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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.
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Amsterdam ; Boston :
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 B / |c edited by Dek Terrell, Thomas B. Fomby. |
| 260 | |a Amsterdam ; |a Boston : |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 -- 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. | |
| 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 B. |d Amsterdam ; Boston : Elsevier JAI, 2006 |z 0762312734 |z 9780762312733 |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_2 |z Texto completo |
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