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This edited book contains several state-of-the-art papers devoted
to econometrics of risk. Some papers provide theoretical analysis
of the corresponding mathematical, statistical, computational, and
economical models. Other papers describe applications of the novel
risk-related econometric techniques to real-life economic
situations. The book presents new methods developed just recently,
in particular, methods using non-Gaussian heavy-tailed
distributions, methods using non-Gaussian copulas to properly take
into account dependence between different quantities, methods
taking into account imprecise ("fuzzy") expert knowledge, and many
other innovative techniques. This versatile volume helps
practitioners to learn how to apply new techniques of econometrics
of risk, and researchers to further improve the existing models and
to come up with new ideas on how to best take into account economic
risks.
This edited book contains several state-of-the-art papers devoted
to econometrics of risk. Some papers provide theoretical analysis
of the corresponding mathematical, statistical, computational, and
economical models. Other papers describe applications of the novel
risk-related econometric techniques to real-life economic
situations. The book presents new methods developed just recently,
in particular, methods using non-Gaussian heavy-tailed
distributions, methods using non-Gaussian copulas to properly take
into account dependence between different quantities, methods
taking into account imprecise ("fuzzy") expert knowledge, and many
other innovative techniques. This versatile volume helps
practitioners to learn how to apply new techniques of econometrics
of risk, and researchers to further improve the existing models and
to come up with new ideas on how to best take into account economic
risks.
Unlike uncertain dynamical systems in physical sciences where
models for prediction are somewhat given to us by physical laws,
uncertain dynamical systems in economics need statistical models.
In this context, modeling and optimization surface as basic
ingredients for fruitful applications. This volume concentrates on
the current methodology of copulas and maximum entropy
optimization. This volume contains main research presentations at
the Sixth International Conference of the Thailand Econometrics
Society held at the Faculty of Economics, Chiang Mai University,
Thailand, during January 10-11, 2013. It consists of keynote
addresses, theoretical and applied contributions. These
contributions to Econometrics are somewhat centered around the
theme of Copulas and Maximum Entropy Econometrics. The method of
copulas is applied to a variety of economic problems where
multivariate model building and correlation analysis are needed. As
for the art of choosing copulas in practical problems, the
principle of maximum entropy surfaces as a potential way to do so.
The state-of-the-art of Maximum Entropy Econometrics is presented
in the first keynote address, while the second keynote address
focusses on testing stationarity in economic time series data.
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