Econometric analysis of financial and economic time series. Part B /

The papers in this volume focus on volatility models and are organized by multivariate, high frequency and univariate types.

Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Terrell, Dek, Fomby, Thomas B.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Amsterdam ; Boston : Elsevier JAI, 2006.
Colección:Advances in econometrics ; v. 20.
Temas:
Econometric models.
Finance > Econometric models.
Time-series analysis.
Modèles économétriques.
Finances > Modèles économétriques.
Série chronologique.
BUSINESS & ECONOMICS > Econometrics.
BUSINESS & ECONOMICS > Statistics.
Econometric models
Finance > Econometric models
Time-series analysis
Econometrische analyse.
Tijdreeksen.
Toepassingen.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Cover
  • Contents
  • Dedication
  • List of Contributors
  • Introduction
  • Good Ideas
  • The Creativity Process
  • Reference
  • Realized Beta: Persistence and Predictability
  • Introduction
  • Theoretical Framework
  • Realized Quarterly Variances, Covariances, and Betas
  • Nonlinear Fractional Cointegration: A Common Long-Memory Feature in Variances and Covariances
  • Empirical Analysis
  • Dynamics of Quarterly Realized Variance, Covariances and Betas
  • Predictability
  • Assessing Precision: Interval Estimates of Betas
  • Continuous-Record Asymptotic Standard Errors
  • HAC Asymptotic Standard Errors
  • Summary, Concluding Remarks, and Directions for Future Research
  • Notes
  • Acknowledgments
  • References
  • Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison
  • Introduction
  • In-Sample Test for Martingale Difference
  • Conditional Mean Models
  • Out-of-Sample Test for Martingale Difference
  • The BLS Test
  • Results of the BLS Test
  • Conclusions
  • Notes
  • Acknowledgement
  • References
  • Flexible Seasonal Time Series Models
  • Introduction
  • Modeling Procedures
  • Local Linear Estimation
  • Asymptotic Theory
  • Empirical Studies
  • Note
  • Acknowledgments
  • References
  • Estimation of Long-Memory Time Series Models: A Survey of Different Likelihood-Based Methods
  • Introduction
  • Exact Maximum Likelihood Method
  • Cholesky Decomposition
  • Levinson-Durbin Algorithm
  • Calculation of Autocovariances
  • Exact State-Space Method
  • Asymptotic Results for the Exact MLE
  • Autoregressive Approximations
  • Haslett-Raftery Method
  • Beran Method
  • Moving Average Approximations
  • Kalman Recursions
  • Whittle Approximations
  • Whittle Approximation of the Gaussian Likelihood Function
  • Discrete Version
  • Alternative Versions
  • Asymptotic Results
  • Non-Gaussian Processes
  • Semi-Parametric Methods
  • Numerical experiments
  • Estimation of Incomplete Series
  • Effect of Data Irregularities and Missing Values on ML Estimates
  • Estimation of Seasonal Long-Memory Models
  • Monte Carlo Studies
  • Heteroskedastic Time Series
  • ARFIMA-GARCH Model
  • Arch-Type Models
  • Stochastic Volatility
  • Numerical Experiments
  • Summary
  • Acknowledgment
  • References
  • Boosting-Based Frameworks in Financial Modeling: Application to Symbolic Volatility Forecasting
  • Introduction
  • Boosting: The Main Features and Relation to other Techniques
  • Adaptive Boosting for Classification
  • Boosting Frameworks in Financial and Econometric Applications
  • Typical Classification Problems
  • Symbolic Time Series Forecasting
  • Portfolio Strategy Discovery and Optimization
  • Regression Problems
  • Symbolic Volatility Forecasting
  • Discussion and Conclusion
  • Acknowledgments
  • References
  • Overlaying Time Scales in Financial Volatility Data
  • Introduction
  • Integrated.

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