Three Essays On Nonlinear Time Series Econometrics
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Essays In Nonlinear Time Series Econometrics
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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.
Three Essays On Nonlinear Time Series
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Author : Jin-Lung Lin
language : en
Publisher:
Release Date : 1991
Three Essays On Nonlinear Time Series written by Jin-Lung Lin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Nonlinear theories categories.
Three Essays On Non Linear Time Series
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Author : Chor-Yiu Sin
language : en
Publisher:
Release Date : 1993
Three Essays On Non Linear Time Series written by Chor-Yiu Sin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Nonlinear theories categories.
Three Essays On Nonlinear Time Series Econometrics
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Author : Charles Shaw
language : en
Publisher:
Release Date : 2019
Three Essays On Nonlinear Time Series Econometrics written by Charles Shaw and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This thesis is submitted ...
Three Essays On Nonlinear Time Series Econometrics
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Author : Zhengfeng Guo
language : en
Publisher:
Release Date : 2011
Three Essays On Nonlinear Time Series Econometrics written by Zhengfeng Guo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Econometrics categories.
Nonlinear Time Series Analysis Of Economic And Financial Data
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Author : Philip Rothman
language : en
Publisher: Springer Science & Business Media
Release Date : 1999-01-31
Nonlinear Time Series Analysis Of Economic And Financial Data written by Philip Rothman 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 1999-01-31 with Business & Economics categories.
Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.
Three Essays On Nonlinear Time Series Econometrics
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Author : Novella Maugeri
language : en
Publisher:
Release Date : 2011
Three Essays On Nonlinear Time Series Econometrics written by Novella Maugeri and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Three Essays On Econometrics
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Author : Myungsup Kim
language : en
Publisher:
Release Date : 2005
Three Essays On Econometrics written by Myungsup Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Bootstrap (Statistics) categories.
Essays In Econometrics
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Author : Clive W. J. Granger
language : en
Publisher: Cambridge University Press
Release Date : 2001-07-23
Essays In Econometrics written by Clive W. J. Granger 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 2001-07-23 with Business & Economics categories.
These are econometrician Clive W. J. Granger's major essays in spectral analysis, seasonality, nonlinearity, methodology, and forecasting.
Stochastic Volatility In Financial Markets
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Author : Antonio Mele
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Volatility In Financial Markets written by Antonio Mele 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.
Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.