Econometric analysis of financial and economic time series, Part B:
Gespeichert in:
| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Amsterdam
Elsevier JAI
2006
|
| Schriftenreihe: | Advances in econometrics
20,2 |
| Schlagworte: | |
| Online-Zugang: | FAW01 FAW02 Volltext |
| Beschreibung: | Includes bibliographical references Cover -- Contents -- Dedication -- List of Contributors -- Introduction -- Good Ideas -- The Creativity Process -- Reference -- Realized Beta: Persistence and Predictability -- Introduction -- Theoretical Framework -- Realized Quarterly Variances, Covariances, and Betas -- Nonlinear Fractional Cointegration: A Common Long-Memory Feature in Variances and Covariances -- Empirical Analysis -- Dynamics of Quarterly Realized Variance, Covariances and Betas -- Predictability -- Assessing Precision: Interval Estimates of Betas -- Continuous-Record Asymptotic Standard Errors -- HAC Asymptotic Standard Errors -- Summary, Concluding Remarks, and Directions for Future Research -- Notes -- Acknowledgments -- References -- Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison -- Introduction -- In-Sample Test for Martingale Difference -- Conditional Mean Models -- Out-of-Sample Test for Martingale Difference -- The BLS Test -- Results of the BLS Test -- Conclusions -- Notes -- Acknowledgement -- References -- Flexible Seasonal Time Series Models -- Introduction -- Modeling Procedures -- Local Linear Estimation -- Asymptotic Theory -- Empirical Studies -- Note -- Acknowledgments -- References -- Estimation of Long-Memory Time Series Models: A Survey of Different Likelihood-Based Methods -- Introduction -- Exact Maximum Likelihood Method -- Cholesky Decomposition -- Levinson-Durbin Algorithm -- Calculation of Autocovariances -- Exact State-Space Method -- Asymptotic Results for the Exact MLE -- Autoregressive Approximations -- Haslett-Raftery Method -- Beran Method -- Moving Average Approximations -- Kalman Recursions -- Whittle Approximations -- Whittle Approximation of the Gaussian Likelihood Function -- Discrete Version -- Alternative Versions -- Asymptotic Results -- Non-Gaussian Processes -- Semi-Parametric Methods -- Numerical experiments -- Estimation of Incomplete Series -- Effect of Data Irregularities and Missing Values on ML Estimates -- Estimation of Seasonal Long-Memory Models -- Monte Carlo Studies -- Heteroskedastic Time Series -- ARFIMA-GARCH Model -- Arch-Type Models -- Stochastic Volatility -- Numerical Experiments -- Summary -- Acknowledgment -- References -- Boosting-Based Frameworks in Financial Modeling: Application to Symbolic Volatility Forecasting -- Introduction -- Boosting: The Main Features and Relation to other Techniques -- Adaptive Boosting for Classification -- Boosting Frameworks in Financial and Econometric Applications -- Typical Classification Problems -- Symbolic Time Series Forecasting -- Portfolio Strategy Discovery and Optimization -- Regression Problems -- Symbolic Volatility Forecasting -- Discussion and Conclusion -- Acknowledgments -- References -- Overlaying Time Scales in Financial Volatility Data -- Introduction -- Integrated The papers in this volume focus on volatility models and are organized by multivariate, high frequency and univariate types |
| Beschreibung: | 1 Online-Ressource (1 v.) |
| ISBN: | 0080462375 1849503885 9780080462370 9781849503884 |
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| 500 | |a Cover -- Contents -- Dedication -- List of Contributors -- Introduction -- Good Ideas -- The Creativity Process -- Reference -- Realized Beta: Persistence and Predictability -- Introduction -- Theoretical Framework -- Realized Quarterly Variances, Covariances, and Betas -- Nonlinear Fractional Cointegration: A Common Long-Memory Feature in Variances and Covariances -- Empirical Analysis -- Dynamics of Quarterly Realized Variance, Covariances and Betas -- Predictability -- Assessing Precision: Interval Estimates of Betas -- Continuous-Record Asymptotic Standard Errors -- HAC Asymptotic Standard Errors -- Summary, Concluding Remarks, and Directions for Future Research -- Notes -- Acknowledgments -- References -- Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison -- Introduction -- In-Sample Test for Martingale Difference -- Conditional Mean Models -- Out-of-Sample Test for Martingale Difference -- The BLS Test -- | ||
