Cargando…
The econometric analysis of recurrent events in macroeconomics and finance /
The global financial crisis highlighted the impact on macroeconomic outcomes of recurrent events like business and financial cycles, highs and lows in volatility, and crashes and recessions. At the most basic level, such recurrent events can be summarized using binary indicators showing if the event...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton :
Princeton University Press,
[2016]
|
| Colección: | Econometric and Tinbergen Institutes lectures.
|
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover; Title; Copyright; Contents; Series Editors' Introduction ; Preface ; 1 Overview ; 1.1 Introduction ; 1.2 Describing the Events ; 1.3 Using the Event Indicators ("States") ; 1.4 Prediction of Recurrent Events ; 1.5 Conclusion.
- 2 Methods for Describing Oscillations, Fluctuations, and Cycles in Univariate Series 2.1 Introduction ; 2.2 Types of Movements in Real and Financial Series ; 2.3 Prescribed Rules for Dating Business Cycles ; 2.4 Prescribed Rules for Dating Other Types of Real Cycles.
- 2.5 Prescribed Rules for Dating Financial Cycles 2.6 Relations between Cycles and Oscillations ; 2.7 The Nature of St and Its Modeling ; 2.8 Conclusion ; 3 Constructing Reference Cycles with Multivariate Information ; 3.1 Introduction ; 3.2 Determining the Reference Cycle via Phases.
- 3.3 Combining Specific Cycle Turning Points 3.4 Finding Turning Points by Series Aggregation ; 3.5 Conclusion ; 4 Model-Based Rules for Describing Recurrent Events ; 4.1 Introduction ; 4.2 Dating Cycles with Univariate Series.
- 4.3 Model-Based Rules for Dating Events with Multivariate Series 4.4 Conclusion ; 5 Measuring Recurrent Event Features in Univariate Data ; 5.1 Introduction ; 5.2 The Fraction of Time Spent in Expansions ; 5.3 Representing the Features of Phases ; 5.4 Amplitudes and Durations of Phases.