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Books > Business & Economics > Economics > Econometrics
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Econometric Analysis of Financial and Economic Time Series (Hardcover)
Loot Price: R4,155
Discovery Miles 41 550
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Econometric Analysis of Financial and Economic Time Series (Hardcover)
Series: Advances in Econometrics
Expected to ship within 12 - 17 working days
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The editors are pleased to offer the following papers to the reader
in recognition and appreciation of the contributions to our
literature made by Robert Engle and Sir Clive Granger, winners of
the 2003 Nobel Prize in Economics. The basic themes of this part of
Volume 20 of Advances in Econometrics are time varying betas of the
capital asset pricing model, analysis of predictive densities of
nonlinear models of stock returns, modelling multivariate dynamic
correlations, flexible seasonal time series models, estimation of
long-memory time series models, the application of the technique of
boosting in volatility forecasting, the use of different time
scales in GARCH modelling, out-of-sample evaluation of the Fed
Model in stock price valuation, structural change as an alternative
to long memory, the use of smooth transition auto-regressions in
stochastic volatility modelling, the analysis of the balanced-ness
of regressions analyzing Taylor-Type rules of the Fed Funds rate, a
mixture-of-experts approach for the estimation of stochastic
volatility, a modern assessment of Clives first published paper on
Sunspot activity, and a new class of models of tail-dependence in
time series subject to jumps.
*This Series: Aids in the diffusion of new econometric
techniques
* Emphasis is placed on expositional clarity and ease of
assimilation for readers who are unfamiliar with a given topic of a
volume
*Illustrates new concepts
General
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