Econometric analysis of financial and economic time series.
| Other Authors: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Amsterdam ; Boston :
Elsevier JAI,
2006.
|
| Series: | Advances in econometrics,
v. 20 |
| Subjects: | |
| Online Access: | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=166939 |
Table of 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.