| 500 | |a Results of the BLS Test -- Conclusions -- Notes -- Acknowledgement -- References -- Flexible Seasonal Time Series Models -- Introduction -- Modeling Procedures -- Local Linear Estimation -- Asymptotic Theory -- Empirical Studies -- Note -- Acknowledgments -- References -- Estimation of Long-Memory Time Series Models: A Survey of Different Likelihood-Based Methods -- Introduction -- Exact Maximum Likelihood Method -- Cholesky Decomposition -- Levinson-Durbin Algorithm -- Calculation of Autocovariances -- Exact State-Space Method -- Asymptotic Results for the Exact MLE -- Autoregressive Approximations -- Haslett-Raftery Method -- Beran Method -- Moving Average Approximations -- Kalman Recursions -- Whittle Approximations -- Whittle Approximation of the Gaussian Likelihood Function -- Discrete Version -- Alternative Versions -- Asymptotic Results -- Non-Gaussian Processes -- Semi-Parametric Methods -- Numerical experiments -- Estimation of Incomplete Series -- | ||
| 500 | |a Effect of Data Irregularities and Missing Values on ML Estimates -- Estimation of Seasonal Long-Memory Models -- Monte Carlo Studies -- Heteroskedastic Time Series -- ARFIMA-GARCH Model -- Arch-Type Models -- Stochastic Volatility -- Numerical Experiments -- Summary -- Acknowledgment -- References -- Boosting-Based Frameworks in Financial Modeling: Application to Symbolic Volatility Forecasting -- Introduction -- Boosting: The Main Features and Relation to other Techniques -- Adaptive Boosting for Classification -- Boosting Frameworks in Financial and Econometric Applications -- Typical Classification Problems -- Symbolic Time Series Forecasting -- Portfolio Strategy Discovery and Optimization -- Regression Problems -- Symbolic Volatility Forecasting -- Discussion and Conclusion -- Acknowledgments -- References -- Overlaying Time Scales in Financial Volatility Data -- Introduction -- Integrated | ||
| 500 | |a The papers in this volume focus on volatility models and are organized by multivariate, high frequency and univariate types | ||
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| id | DE-604.BV043139934 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:18:40Z |
| institution | BVB |
| isbn | 0080462375 1849503885 9780080462370 9781849503884 |
| language | English |
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| series | Advances in econometrics |
| series2 | Advances in econometrics |
| spelling | Econometric analysis of financial and economic time series, Part B edited by Dek Terrell, Thomas B. Fomby Amsterdam Elsevier JAI 2006 1 Online-Ressource (1 v.) txt rdacontent c rdamedia cr rdacarrier Advances in econometrics v. 20 Includes bibliographical references Cover -- Contents -- Dedication -- List of Contributors -- Introduction -- Good Ideas -- The Creativity Process -- Reference -- Realized Beta: Persistence and Predictability -- Introduction -- Theoretical Framework -- Realized Quarterly Variances, Covariances, and Betas -- Nonlinear Fractional Cointegration: A Common Long-Memory Feature in Variances and Covariances -- Empirical Analysis -- Dynamics of Quarterly Realized Variance, Covariances and Betas -- Predictability -- Assessing Precision: Interval Estimates of Betas -- Continuous-Record Asymptotic Standard Errors -- HAC Asymptotic Standard Errors -- Summary, Concluding Remarks, and Directions for Future Research -- Notes -- Acknowledgments -- References -- Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison -- Introduction -- In-Sample Test for Martingale Difference -- Conditional Mean Models -- Out-of-Sample Test for Martingale Difference -- The BLS Test -- Results of the BLS Test -- Conclusions -- Notes -- Acknowledgement -- References -- Flexible Seasonal Time Series Models -- Introduction -- Modeling Procedures -- Local Linear Estimation -- Asymptotic Theory -- Empirical Studies -- Note -- Acknowledgments -- References -- Estimation of Long-Memory Time Series Models: A Survey of Different Likelihood-Based Methods -- Introduction -- Exact Maximum Likelihood Method -- Cholesky Decomposition -- Levinson-Durbin Algorithm -- Calculation of Autocovariances -- Exact State-Space Method -- Asymptotic Results for the