Testing For Serial Correlation In The Presence Of Conditional Heteroskedasticity
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Testing For Serial Correlation In The Presence Of Conditional Heteroskedasticity
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Author : Paramsothy Silvapulle
language : en
Publisher:
Release Date : 1993
Testing For Serial Correlation In The Presence Of Conditional Heteroskedasticity written by Paramsothy Silvapulle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Autoregression (Statistics) categories.
Testing For Serial Correlation In The Presence Of Conditional Heteroskedasticity
DOWNLOAD
Author : Paramsothy Silvapulle
language : en
Publisher:
Release Date : 1993
Testing For Serial Correlation In The Presence Of Conditional Heteroskedasticity written by Paramsothy Silvapulle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
A Test For Conditional Heteroskedasticity In Time Series Models
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Author : Anil K. Bera
language : en
Publisher: London : Department of Economics, University of Western Ontario
Release Date : 1990
A Test For Conditional Heteroskedasticity In Time Series Models written by Anil K. Bera and has been published by London : Department of Economics, University of Western Ontario this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Time-series analysis categories.
Empirical Modeling Of Exchange Rate Dynamics
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Author : Francis X. Diebold
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Empirical Modeling Of Exchange Rate Dynamics written by Francis X. Diebold 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.
Structural exchange rate modeling has proven extremely difficult during the recent post-1973 float. The disappointment climaxed with the papers of Meese and Rogoff (1983a, 1983b), who showed that a "naive" random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates. One purpose of this monograph is to seek the reasons for this failure by exploring the temporal behavior of seven major dollar exchange rates using nonstructural time-series methods. The Meese-Rogoff finding does not mean that exchange rates evolve as random walks; rather it simply means that the random walk is a better stochastic approximation than any of their other candidate models. In this monograph, we use optimal model specification techniques, including formal unit root tests which allow for trend, and find that all of the exchange rates studied do in fact evolve as random walks or random walks with drift (to a very close approximation). This result is consistent with efficient asset markets, and provides an explanation for the Meese-Rogoff results. Far more subtle forces are at work, however, which lead to interesting econometric problems and have implications for the measurement of exchange rate volatility and moment structure. It is shown that all exchange rates display substantial conditional heteroskedasticity. A particularly reasonable parameterization of this conditional heteroskedasticity, which captures the observed clustering of prediction error variances, is developed in Chapter 2.
Foundations Of Modern Econometrics A Unified Approach
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Author : Yongmiao Hong
language : en
Publisher: World Scientific
Release Date : 2020-07-13
Foundations Of Modern Econometrics A Unified Approach written by Yongmiao Hong and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-07-13 with Business & Economics categories.
Modern economies are full of uncertainties and risk. Economics studies resource allocations in an uncertain market environment. As a generally applicable quantitative analytic tool for uncertain events, probability and statistics have been playing an important role in economic research. Econometrics is statistical analysis of economic and financial data. In the past four decades or so, economics has witnessed a so-called 'empirical revolution' in its research paradigm, and as the main methodology in empirical studies in economics, econometrics has been playing an important role. It has become an indispensable part of training in modern economics, business and management.This book develops a coherent set of econometric theory, methods and tools for economic models. It is written as a textbook for graduate students in economics, business, management, statistics, applied mathematics, and related fields. It can also be used as a reference book on econometric theory by scholars who may be interested in both theoretical and applied econometrics.
Introductory Econometrics Asia Pacific Edition With Online Study Tools 12 Months
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Author : Jeffrey M. Wooldridge
language : en
Publisher: Cengage AU
Release Date : 2016-10-24
Introductory Econometrics Asia Pacific Edition With Online Study Tools 12 Months written by Jeffrey M. Wooldridge and has been published by Cengage AU this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-24 with Business & Economics categories.
Econometrics is the combined study of economics and statistics and is an 'applied' unit. It is increasingly becoming a core element in finance degrees at upper levels. This first local adaptation of Wooldridge's text offers a version of Introductory Econometrics with a structural redesign that will better suit the market along with Asia-Pacific examples and data. Two new chapters at the start of the book have been developed from material originally in Wooldridge's appendix section to serve as a clear introduction to the subject and as a revision tool that bridges students' transition from basic statistics into econometrics. This adaptation includes data sets from Australian and New Zealand, as well as from the Asia-Pacific region to suit the significant portion of finance students who are from Asia and the likelihood that many graduates will find employment overseas.
Palgrave Handbook Of Econometrics
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Author : Terence C. Mills
language : en
Publisher: Springer
Release Date : 2009-06-25
Palgrave Handbook Of Econometrics written by Terence C. Mills and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-25 with Business & Economics categories.
Following theseminal Palgrave Handbook of Econometrics: Volume I , this second volume brings together the finestacademicsworking in econometrics today andexploresapplied econometrics, containing contributions onsubjects includinggrowth/development econometrics and applied econometrics and computing.
Foreign Exchange Issues Capital Markets And International Banking In The 1990s Rle Banking Finance
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Author : Khosrow Fatemi
language : en
Publisher: Routledge
Release Date : 2012-10-12
Foreign Exchange Issues Capital Markets And International Banking In The 1990s Rle Banking Finance written by Khosrow Fatemi and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-12 with Business & Economics categories.
The need for continued analysis and evaluation of the international financial system is as pressing now as it was when this book was originally published. This volume provides an in-depth analysis of certain aspects of the international financial system. Specifically it addresses four of the most important financial and monetary issues of the present time: exchange rate, capital markets, international banking and external debt and international financial management.
Foreign Exchange Issues Capital Markets And International Banking In The 1990s Rle Banking And Finance
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Author : Khosrow Fatemi
language : en
Publisher: Routledge
Release Date : 2012-05-25
Foreign Exchange Issues Capital Markets And International Banking In The 1990s Rle Banking And Finance written by Khosrow Fatemi and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-25 with Business & Economics categories.
The need for continued analysis and evaluation of the international financial system is as pressing now as it was when this book was originally published. This volume provides an in-depth analysis of certain aspects of the international financial system. Specifically it addresses four of the most important financial and monetary issues of the present time: exchange rate, capital markets, international banking and external debt and international financial management.
Routledge Library Editions Banking Finance
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Author : Various
language : en
Publisher: Routledge
Release Date : 2021-12-02
Routledge Library Editions Banking Finance written by Various and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-12-02 with Business & Economics categories.
Current interest in the history of money and banking remains strong and it is opportune to survey developments both in the UK, USA, Europe and Asia. This set provides historical analysis which incorporates research from the early twentieth century onwards in a form that is both accessible to students of money & banking and economists, economic historians and bankers This set re-issues 38 volumes originally published between 1900 and 2000. It charts the history of early banking, discusses banking in the UK, Europe,Japan and the USA, analyses banks as multinationals, the UK mortgage market, banking policy and structure and examines specific sectors such as gilts and gold.