Econometric Analysis of Financial and Economic Time Series: Advances in Econometrics
Autor Thomas B. Fomby, Dek Terrell, R. Carter Hillen Limba Engleză Hardback – 31 ian 2006
*This Series: Aids in the diffusion of new econometric techniques
*Emphasis is placed on expositional clarity and ease of assimilation for readers who are unfamiliar with a given topic of a volume
*Illustrates new concepts
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Specificații
ISBN-13: 9780762312733
ISBN-10: 0762312734
Pagini: 380
Dimensiuni: 155 x 234 x 559 mm
Greutate: 0.65 kg
Editura: Emerald Publishing
Seria Advances in Econometrics
ISBN-10: 0762312734
Pagini: 380
Dimensiuni: 155 x 234 x 559 mm
Greutate: 0.65 kg
Editura: Emerald Publishing
Seria Advances in Econometrics
Public țintă
Economists and Business AnalystsCuprins
Introduction (T. B. Fomby, D. Terrell). Remarks (R. Engle, C. Granger). Realized beta: persistence and predictability (T. G. and ersen, T.Bollerslev, F. X. Diebold, J. Wu). Asymmetric predictive abilities of nonlinearmodels for stock returns: evidence from density forecast comparison (Y. Bao, T.-H. Lee). Flexible seasonal time seriesmodels (Z. Cai, R. Chen). Estimation of long-memory time seriesmodels : a survey of different likelihood-based methods (N. Hang Chan, W. Palma). Boosting-based frameworks infinancial modeling : application to symbolic volatility forecasting (V. V. Gavrishchaka). Overlaying time scales infinancial volatility data (E. Hillebrand). Evaluating the ‘fed model’ of stock price valuation: an out-of-sample forecasting perspective (D. W. Jansen, Z. Wang). Structural change as an alternative to long memory in financial time series (T. Leung Lai, H. Xing). Time series mean level and stochastic volatility modeling by smooth transition autoregressions: a bayesian approach (H. Freitas Lopes, E. Salazar). Estimating Taylor-type rules: an unbalanced regression? (P. L. Siklos, Mark E. Wohar). Bayesian inference on mixture-of-experts for estimation of stochastic volatility (A. Villagran, G. Huerta). A modern time series assessment of “A statistical model for sunspot activity” by C.W.J. Granger (1957) (G.Yoon). Comment on Yoon Paper ( C.W.J. Granger, KB). A new class of tail-dependent time seriesmodels and its applications in financial time series (Z. Zhang).