Econometric analysis of financial and economic time series:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Amsterdam [u.a.]
Elsevier JAI
2006
|
| Schriftenreihe: | Advances in econometrics
20,B |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
| Beschreibung: | XXV, 352 S. graph. Darst. |
| ISBN: | 0762312734 9780762312733 |
Internformat
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| 245 | 1 | 0 | |a Econometric analysis of financial and economic time series |c ed. by Thomas B. Fomby ... |
| 264 | 1 | |a Amsterdam [u.a.] |b Elsevier JAI |c 2006 | |
| 300 | |a XXV, 352 S. |b graph. Darst. | ||
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Datensatz im Suchindex
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| adam_text | CONTENTS
DEDICATION ix
LIST OF CONTRIBUTORS xi
INTRODUCTION
Thomas B. Fomby and Dek Terrell xiii
REMARKS BY ROBERT F. ENGLE III AND
SIR CLIVE W. J. GRANGER, KB
Given During Third Annual Advances in Econometrics
Conference at Louisiana State University, Baton
Rouge, November 5-7, 2004
GOOD IDEAS
Robert F. Engle III xix
THE CREATIVITY PROCESS
Sir Clive W. J. Granger, KB xxitt
REALIZED BETA: PERSISTENCE AND
PREDICTABILITY
Torben G. Andersen, Tim BoHerslev, Francis X. Diebold 1
and Ginger Wu
ASYMMETRIC PREDICTIVE ABILITIES OF
NONLINEAR MODELS FOR STOCK RETURNS:
EVIDENCE FROM DENSITY FORECAST
COMPARISON
Yong Bao and Tae-Hwy Lee 41
vi CONTENTS
FLEXIBLE SEASONAL TIME SERIES MODELS
Zongwu Cai and Rong Chen 63
ESTIMATION OF LONG-MEMORY TIME SERIES
MODELS: A SURVEY OF DIFFERENT
LIKELIHOOD-BASED METHODS
Ngai Hang Chan and Wilfredo Palma 89
BOOSTING-BASED FRAMEWORKS IN FINANCIAL
MODELING: APPLICATION TO SYMBOLIC
VOLATILITY FORECASTING
Valeriy V. Gavrishchaka 123
OVERLAYING TIME SCALES IN FINANCIAL
VOLATILITY DATA
Eric Hillebrand 153
EVALUATING THE TED MODEL OF STOCK PRICE
VALUATION: AN OUT-OF-SAMPLE FORECASTING
PERSPECTIVE
Dennis W. Jansen and Zijun Wang 179
STRUCTURAL CHANGE AS AN ALTERNATIVE TO
LONG MEMORY IN FINANCIAL TIME SERIES
Tze Leung Lai and Haipeng Xing 205
TIME SERIES MEAN LEVEL AND STOCHASTIC
VOLATILITY MODELING BY SMOOTH TRANSITION
AUTOREGRESSIONS: A BAYESIAN APPROACH
Hedibert Freitas Lopes and Esther Salazar 225
ESTIMATING TAYLOR-TYPE RULES: AN
UNBALANCED REGRESSION?
Pierre L. Sikhs and Mark E. Wohar 239
Contents vii
BAYESIAN INFERENCE ON MDCTURE-OF-EXPERTS
FOR ESTIMATION OF STOCHASTIC VOLATILITY
Alejandro Villagran and Gabriel Huerta 277
A MODERN TIME SERIES ASSESSMENT OF A
STATISTICAL MODEL FOR SUNSPOT ACTIVITY BY
C. W. J. GRANGER (1957)
Gawon Yoon 297
PERSONAL COMMENTS ON YOON S DISCUSSION
OF MY 1957 PAPER
Sir Clive W. J. Granger, KB 315
A NEW CLASS OF TAIL-DEPENDENT TIME-SERIES
MODELS AND ITS APPLICATIONS IN FINANCIAL
TIME SERIES
Zhengjtm Zhang 317
This is a two pait volume honoming the Nobel pnzes in Cconomicsi
tecpived by Roheil Englc and Clivo Giangei in 2OOj PatL A of the
volume Lontaui if marks by Engle and Gsanger on lho held of
senes econometncs given al tho Thud Annual Advances in reonometnes
ronference hrlcl if lon^iana State Unnotsily in No/embei 01 ?004 as a
veil as P papeis on the submit of (.he m> asuicmenl and foiecjstinq -
of yolatiliLv in financial and economic time senes There 13 volatility -
papcis aic broken mlo thioe gtoups fiullivdiialo Volalilny Models -si;
High I requencv Model and Urn aiiafe Volalilitv Models ParLBofthc^
volume likewise contain the confeicnce remaiks of I ngle and Granger
and in addition conlams 13 papeis on a bioadei range of subjects jj|H
including cointegiation modelling long-memoiv nonlineai models Jig
of clock maikct bchavioui unbalanced regiesMon models seasomlisaj
ti m senes models mixluic of expeil models, and toil dependent lime
senes models among othei topics Also Giangei provides comments on
a papei thai icview his hist professional journal publication
|
| adam_txt |
CONTENTS
DEDICATION ix
LIST OF CONTRIBUTORS xi
INTRODUCTION
Thomas B. Fomby and Dek Terrell xiii
REMARKS BY ROBERT F. ENGLE III AND
SIR CLIVE W. J. GRANGER, KB
Given During Third Annual Advances in Econometrics
Conference at Louisiana State University, Baton
Rouge, November 5-7, 2004
GOOD IDEAS
Robert F. Engle III xix
THE CREATIVITY PROCESS
Sir Clive W. J. Granger, KB xxitt
REALIZED BETA: PERSISTENCE AND
PREDICTABILITY
Torben G. Andersen, Tim BoHerslev, Francis X. Diebold 1
and Ginger Wu
ASYMMETRIC PREDICTIVE ABILITIES OF
NONLINEAR MODELS FOR STOCK RETURNS:
EVIDENCE FROM DENSITY FORECAST
COMPARISON
Yong Bao and Tae-Hwy Lee 41
vi CONTENTS
FLEXIBLE SEASONAL TIME SERIES MODELS
Zongwu Cai and Rong Chen 63
ESTIMATION OF LONG-MEMORY TIME SERIES
MODELS: A SURVEY OF DIFFERENT
LIKELIHOOD-BASED METHODS
Ngai Hang Chan and Wilfredo Palma 89
