libcats.org
Главная

Econometric analysis of financial and economic time series

Обложка книги Econometric analysis of financial and economic time series

Econometric analysis of financial and economic time series

, , ,
The editors are pleased to offer the following papers to the reader in recognition and appreciation of the contributions to our literature made by Robert Engle and Sir Clive Granger, winners of the 2003 Nobel Prize in Economics. The basic themes of this part of Volume 20 of Advances in Econometrics are time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, the application of the technique of boosting in volatility forecasting, the use of different time scales in GARCH modelling, out-of-sample evaluation of the 'Fed Model' in stock price valuation, structural change as an alternative to long memory, the use of smooth transition auto-regressions in stochastic volatility modelling, the analysis of the "balanced-ness" of regressions analyzing Taylor-Type rules of the Fed Funds rate, a mixture-of-experts approach for the estimation of stochastic volatility, a modern assessment of Clive's first published paper on Sunspot activity, and a new class of models of tail-dependence in time series subject to jumps.

*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
EPUB | FB2 | MOBI | TXT | RTF
* Конвертация файла может нарушить форматирование оригинала. По-возможности скачивайте файл в оригинальном формате.
Популярные книги за неделю:

Ключ к сверхсознанию

Автор:
Категория: Путь к себе
Размер книги: 309 Kb

Древо жизни

Автор:
Категория: Путь к себе
Размер книги: 1.70 Mb

Здоровье надо созидать

Автор:
Категория: Здоровье
Размер книги: 363 Kb

The Meme Machine

Автор:
Категория: psychology, memetics, sociology
Размер книги: 1.72 Mb
Только что пользователи скачали эти книги:

Petroleum engineering handbook, Indexes and Standards

Автор:
Размер книги: 5.00 Mb

Sacred Landscape: The Buried History of the Holy Land since 1948

Автор: , Автор:
Категория: history_military
Размер книги: 1.36 Mb

Nothing Much of Anything

Автор:
Размер книги: 1 Kb

Corporate Governance and Managerial Reform in Japan

Автор: , Автор:
Размер книги: 2.92 Mb

Автотранспортная психология

Автор:
Категория: civil, civil, profession
Размер книги: 21.45 Mb

Оптоэлектроника

Автор: , Автор:
Категория: Оптоэлектроника
Размер книги: 3.73 Mb

Leo Strauss: Seminar on Aristotle's Nichomachean Ethics [1963]

Автор:
Категория: Leo Strauss, Aristotle, philosophy
Размер книги: 124.86 Mb