Econometric analysis of financial and economic time series, Part A:
Gespeichert in:
| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Amsterdam
Elsevier JAI
2006
|
| Schriftenreihe: | Advances in econometrics
20,1 |
| Schlagworte: | |
| Online-Zugang: | FAW01 FAW02 Volltext |
| Beschreibung: | Includes bibliographical references Cover -- Contents -- Dedication -- List of Contributors -- Introduction -- Good Ideas -- The Creativity Process -- Reference -- Part I: Multivariate Volatility Models -- A Flexible Dynamic Correlation Model -- Introduction -- Existing Multivariate GARCH Models -- Simulations -- Empirical Results -- Conclusions -- Notes -- Acknowledgments -- References -- A Multivariate Skew-Garch Model -- Introduction -- The Skew-Normal Distribution -- The SGARCH Model -- Conditional Distributions and Related Moments -- Unconditional Distributions -- Analysis of Some Financial Markets -- Conclusions -- References -- Appendix -- Semi-Parametric Modelling of Correlation Dynamics -- Introduction -- Dynamic Conditional Correlation Models -- A Semi-Parametric Conditional Correlation Model -- Empirical Application -- Concluding Remarks -- Notes -- Acknowledgments -- References -- Appendix: Assumptions and Proof of Theorem 1 -- A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals -- Introduction -- The Implicit Arch Model in the Univariate Case: A Brief Review -- A Multivariate Heavy-Tailed Distribution for ARCH/GARCH -- Numerical Maximum Likelihood -- The Bivariate Paradigm -- A Real Data Example -- Notes -- References -- A Portmanteau Test for Multivariate GARCH when the Conditional Mean is an ECM: Theory and Empirical Applications -- Introduction -- Basic Properties of the Models and the Test Statistic -- Distribution of the Sum of Squared Residual Autocorrelations -- Monte Carlo Experiments -- Empirical Examples -- Conclusions -- Acknowledgements -- References -- Appendix: Lemmas -- Part II: High Frequency Volatility Models -- Sampling Frequency and Window Length Trade-Offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations -- Introduction -- Theoretical Comparison of Estimators with different Sampling Frequencies -- Some Examples of Asymptotically Equivalent Filters -- Monte CARLO Study -- Conclusions -- Notes -- Acknowledgments -- References -- Model-Based Measurement of Actual Volatility in High-Frequency Data -- Introduction -- Models for High-Frequency Prices -- Estimation Methods -- Empirical Results for Three Months of IBM Prices -- Discussion and Conclusion -- References -- Cubic Spline for Intra-Daily Volatility Pattern -- Approximating Model for SV with Noise -- Noise Reduced Realized Volatility: A Kalman Filter Approach -- Introduction -- Model -- Multivariate Normal Approach -- Implementation -- Performance -- Conclusions -- Notes -- References -- Part III: Univariate Volatility Models -- Modeling the Asymmetry of Stock Movements Using Price Ranges -- Introduction -- Model Specification, Estimation, and Properties -- An Empirical Example Using the S & P 500 Daily Index, 1962/01/03-2000/08/25 -- Conclusion -- Notes -- Acknowledgments -- Ref The papers in this volume focus on volatility models and are organized by multivariate, high frequency and univariate types |
| Beschreibung: | 1 Online-Ressource (1 volume) |
| ISBN: | 0080462367 1849503893 9780080462363 9781849503891 |
Internformat
MARC
| LEADER | 00000nmm a2200000zcb4500 | ||
|---|---|---|---|
| 001 | BV043156102 | ||
| 003 | DE-604 | ||
| 005 | 20190807 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 151126s2006 |||| o||u| ||||||eng d | ||
| 020 | |a 0080462367 |c electronic bk. |9 0-08-046236-7 | ||
| 020 | |a 1849503893 |c electronic bk. |9 1-84950-389-3 | ||
| 020 | |a 9780080462363 |c electronic bk. |9 978-0-08-046236-3 | ||
| 020 | |a 9781849503891 |c electronic bk. |9 978-1-84950-389-1 | ||
| 035 | |a (OCoLC)77517312 | ||
| 035 | |a (DE-599)BVBBV043156102 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-1046 |a DE-1047 | ||
| 082 | 0 | |a 330.015195 |2 22 | |
| 245 | 1 | 0 | |a Econometric analysis of financial and economic time series, Part A |c edited by Dek Terrell, Thomas B. Fomby |
| 264 | 1 | |a Amsterdam |b Elsevier JAI |c 2006 | |
| 300 | |a 1 Online-Ressource (1 volume) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 1 | |a Advances in econometrics |v v. 20 | |
| 500 | |a Includes bibliographical references | ||
