Holdings: Econometric analysis of financial and economic time series

Econometric analysis of financial and economic time series:

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Bibliographic Details
Format:	Book
Language:	English
Published:	Amsterdam [u.a.] Elsevier JAI 2006
Series:	Advances in econometrics 20,B
Subjects:	Zeitreihenanalyse Ökonometrie
Online Access:	Inhaltsverzeichnis Klappentext
Physical Description:	XXV, 352 S. graph. Darst.
ISBN:	0762312734 9780762312733

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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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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
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