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Thomas B. Fomby Econometric Analysis of Financial and Economic Time S (Hardback)
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- Publication Name
- Econometric Analysis of Financial and Economic Time Series
- Title
- Econometric Analysis of Financial and Economic Time Series
- Contributor
- R. Carter Hill (Edited by)
- EAN
- 9780762312733
- ISBN
- 9780762312733
- Release Year
- 2006
- Release Date
- 02/01/2006
- Country/Region of Manufacture
- US
- Series
- Advances in Econometrics
- Book Title
- Econometric Analysis of Financial and Economic Time Series
- Book Series
- Advances in Econometrics Ser.
- Item Length
- 9.1 in
- Publisher
- Emerald Publishing The Limited
- Publication Year
- 2006
- Format
- Hardcover
- Language
- English
- Illustrator
- Yes
- Item Height
- 1.3 in
- Genre
- Business & Economics
- Topic
- Economics / General, Econometrics
- Item Width
- 6.3 in
- Item Weight
- 23.1 Oz
- Number of Pages
- 352 Pages
關於產品
Product Information
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 Clives 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. It illustrates new concepts.
Product Identifiers
Publisher
Emerald Publishing The Limited
ISBN-10
0762312734
ISBN-13
9780762312733
eBay Product ID (ePID)
52636636
Product Key Features
Book Title
Econometric Analysis of Financial and Economic Time Series
Format
Hardcover
Language
English
Topic
Economics / General, Econometrics
Book Series
Advances in Econometrics Ser.
Publication Year
2006
Illustrator
Yes
Genre
Business & Economics
Number of Pages
352 Pages
Dimensions
Item Length
9.1 in
Item Height
1.3 in
Item Width
6.3 in
Item Weight
23.1 Oz
Additional Product Features
Number of Volumes
2 Vols.
Lc Classification Number
Hb141
Volume Number
Pt. B
Table of Content
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).
Copyright Date
2006
Target Audience
Trade
Dewey Decimal
330.015195
Dewey Edition
22
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