BOOSTING-BASED FRAMEWORKS IN FINANCIAL
MODELING: APPLICATION TO SYMBOLIC
VOLATILITY FORECASTING
Valeriy V. Gavrishchaka 123
OVERLAYING TIME SCALES IN FINANCIAL
VOLATILITY DATA
Eric Hillebrand 153
EVALUATING THE TED MODEL' OF STOCK PRICE
VALUATION: AN OUT-OF-SAMPLE FORECASTING
PERSPECTIVE
Dennis W. Jansen and Zijun Wang 179
STRUCTURAL CHANGE AS AN ALTERNATIVE TO
LONG MEMORY IN FINANCIAL TIME SERIES
Tze Leung Lai and Haipeng Xing 205
TIME SERIES MEAN LEVEL AND STOCHASTIC
VOLATILITY MODELING BY SMOOTH TRANSITION
AUTOREGRESSIONS: A BAYESIAN APPROACH
Hedibert Freitas Lopes and Esther Salazar 225
ESTIMATING TAYLOR-TYPE RULES: AN
UNBALANCED REGRESSION?
Pierre L. Sikhs and Mark E. Wohar 239
Contents vii
BAYESIAN INFERENCE ON MDCTURE-OF-EXPERTS
FOR ESTIMATION OF STOCHASTIC VOLATILITY
Alejandro Villagran and Gabriel Huerta 277
A MODERN TIME SERIES ASSESSMENT OF "A
STATISTICAL MODEL FOR SUNSPOT ACTIVITY" BY
C. W. J. GRANGER (1957)
Gawon Yoon 297
PERSONAL COMMENTS ON YOON'S DISCUSSION
OF MY 1957 PAPER
Sir Clive W. J. Granger, KB 315
A NEW CLASS OF TAIL-DEPENDENT TIME-SERIES
MODELS AND ITS APPLICATIONS IN FINANCIAL
TIME SERIES
Zhengjtm Zhang 317
This is a two pait volume honoming the Nobel pnzes in Cconomicsi
tecpived by Roheil Englc and Clivo Giangei in 2OOj PatL A of the
volume Lontaui' if marks by Engle and Gsanger on lho held of
senes econometncs given al tho Thud Annual Advances in reonometnes
ronference hrlcl if lon^iana State Unnotsily in No/embei 01 ?004 as a
veil as P papeis on the submit of (.he m> asuicmenl and foiecjstinq -
of yolatiliLv in financial and economic time senes There 13 volatility -
papcis aic broken mlo thioe gtoups fiullivdiialo Volalilny Models -si;
High I requencv Model and Urn aiiafe Volalilitv Models ParLBofthc^
volume likewise contain' the confeicnce remaiks of I ngle and Granger
and in addition conlams 13 papeis on a bioadei range of subjects jj|H
including cointegiation modelling long-memoiv nonlineai models Jig
of clock maikct bchavioui unbalanced regiesMon models seasomlisaj
ti'm senes models mixluic of expeil models, and toil dependent lime
senes models among othei topics Also Giangei provides comments on
a papei thai icview his hist professional journal publication |
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| index_date | 2024-07-02T13:54:39Z |
| indexdate | 2024-07-09T20:35:16Z |
| institution | BVB |
| isbn | 0762312734 9780762312733 |
| language | English |
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| publisher | Elsevier JAI |
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| series | Advances in econometrics |
| series2 | Advances in econometrics |
| spelling | Econometric analysis of financial and economic time series ed. by Thomas B. Fomby ... Amsterdam [u.a.] Elsevier JAI 2006 XXV, 352 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Advances in econometrics 20,B Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Ökonometrie (DE-588)4132280-0 s Zeitreihenanalyse (DE-588)4067486-1 s DE-604 Fomby, Thomas B. Sonstige oth Advances in econometrics 20,B (DE-604)BV004012611 20,2 Digitalisierung UBPassau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014627531&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014627531&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Econometric analysis of financial and economic time series Advances in econometrics Zeitreihenanalyse (DE-588)4067486-1 gnd Ökonometrie (DE-588)4132280-0 gnd |
| subject_GND | (DE-588)4067486-1 (DE-588)4132280-0 |
| title | Econometric analysis of financial and economic time series |
| title_auth | Econometric analysis of financial and economic time series |
| title_exact_search | Econometric analysis of financial and economic time series |
| title_exact_search_txtP | Econometric analysis of financial and economic time series |
| title_full | Econometric analysis of financial and economic time series ed. by Thomas B. Fomby ... |
| title_fullStr | Econometric analysis of financial and economic time series ed. by Thomas B. Fomby ... |
| title_full_unstemmed | Econometric analysis of financial and economic time series ed. by Thomas B. Fomby ... |
| title_short | Econometric analysis of financial and economic time series |
| title_sort | econometric analysis of financial and economic time series |
| topic | Zeitreihenanalyse (DE-588)4067486-1 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Zeitreihenanalyse Ökonometrie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014627531&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014627531&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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