| 500 | |a Cover -- Contents -- Dedication -- List of Contributors -- Introduction -- Good Ideas -- The Creativity Process -- Reference -- Part I: Multivariate Volatility Models -- A Flexible Dynamic Correlation Model -- Introduction -- Existing Multivariate GARCH Models -- Simulations -- Empirical Results -- Conclusions -- Notes -- Acknowledgments -- References -- A Multivariate Skew-Garch Model -- Introduction -- The Skew-Normal Distribution -- The SGARCH Model -- Conditional Distributions and Related Moments -- Unconditional Distributions -- Analysis of Some Financial Markets -- Conclusions -- References -- Appendix -- Semi-Parametric Modelling of Correlation Dynamics -- Introduction -- Dynamic Conditional Correlation Models -- A Semi-Parametric Conditional Correlation Model -- Empirical Application -- Concluding Remarks -- Notes -- Acknowledgments -- References -- Appendix: Assumptions and Proof of Theorem 1 -- A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals -- | ||
| 500 | |a Introduction -- The Implicit Arch Model in the Univariate Case: A Brief Review -- A Multivariate Heavy-Tailed Distribution for ARCH/GARCH -- Numerical Maximum Likelihood -- The Bivariate Paradigm -- A Real Data Example -- Notes -- References -- A Portmanteau Test for Multivariate GARCH when the Conditional Mean is an ECM: Theory and Empirical Applications -- Introduction -- Basic Properties of the Models and the Test Statistic -- Distribution of the Sum of Squared Residual Autocorrelations -- Monte Carlo Experiments -- Empirical Examples -- Conclusions -- Acknowledgements -- References -- Appendix: Lemmas -- Part II: High Frequency Volatility Models -- Sampling Frequency and Window Length Trade-Offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations -- Introduction -- Theoretical Comparison of Estimators with different Sampling Frequencies -- Some Examples of Asymptotically Equivalent Filters -- Monte CARLO Study -- Conclusions -- Notes -- | ||
| 500 | |a Acknowledgments -- References -- Model-Based Measurement of Actual Volatility in High-Frequency Data -- Introduction -- Models for High-Frequency Prices -- Estimation Methods -- Empirical Results for Three Months of IBM Prices -- Discussion and Conclusion -- References -- Cubic Spline for Intra-Daily Volatility Pattern -- Approximating Model for SV with Noise -- Noise Reduced Realized Volatility: A Kalman Filter Approach -- Introduction -- Model -- Multivariate Normal Approach -- Implementation -- Performance -- Conclusions -- Notes -- References -- Part III: Univariate Volatility Models -- Modeling the Asymmetry of Stock Movements Using Price Ranges -- Introduction -- Model Specification, Estimation, and Properties -- An Empirical Example Using the S & P 500 Daily Index, 1962/01/03-2000/08/25 -- Conclusion -- Notes -- Acknowledgments -- Ref | ||
| 500 | |a The papers in this volume focus on volatility models and are organized by multivariate, high frequency and univariate types | ||
| 650 | 7 | |a BUSINESS & ECONOMICS / Econometrics |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS / Statistics |2 bisacsh | |
| 650 | 7 | |a Econometric models |2 fast | |
| 650 | 7 | |a Finance / Econometric models |2 fast | |
| 650 | 7 | |a Time-series analysis |2 fast | |
| 650 | 7 | |a Econometrische analyse |2 gtt | |
| 650 | 7 | |a Tijdreeksen |2 gtt | |
| 650 | 7 | |a Toepassingen |2 gtt | |
| 650 | 4 | |a Statistik | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Econometric models | |
| 650 | 4 | |a Finance |x Econometric models | |
| 650 | 4 | |a Time-series analysis | |
| 700 | 1 | |a Terrell, Dek |d 1964- |e Sonstige |0 (DE-588)171148029 |4 oth | |
| 700 | 1 | |a Fomby, Thomas B. |e Sonstige |0 (DE-588)170050165 |4 oth | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |z 0-7623-1274-2 |z 978-0-7623-1274-0 |
| 787 | 0 | 8 | |i Ergänzung |n Part B |z 0-7623-1273-4 |z 978-0-7623-1273-3 |
| 830 | 0 | |a Advances in econometrics |v 20,1 |w (DE-604)BV023055191 |9 20,1 | |
| 856 | 4 | 0 | |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=166938 |x Aggregator |3 Volltext |
| 912 | |a ZDB-4-EBA | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-028580293 | ||
| 966 | e | |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=166938 |l FAW01 |p ZDB-4-EBA |q FAW_PDA_EBA |x Aggregator |3 Volltext | |
| 966 | e | |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=166938 |l FAW02 |p ZDB-4-EBA |q FAW_PDA_EBA |x Aggregator |3 Volltext | |
Datensatz im Suchindex
| _version_ | 1804175621389025280 |
|---|---|
| any_adam_object | |
| author_GND | (DE-588)171148029 (DE-588)170050165 |
| building | Verbundindex |
| bvnumber | BV043156102 |
| collection | ZDB-4-EBA |
| ctrlnum | (OCoLC)77517312 (DE-599)BVBBV043156102 |
