic development and policy.
International Macroeconomics And Finance
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Author : Nelson Mark
language : en
Publisher: Wiley-Blackwell
Release Date : 2001-08-22
International Macroeconomics And Finance written by Nelson Mark and has been published by Wiley-Blackwell this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-08-22 with Business & Economics categories.
This short, concrete, and to-the-point book guides students through this vast field of conflicting opinions. The book begins from the premise that students benefit most from seeing a balanced treatment of all available views. For instance, this book provides coverage of both ad hoc and optimizing models. It also explores divisions such as flexible price versus sticky price models, rationality versus irrationality, and calibration versus statistical inference. By giving consideration to each of these 'mini debates;, this book shows how each approach has its good and bad points.
The Econometrics Of Financial Markets
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Author : John Y. Campbell
language : en
Publisher: Princeton University Press
Release Date : 2012-06-28
The Econometrics Of Financial Markets written by John Y. Campbell and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-06-28 with Business & Economics categories.
A landmark book on quantitative methods in financial markets for graduate students and finance professionals Recent decades have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is designed for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have learned into their own applications.
Time Series And Panel Data Econometrics
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Author : M. Hashem Pesaran
language : en
Publisher: Oxford University Press, USA
Release Date : 2015
Time Series And Panel Data Econometrics written by M. Hashem Pesaran and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with Business & Economics categories.
The book describes and illustrates many advances that have taken place in a number of areas in theoretical and applied econometrics over the past four decades.
Applied Economic Forecasting Using Time Series Methods
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Author : Eric Ghysels
language : en
Publisher: Oxford University Press
Release Date : 2018
Applied Economic Forecasting Using Time Series Methods written by Eric Ghysels and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Business & Economics categories.
Economic forecasting is a key ingredient of decision making in the public and private sectors. This book provides the necessary tools to solve real-world forecasting problems using time-series methods. It targets undergraduate and graduate students as well as researchers in public and private institutions interested in applied economic forecasting.
Contemporary Macroeconomics
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Author : Vasilii Erokhin
language : en
Publisher: Springer Nature
Release Date : 2023-07-01
Contemporary Macroeconomics written by Vasilii Erokhin and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-07-01 with Business & Economics categories.
This book covers a lot of ground in contemporary macroeconomics, from fundamental theories such as market structures and equilibrium to emerging concepts that reflect the most critical challenges of modern times, including economic slowdowns, the resilience of public health systems, digitalization, environmental footprints, and many more. The COVID-19 outbreak has aggravated the recurrent problems of poverty and income inequality between countries, food insecurity and hunger, unemployment, and social disorders that have resulted in the exacerbation of political, economic, and trade tensions between countries. In view of the damaging consequences of the pandemic for the entire global economy, the book examines how existing macroeconomic tools and policies could be adapted to the new normal to ensure sustainable post-pandemic development and growth. The main text is interspersed with real-life illustrations and cases that demonstrate practical implications of the concepts under study. This makes the reading relevant and active. Every chapter starts with learning objectives and ends with a series of questions and quizzes that enable easier reinforcement of the course content. This book is written mainly for students, but it would be much useful to the broader public audience, including postgraduates, researchers, and business people who will be able to learn all recent updates about macroeconomics and the post-pandemic perspectives of the global economy.