Exact MLE -- Autoregressive Approximations -- Haslett-Raftery Method -- Beran Method -- Moving Average Approximations -- Kalman Recursions -- Whittle Approximations -- Whittle Approximation of the Gaussian Likelihood Function -- Discrete Version -- Alternative Versions -- Asymptotic Results -- Non-Gaussian Processes -- Semi-Parametric Methods -- Numerical experiments -- Estimation of Incomplete Series -- Effect of Data Irregularities and Missing Values on ML Estimates -- Estimation of Seasonal Long-Memory Models -- Monte Carlo Studies -- Heteroskedastic Time Series -- ARFIMA-GARCH Model -- Arch-Type Models -- Stochastic Volatility -- Numerical Experiments -- Summary -- Acknowledgment -- References -- Boosting-Based Frameworks in Financial Modeling: Application to Symbolic Volatility Forecasting -- Introduction -- Boosting: The Main Features and Relation to other Techniques -- Adaptive Boosting for Classification -- Boosting Frameworks in Financial and Econometric Applications -- Typical Classification Problems -- Symbolic Time Series Forecasting -- Portfolio Strategy Discovery and Optimization -- Regression Problems -- Symbolic Volatility Forecasting -- Discussion and Conclusion -- Acknowledgments -- References -- Overlaying Time Scales in Financial Volatility Data -- Introduction -- Integrated The papers in this volume focus on volatility models and are organized by multivariate, high frequency and univariate types BUSINESS & ECONOMICS / Econometrics bisacsh BUSINESS & ECONOMICS / Statistics bisacsh Econometrische analyse gtt Tijdreeksen gtt Toepassingen gtt Econometric models fast Finance / Econometric models fast Time-series analysis fast Statistik Wirtschaft Ökonometrisches Modell Econometric models Finance Econometric models Time-series analysis Terrell, Dek 1964- Sonstige (DE-588)171148029 oth Fomby, Thomas B. Sonstige (DE-588)170050165 oth Erscheint auch als Druck-Ausgabe 0-7623-1273-4 978-0-7623-1273-3 Ergänzung zu Part A 0-7623-1274-2 978-0-7623-1274-0 Advances in econometrics 20,2 (DE-604)BV023055191 20,2 http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=166939 Aggregator Volltext |
| spellingShingle | Econometric analysis of financial and economic time series, Part B Advances in econometrics BUSINESS & ECONOMICS / Econometrics bisacsh BUSINESS & ECONOMICS / Statistics bisacsh Econometrische analyse gtt Tijdreeksen gtt Toepassingen gtt Econometric models fast Finance / Econometric models fast Time-series analysis fast Statistik Wirtschaft Ökonometrisches Modell Econometric models Finance Econometric models Time-series analysis |
| title | Econometric analysis of financial and economic time series, Part B |
| title_auth | Econometric analysis of financial and economic time series, Part B |
| title_exact_search | Econometric analysis of financial and economic time series, Part B |
| title_full | Econometric analysis of financial and economic time series, Part B edited by Dek Terrell, Thomas B. Fomby |
| title_fullStr | Econometric analysis of financial and economic time series, Part B edited by Dek Terrell, Thomas B. Fomby |
| title_full_unstemmed | Econometric analysis of financial and economic time series, Part B edited by Dek Terrell, Thomas B. Fomby |
| title_short | Econometric analysis of financial and economic time series, Part B |
| title_sort | econometric analysis of financial and economic time series part b |
| topic | BUSINESS & ECONOMICS / Econometrics bisacsh BUSINESS & ECONOMICS / Statistics bisacsh Econometrische analyse gtt Tijdreeksen gtt Toepassingen gtt Econometric models fast Finance / Econometric models fast Time-series analysis fast Statistik Wirtschaft Ökonometrisches Modell Econometric models Finance Econometric models Time-series analysis |
| topic_facet | BUSINESS & ECONOMICS / Econometrics BUSINESS & ECONOMICS / Statistics Econometrische analyse Tijdreeksen Toepassingen Econometric models Finance / Econometric models Time-series analysis Statistik Wirtschaft Ökonometrisches Modell Finance Econometric models |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=166939 |
| volume_link | (DE-604)BV023055191 |
| work_keys_str_mv | AT terrelldek econometricanalysisoffinancialandeconomictimeseriespartb AT fombythomasb econometricanalysisoffinancialandeconomictimeseriespartb |