Econometric Analysis of Financial and Economic Time Series
Will be published approx. on 1. February 2006
Book
Hardback
380 pages
978-0-7623-1273-3 (ISBN)
Description
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.
More details
Series
Language
English
Place of publication
United States
Publishing group
Emerald Publishing Limited
Target group
Professional and scholarly
Dimensions
Height: 240 mm
Width: 161 mm
Thickness: 25 mm
Weight
734 gr
ISBN-13
978-0-7623-1273-3 (9780762312733)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Thomas B. Fomby | Dek Terrell | R. Carter Hill
Econometric Analysis of Financial and Economic Time Series
E-Book
02/2006
Emerald Publishing Limited
€123.99
Available for download
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).