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20171111234741.0 |
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070102s2006 ne ac ob 000 0 eng d |
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|a 0080462367
|q (electronic bk.)
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| 020 |
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|a 9780080462363
|q (electronic bk.)
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|a 9781849503891
|q (electronic bk.)
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|a 1849503893
|q (electronic bk.)
|z 0762312734
|q (pt. B ;
|q cased)
|q (pt. B ;
|q cased)
|z 9780762312733
|q (bk.)
|z 0762312742
|q (bk.)
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| 040 |
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|a N$T
|b eng
|e pn
|z 9780762312740
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| 050 |
|
4 |
|a HB141
|b .E26eb pt. A
|
| 245 |
0 |
0 |
|a Econometric analysis of financial and economic time series.
|c edited by Dek Terrell, Thomas B. Fomby.
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| 260 |
|
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|a Amsterdam ;
|b Elsevier JAI,
|c 2006.
|a Oxford :
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| 300 |
|
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|a 1 online resource (1 volume) :
|b illustrations, portraits.
|
| 490 |
1 |
|
|a Advances in econometrics,
|v v. 20
|x 0731-9053 ;
|
| 504 |
|
|
|a Includes bibliographical references.
|
| 505 |
0 |
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|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.
|
| 650 |
|
0 |
|a Econometric models.
|
| 650 |
|
0 |
|a Finance
|x Econometric models.
|
| 650 |
|
0 |
|a Time-series analysis.
|
| 650 |
|
7 |
|a BUSINESS & ECONOMICS
|x Econometrics.
|
| 650 |
|
7 |
|a BUSINESS & ECONOMICS
|x Statistics.
|
| 650 |
|
7 |
|a Econometric models.
|
| 650 |
|
7 |
|a Finance
|x Econometric models.
|
| 650 |
|
7 |
|a Time-series analysis.
|
| 650 |
1 |
7 |
|a Econometrische analyse.
|
| 650 |
1 |
7 |
|a Tijdreeksen.
|
| 700 |
1 |
|
|a Terrell, Dek.
|
| 856 |
4 |
0 |
|a Fomby, Thomas B.
|u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=166938
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| 952 |
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|a CY-NiOUC
|b 5a0466826c5ad14ac1eef005
|c 998a
|d 945l
|e -
|t 1
|x m
|z Books
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