Financial, Macro and Micro Econometrics Using R
Elsevier (Publisher)
Published on 25. January 2020
349 pages
978-0-12-820251-7 (ISBN)
Description
Financial, Macro and Micro Econometrics Using R, Volume 42, provides state-of-the-art information on important topics in econometrics, including multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, financial market jumps and co-jumps, among other topics.
- Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society
- Includes descriptions and links to resources and free open source R
- Gives readers what they need to jumpstart their understanding on the state-of-the-art
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Hrishikesh D. Vinod | C.R. Rao
Financial, Macro and Micro Econometrics Using R: Volume 42
Book
01/2020
North-Holland
€247.60
Shipment within 15-20 days
Persons
Content
Part I: Finance1. Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumpsArpita Mukherjee, Weijia Peng, Norman R. Swanson and Xiye Yang2. Real time monitoring of asset markets: Bubbles and crisesPeter C.B. Phillips and Shuping Shi3. Component-wise AdaBoost algorithms for high-dimensional binary classification and class probability predictionJianghao Chu, Tae-Hwy Lee and Aman Ullah
Part II: Macro Econometrics4. Mixed data sampling (MIDAS) regression modelsEric Ghysels, Virmantas Kvedaras and Vaidotas Zemlys-Balevicius5. Encouraging private corporate investment in IndiaHrishikesh Vinod, Honey Karun and Lekha S. Chakraborty6. High-mixed frequency forecasting methods in R-With applications to Philippine GDP and inflationRoberto S. Mariano and Suleyman Ozmucur7. Nonlinear time series in R: Threshold cointegration with tsDynMatthieu Stigler
Part III: Micro Econometrics8. Econometric analysis of productivity: Theory and implementation in RRobin C. Sickles, Wonho Song and Valentin Zelenyuk9. Stochastic frontier models using RGiancarlo Ferrara