| dewey-full | 330.015195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.015195 |
| dewey-search | 330.015195 |
| dewey-sort | 3330.015195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>05508nmm a2200637zcb4500</leader><controlfield tag="001">BV043156102</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20190807 </controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">151126s2006 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0080462367</subfield><subfield code="c">electronic bk.</subfield><subfield code="9">0-08-046236-7</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1849503893</subfield><subfield code="c">electronic bk.</subfield><subfield code="9">1-84950-389-3</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780080462363</subfield><subfield code="c">electronic bk.</subfield><subfield code="9">978-0-08-046236-3</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781849503891</subfield><subfield code="c">electronic bk.</subfield><subfield code="9">978-1-84950-389-1</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)77517312</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV043156102</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-1046</subfield><subfield code="a">DE-1047</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">330.015195</subfield><subfield code="2">22</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Econometric analysis of financial and economic time series, Part A</subfield><subfield code="c">edited by Dek Terrell, Thomas B. Fomby</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Amsterdam</subfield><subfield code="b">Elsevier JAI</subfield><subfield code="c">2006</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (1 volume)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Advances in econometrics</subfield><subfield code="v">v. 20</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Cover -- Contents -- Dedication -- List of Contributors -- Introduction -- Good Ideas -- The Creativity Process -- Reference -- Part I: Multivariate Volatility Models -- A Flexible Dynamic Correlation Model -- Introduction -- Existing Multivariate GARCH Models -- Simulations -- Empirical Results -- Conclusions -- Notes -- Acknowledgments -- References -- A Multivariate Skew-Garch Model -- Introduction -- The Skew-Normal Distribution -- The SGARCH Model -- Conditional Distributions and Related Moments -- Unconditional Distributions -- Analysis of Some Financial Markets -- Conclusions -- References -- Appendix -- Semi-Parametric Modelling of Correlation Dynamics -- Introduction -- Dynamic Conditional Correlation Models -- A Semi-Parametric Conditional Correlation Model -- Empirical Application -- Concluding Remarks -- Notes -- Acknowledgments -- References -- Appendix: Assumptions and Proof of Theorem 1 -- A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals -- </subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Introduction -- The Implicit Arch Model in the Univariate Case: A Brief Review -- A Multivariate Heavy-Tailed Distribution for ARCH/GARCH -- Numerical Maximum Likelihood -- The Bivariate Paradigm -- A Real Data Example -- Notes -- References -- A Portmanteau Test for Multivariate GARCH when the Conditional Mean is an ECM: Theory and Empirical Applications -- Introduction -- Basic Properties of the Models and the Test Statistic -- Distribution of the Sum of Squared Residual Autocorrelations -- Monte Carlo Experiments -- Empirical Examples -- Conclusions -- Acknowledgements -- References -- Appendix: Lemmas -- Part II: High Frequency Volatility Models -- Sampling Frequency and Window Length Trade-Offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations -- Introduction -- Theoretical Comparison of Estimators with different Sampling Frequencies -- Some Examples of Asymptotically Equivalent Filters -- Monte CARLO Study -- Conclusions -- Notes -- </subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Acknowledgments -- References -- Model-Based Measurement of Actual Volatility in High-Frequency Data -- Introduction -- Models for High-Frequency Prices -- Estimation Methods -- Empirical Results for Three Months of IBM Prices -- Discussion and Conclusion -- References -- Cubic Spline for Intra-Daily Volatility Pattern -- Approximating Model for SV with Noise -- Noise Reduced Realized Volatility: A Kalman Filter Approach -- Introduction -- Model -- Multivariate Normal Approach -- Implementation -- Performance -- Conclusions -- Notes -- References -- Part III: Univariate Volatility