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Econometric analysis of financial and economic time series. Part A /
The papers in this volume focus on volatility models and are organized by multivariate, high frequency and univariate types.
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Amsterdam ; Oxford :
Elsevier JAI,
2006.
|
| Colección: | Advances in econometrics ;
v. 20. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 245 | 0 | 0 | |a Econometric analysis of financial and economic time series. |n Part A / |c edited by Dek Terrell, Thomas B. Fomby. |
| 260 | |a Amsterdam ; |a Oxford : |b Elsevier JAI, |c 2006. | ||
| 300 | |a 1 online resource (1 volume) : |b illustrations, portraits. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a Advances in econometrics, |x 0731-9053 ; |v v. 20 | |
| 504 | |a Includes bibliographical references. | ||
| 505 | 0 | |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 -- 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. | |
| 520 | |a The papers in this volume focus on volatility models and are organized by multivariate, high frequency and univariate types. | ||
| 588 | 0 | |a Print version record. | |
| 590 | |a Emerald Insight |b Emerald All Book Titles | ||
| 650 | 0 | |a Econometric models. | |
| 650 | 0 | |a Finance |x Econometric models. | |
| 650 | 0 | |a Time-series analysis. | |
| 650 | 6 | |a Modèles économétriques. | |
| 650 | 6 | |a Finances |x Modèles économétriques. | |
| 650 | 6 | |a Série chronologique. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Econometrics. |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Statistics. |2 bisacsh | |
| 650 | 7 | |a Econometric models |2 fast | |
| 650 | 7 | |a Finance |x Econometric models |2 fast | |
| 650 | 7 | |a Time-series analysis |2 fast | |
| 650 | 1 | 7 | |a Econometrische analyse. |2 gtt |
| 650 | 1 | 7 | |a Tijdreeksen. |2 gtt |
| 650 | 1 | 7 | |a Toepassingen. |2 gtt |
| 700 | 1 | |a Terrell, Dek. | |
| 700 | 1 | |a Fomby, Thomas B. | |
| 776 | 0 | 8 | |i Print version: |t Econometric analysis of financial and economic time series. Part A. |d Amsterdam ; Oxford : Elsevier JAI, 2006 |z 0762312742 |z 0762312734 |w (OCoLC)62473387 |
| 830 | 0 | |a Advances in econometrics ; |v v. 20. |x 0731-9053 | |
| 856 | 4 | 0 | |u https://emerald.uam.elogim.com/insight/publication/doi/10.1016/S0731-9053(2006)20_Part_1 |z Texto completo |
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