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Author: Clive W. J. Granger
Publisher: Cambridge University Press
ISBN: 9780521774963
Category : Business & Economics
Languages : en
Pages : 548
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Book Description
These are econometrician Clive W. J. Granger's major essays in spectral analysis, seasonality, nonlinearity, methodology, and forecasting.
Author: Clive W. J. Granger
Publisher: Cambridge University Press
ISBN: 9780521774963
Category : Business & Economics
Languages : en
Pages : 548
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Book Description
These are econometrician Clive W. J. Granger's major essays in spectral analysis, seasonality, nonlinearity, methodology, and forecasting.
Author: Chor-Yiu Sin
Publisher:
ISBN:
Category : Nonlinear theories
Languages : en
Pages : 292
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Book Description
Author: Helmut Lütkepohl
Publisher: Springer Science & Business Media
ISBN: 9783540262398
Category : Business & Economics
Languages : en
Pages : 792
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Book Description
This is the new and totally revised edition of Lütkepohl’s classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.
Author: Niels Haldrup
Publisher: OUP Oxford
ISBN: 0191669547
Category : Business & Economics
Languages : en
Pages : 393
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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: Felix Chan
Publisher: Springer Nature
ISBN: 3031151496
Category : Business & Economics
Languages : en
Pages : 385
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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: Dek Terrell
Publisher: Emerald Group Publishing
ISBN: 1789739594
Category : Business & Economics
Languages : en
Pages : 427
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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:
Publisher:
ISBN:
Category : Dissertation abstracts
Languages : en
Pages : 872
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Book Description
Author: Tim Bollerslev
Publisher: OUP Oxford
ISBN: 0191572195
Category : Business & Economics
Languages : en
Pages : 432
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Book Description
Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study the behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.
Author: Yoosoon Chang
Publisher: Emerald Group Publishing
ISBN: 1837532125
Category : Business & Economics
Languages : en
Pages : 449
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Book Description
Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.
Author:
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 806
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Book Description
