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04303nam a2200361 a 4500 |
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1905337 |
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20171111234741.0 |
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070113s2006 ne ac ob 000 0 eng d |
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|a 9780080462370
|q (electronic bk.)
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| 020 |
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|a 0080462375
|q (electronic bk.)
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|a 9781849503884
|q (electronic bk.)
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|a 1849503885
|q (electronic bk.)
|z 0762312734
|q (bk.)
|q (bk.)
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|a N$T
|b eng
|e pn
|z 9780762312733
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| 050 |
|
4 |
|a HB141
|b .E26eb pt. B
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| 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 Boston :
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| 300 |
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|a 1 online resource (1 volume) :
|b illustrations, portraits.
|
| 490 |
1 |
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|a Advances in econometrics,
|v v. 20
|x 0731-9053 ;
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| 504 |
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|a Includes bibliographical references.
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| 505 |
0 |
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|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.
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| 650 |
|
0 |
|a Econometric models.
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| 650 |
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0 |
|a Finance
|x Econometric models.
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| 650 |
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0 |
|a Time-series analysis.
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| 650 |
|
7 |
|a BUSINESS & ECONOMICS
|x Econometrics.
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| 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.
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| 856 |
4 |
0 |
|a Fomby, Thomas B.
|u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=166939
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| 952 |
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|a CY-NiOUC
|b 5a04668a6c5ad14ac1eef0f0
|c 998a
|d 945l
|e -
|t 1
|x m
|z Books
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