Models -- Modeling the Asymmetry of Stock Movements Using Price Ranges -- Introduction -- Model Specification, Estimation, and Properties -- An Empirical Example Using the S & P 500 Daily Index, 1962/01/03-2000/08/25 -- Conclusion -- Notes -- Acknowledgments -- Ref</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">The papers in this volume focus on volatility models and are organized by multivariate, high frequency and univariate types</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS / Econometrics</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS / Statistics</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Econometric models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Finance / Econometric models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Time-series analysis</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Econometrische analyse</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Tijdreeksen</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Toepassingen</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Statistik</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Wirtschaft</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Ökonometrisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Econometric models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finance</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Time-series analysis</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Terrell, Dek</subfield><subfield code="d">1964-</subfield><subfield code="e">Sonstige</subfield><subfield code="0">(DE-588)171148029</subfield><subfield code="4">oth</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Fomby, Thomas B.</subfield><subfield code="e">Sonstige</subfield><subfield code="0">(DE-588)170050165</subfield><subfield code="4">oth</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="z">0-7623-1274-2</subfield><subfield code="z">978-0-7623-1274-0</subfield></datafield><datafield tag="787" ind1="0" ind2="8"><subfield code="i">Ergänzung</subfield><subfield code="n">Part B</subfield><subfield code="z">0-7623-1273-4</subfield><subfield code="z">978-0-7623-1273-3</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">Advances in econometrics</subfield><subfield code="v">20,1</subfield><subfield code="w">(DE-604)BV023055191</subfield><subfield code="9">20,1</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=166938</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-4-EBA</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-028580293</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=166938</subfield><subfield code="l">FAW01</subfield><subfield code="p">ZDB-4-EBA</subfield><subfield code="q">FAW_PDA_EBA</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=166938</subfield><subfield code="l">FAW02</subfield><subfield code="p">ZDB-4-EBA</subfield><subfield code="q">FAW_PDA_EBA</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| id | DE-604.BV043156102 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:19:12Z |
| institution | BVB |
| isbn | 0080462367 1849503893 9780080462363 9781849503891 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028580293 |
| oclc_num | 77517312 |
| open_access_boolean | |
| owner | DE-1046 DE-1047 |
| owner_facet | DE-1046 DE-1047 |
| physical | 1 Online-Ressource (1 volume) |
| psigel | ZDB-4-EBA ZDB-4-EBA FAW_PDA_EBA |
| publishDate | 2006 |
| publishDateSearch | 2006 |
| publishDateSort | 2006 |
| publisher | Elsevier JAI |
| record_format | marc |
| series | Advances in econometrics |
| series2 | Advances in econometrics |
| spelling | Econometric analysis of financial and economic time series, Part A edited by Dek Terrell, Thomas B. Fomby Amsterdam Elsevier JAI 2006 1 Online-Ressource (1 volume) 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 -- Part I: Multivariate Volatility Models -- A Flexible Dynamic Correlation Model -- Introduction -- Existing Multivariate GARCH Models -- Simulations -- Empirical Results -- Conclusions -- Notes -- Acknowledgments -- References -- A Multivariate Skew-Garch Model -- Introduction -- The Skew-Normal Distribution -- The SGARCH Model -- Conditional Distributions and Related Moments -- Unconditional Distributions -- Analysis of Some Financial Markets -- Conclusions -- References -- Appendix -- Semi-Parametric Modelling of Correlation Dynamics -- Introduction -- Dynamic Conditional Correlation Models -- A Semi-Parametric Conditional Correlation Model -- Empirical Application -- Concluding Remarks -- Notes -- Acknowledgments -- References -- Appendix: Assumptions and Proof of Theorem 1 -- A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals -- Introduction -- The Implicit Arch Model in the Univariate Case: A Brief Review -- A Multivariate Heavy-Tailed Distribution for ARCH/GARCH -- Numerical Maximum Likelihood -- The Bivariate Paradigm -- A Real Data Example -- Notes -- References -- A Portmanteau Test for Multivariate GARCH when the Conditional Mean is an ECM: Theory and Empirical Applications -- Introduction -- Basic Properties of the Models and the Test Statistic -- Distribution of the Sum of Squared Residual Autocorrelations -- Monte Carlo Experiments -- Empirical Examples -- Conclusions -- Acknowledgements -- References -- Appendix: Lemmas -- Part II: High Frequency Volatility Models -- Sampling Frequency and Window Length Trade-Offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations -- Introduction -- Theoretical Comparison of Estimators with different Sampling Frequencies -- Some Examples of Asymptotically Equivalent Filters -- Monte CARLO Study -- Conclusions -- Notes -- Acknowledgments -- References -- Model-Based Measurement of Actual Volatility in High-Frequency Data -- Introduction -- Models for High-Frequency Prices -- Estimation Methods -- Empirical Results for Three Months of IBM Prices -- Discussion and Conclusion -- References -- Cubic Spline for Intra-Daily Volatility Pattern -- Approximating Model for SV with Noise -- Noise Reduced Realized Volatility: A Kalman Filter Approach -- Introduction -- Model -- Multivariate Normal Approach -- Implementation -- Performance -- Conclusions -- Notes -- References -- Part III: Univariate Volatility Models -- Modeling the Asymmetry of Stock Movements Using Price Ranges -- Introduction -- Model Specification, Estimation, and Properties -- An Empirical Example Using the S & P 500 Daily Index, 1962/01/03-2000/08/25 -- Conclusion -- Notes -- Acknowledgments -- Ref 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 Econometric models fast Finance / Econometric models fast Time-series analysis fast Econometrische analyse gtt Tijdreeksen gtt Toepassingen gtt 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 0-7623-1274-2 978-0-7623-1274-0 Ergänzung Part B 0-7623-1273-4 978-0-7623-1273-3 Advances in econometrics 20,1 (DE-604)BV023055191 20,1 http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=166938 Aggregator Volltext |
| spellingShingle | Econometric analysis of financial and economic time series, Part A Advances in econometrics BUSINESS & ECONOMICS / Econometrics bisacsh BUSINESS & ECONOMICS / Statistics bisacsh Econometric models fast Finance / Econometric models fast Time-series analysis fast Econometrische analyse gtt Tijdreeksen gtt Toepassingen gtt Statistik Wirtschaft Ökonometrisches Modell Econometric models Finance Econometric models Time-series analysis |
| title | Econometric analysis of financial and economic time series, Part A |
| title_auth | Econometric analysis of financial and economic time series, Part A |
| title_exact_search | Econometric analysis of financial and economic time series, Part A |
| title_full | Econometric analysis of financial and economic time series, Part A edited by Dek Terrell, Thomas B. Fomby |
| title_fullStr | Econometric analysis of financial and economic time series, Part A edited by Dek Terrell, Thomas B. Fomby |
| title_full_unstemmed | Econometric analysis of financial and economic time series, Part A edited by Dek Terrell, Thomas B. Fomby |
| title_short | Econometric analysis of financial and economic time series, Part A |
| title_sort | econometric analysis of financial and economic time series part a |
| topic | BUSINESS & ECONOMICS / Econometrics bisacsh BUSINESS & ECONOMICS / Statistics bisacsh Econometric models fast Finance / Econometric models fast Time-series analysis fast Econometrische analyse gtt Tijdreeksen gtt Toepassingen gtt Statistik Wirtschaft Ökonometrisches Modell Econometric models Finance Econometric models Time-series analysis |
| topic_facet | BUSINESS & ECONOMICS / Econometrics BUSINESS & ECONOMICS / Statistics Econometric models Finance / Econometric models Time-series analysis Econometrische analyse Tijdreeksen Toepassingen Statistik Wirtschaft Ökonometrisches Modell Finance Econometric models |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=166938 |
| volume_link | (DE-604)BV023055191 |
| work_keys_str_mv | AT terrelldek econometricanalysisoffinancialandeconomictimeseriesparta AT fombythomasb econometricanalysisoffinancialandeconomictimeseriesparta |