Essays in Nonlinear Time Series Econometrics PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Essays in Nonlinear Time Series Econometrics PDF full book. Access full book title Essays in Nonlinear Time Series Econometrics by Niels Haldrup. Download full books in PDF and EPUB format.
Author: Niels Haldrup
Publisher: OUP Oxford
ISBN: 0191669547
Category : Business & Economics
Languages : en
Pages : 393
Get Book Here
Book Description
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.
Author: Niels Haldrup
Publisher: OUP Oxford
ISBN: 0191669547
Category : Business & Economics
Languages : en
Pages : 393
Get Book Here
Book Description
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.
Author: Dek Terrell
Publisher: Emerald Group Publishing
ISBN: 1789739594
Category : Business & Economics
Languages : en
Pages : 427
Get Book Here
Book Description
Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.
Author: Christopher F. Parmeter
Publisher: Emerald Group Publishing
ISBN: 1837978735
Category : Business & Economics
Languages : en
Pages : 487
Get Book Here
Book Description
It is the editor’s distinct privilege to gather this collection of papers that honors Subhal Kumbhakar’s many accomplishments, drawing further attention to the various areas of scholarship that he has touched.
Author: Juan J. Dolado
Publisher: Emerald Group Publishing
ISBN: 1803828331
Category : Business & Economics
Languages : en
Pages : 188
Get Book Here
Book Description
Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.
Author: Alexander Chudik
Publisher: Emerald Group Publishing
ISBN: 1802620656
Category : Business & Economics
Languages : en
Pages : 376
Get Book Here
Book Description
The collection of chapters in Volume 43 Part B of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.
Author: Chirok Han
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 112
Get Book Here
Book Description
Author: Clive W. J. Granger
Publisher: Cambridge University Press
ISBN: 9780521774963
Category : Business & Economics
Languages : en
Pages : 548
Get Book Here
Book Description
These are econometrician Clive W. J. Granger's major essays in spectral analysis, seasonality, nonlinearity, methodology, and forecasting.
Author: Felix Chan
Publisher: Springer Nature
ISBN: 3031151496
Category : Business & Economics
Languages : en
Pages : 385
Get Book Here
Book Description
This book helps and promotes the use of machine learning tools and techniques in econometrics and explains how machine learning can enhance and expand the econometrics toolbox in theory and in practice. Throughout the volume, the authors raise and answer six questions: 1) What are the similarities between existing econometric and machine learning techniques? 2) To what extent can machine learning techniques assist econometric investigation? Specifically, how robust or stable is the prediction from machine learning algorithms given the ever-changing nature of human behavior? 3) Can machine learning techniques assist in testing statistical hypotheses and identifying causal relationships in ‘big data? 4) How can existing econometric techniques be extended by incorporating machine learning concepts? 5) How can new econometric tools and approaches be elaborated on based on machine learning techniques? 6) Is it possible to develop machine learning techniques further and make them even more readily applicable in econometrics? As the data structures in economic and financial data become more complex and models become more sophisticated, the book takes a multidisciplinary approach in developing both disciplines of machine learning and econometrics in conjunction, rather than in isolation. This volume is a must-read for scholars, researchers, students, policy-makers, and practitioners, who are using econometrics in theory or in practice.
Author: Yacine Aït-Sahalia
Publisher: Princeton University Press
ISBN: 0691161437
Category : Business & Economics
Languages : en
Pages : 683
Get Book Here
Book Description
A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.
Author: Andros Kourtellos
Publisher:
ISBN:
Category :
Languages : en
Pages : 124
Get Book Here
Book Description
