The Resource Econometric analysis of financial and economic time series, Part B, edited by Dek Terrell, Thomas B. Fomby

Econometric analysis of financial and economic time series, Part B, edited by Dek Terrell, Thomas B. Fomby

Label
Econometric analysis of financial and economic time series, Part B
Title
Econometric analysis of financial and economic time series
Title number
Part B
Statement of responsibility
edited by Dek Terrell, Thomas B. Fomby
Contributor
Subject
Language
eng
Summary
The papers in this volume focus on volatility models and are organized by multivariate, high frequency and univariate types
Member of
Cataloging source
N$T
Dewey number
330.015195
Illustrations
  • illustrations
  • portraits
Index
no index present
LC call number
HB141
LC item number
.E26eb pt. B
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
Advances in econometrics,
Series volume
v. 20
Label
Econometric analysis of financial and economic time series, Part B, edited by Dek Terrell, Thomas B. Fomby
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
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
Control code
ocm77831812
Dimensions
unknown
Extent
1 online resource (1 volume)
File format
unknown
Form of item
online
Isbn
9781849503884
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
illustrations, portraits
Quality assurance targets
not applicable
http://library.link/vocab/recordID
.b28899234
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • (OCoLC)77831812
  • emerald0080462375

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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