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Author : Oliver Linton
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (61 download)
Download or read book An Asymptotic Expansion in the Garch (1, 1) Model written by Oliver Linton and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ekaterina Smetanina
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (13 download)
Download or read book Asymptotic Theory for QMLE for Real-Time GARCH(1,1) Model written by Ekaterina Smetanina and published by . This book was released on 2019 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the asymptotic properties of the Gaussian Quasi-Maximum-Likelihood estimator (QMLE) for the Real-time GARCH(1,1) model of Smetanina (2017). The developed theory relies on the new dependence measure developed in Wu (2005) and is substantially different to the standard asymptotic theory for GARCH models. We prove consistency and asymptotic normality for the parameter vector at the usual √T rate. Finally, as part of the developed theory we also demonstrate how convergence rates of uniform laws of large numbers can be established via the powerful maximal inequalities for high-dimensional heavy-tailed time series using uniform functional dependence measure.
Author : Steven Durlauf
Publisher : Springer
ISBN 13 : 0230280838
Total Pages : 417 pages
Book Rating : 4.2/5 (32 download)
Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Author : Aman Ullah
Publisher : Oxford University Press
ISBN 13 : 0198774478
Total Pages : 241 pages
Book Rating : 4.1/5 (987 download)
Download or read book Finite Sample Econometrics written by Aman Ullah and published by Oxford University Press. This book was released on 2004-05-20 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text provides a comprehensive treatment of finite sample statistics and econometrics. Within this framework, the book discusses the basic analytical tools of finite sample econometrics and explores their applications to models covered in a first year graduate course in econometrics.
Author : Christian Francq
Publisher : John Wiley & Sons
ISBN 13 : 1119313570
Total Pages : 517 pages
Book Rating : 4.1/5 (193 download)
Download or read book GARCH Models written by Christian Francq and published by John Wiley & Sons. This book was released on 2019-06-10 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation, and tests. The book also provides new coverage of several extensions such as multivariate models, looks at financial applications, and explores the very validation of the models used. GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd Edition features a new chapter on Parameter-Driven Volatility Models, which covers Stochastic Volatility Models and Markov Switching Volatility Models. A second new chapter titled Alternative Models for the Conditional Variance contains a section on Stochastic Recurrence Equations and additional material on EGARCH, Log-GARCH, GAS, MIDAS, and intraday volatility models, among others. The book is also updated with a more complete discussion of multivariate GARCH; a new section on Cholesky GARCH; a larger emphasis on the inference of multivariate GARCH models; a new set of corrected problems available online; and an up-to-date list of references. Features up-to-date coverage of the current research in the probability, statistics, and econometric theory of GARCH models Covers significant developments in the field, especially in multivariate models Contains completely renewed chapters with new topics and results Handles both theoretical and applied aspects Applies to researchers in different fields (time series, econometrics, finance) Includes numerous illustrations and applications to real financial series Presents a large collection of exercises with corrections Supplemented by a supporting website featuring R codes, Fortran programs, data sets and Problems with corrections GARCH Models, 2nd Edition is an authoritative, state-of-the-art reference that is ideal for graduate students, researchers, and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.
Author : Torben Gustav Andersen
Publisher : Springer Science & Business Media
ISBN 13 : 3540712976
Total Pages : 1045 pages
Book Rating : 4.5/5 (47 download)
Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Author : Johannes Gualtherus Corput
Publisher :
ISBN 13 :
Total Pages : 518 pages
Book Rating : 4.3/5 (243 download)
Download or read book Asymptotic Expansions written by Johannes Gualtherus Corput and published by . This book was released on 1951 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Daniel Straumann
Publisher : Springer Science & Business Media
ISBN 13 : 3540269789
Total Pages : 239 pages
Book Rating : 4.5/5 (42 download)
Download or read book Estimation in Conditionally Heteroscedastic Time Series Models written by Daniel Straumann and published by Springer Science & Business Media. This book was released on 2006-01-27 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: In his seminal 1982 paper, Robert F. Engle described a time series model with a time-varying volatility. Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price. Nowadays ARCH has been replaced by more general and more sophisticated models, such as GARCH (generalized autoregressive heteroscedastic). This monograph concentrates on mathematical statistical problems associated with fitting conditionally heteroscedastic time series models to data. This includes the classical statistical issues of consistency and limiting distribution of estimators. Particular attention is addressed to (quasi) maximum likelihood estimation and misspecified models, along to phenomena due to heavy-tailed innovations. The used methods are based on techniques applied to the analysis of stochastic recurrence equations. Proofs and arguments are given wherever possible in full mathematical rigour. Moreover, the theory is illustrated by examples and simulation studies.
Author : David E. Rapach
Publisher : Emerald Group Publishing
ISBN 13 : 1849505403
Total Pages : 691 pages
Book Rating : 4.8/5 (495 download)
Download or read book Forecasting in the Presence of Structural Breaks and Model Uncertainty written by David E. Rapach and published by Emerald Group Publishing. This book was released on 2008-02-29 with total page 691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
Author : Yong Bao
Publisher :
ISBN 13 :
Total Pages : 430 pages
Book Rating : 4.3/5 (121 download)
Download or read book Essays on Finite Sample Inference and Financial Econometrics written by Yong Bao and published by . This book was released on 2004 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wai-sum Chan
Publisher : World Scientific
ISBN 13 : 1783261668
Total Pages : 396 pages
Book Rating : 4.7/5 (832 download)
Download or read book Statistics And Finance: An Interface - Proceedings Of The Hong Kong International Workshop On Statistics In Finance written by Wai-sum Chan and published by World Scientific. This book was released on 2000-04-28 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contents:Heavy-Tailed and Nonlinear Continuous-Time ARMA Models for Financial Time Series (P J Brockwell)Nonlinear State Space Model Approach to Financial Time Series with Time-Varying Variance (G Kitagawa & S Sato)Nonparametric Estimation and Bootstrap for Financial Time Series (J-P Kreiβ)A Note on Kernel Estimation in Integrated Time Series (Y-C Xia et al.)Stylized Facts on the Temporal and Distributional Properties of Absolute Returns: An Update (C W J Granger et al.)Volatility Computed by Time Series Operators at High Frequency (U A Müller)Missing Values in ARFIMA Models (W Palma)Second Order Tail Effects (C G de Vries)Bayesian Estimation of Stochastic Volatility Model via Scale Mixtures Distributions (S T B Choy & C M Chan)On a Smooth Transition Double Threshold Model (Y N Lee & W K Li)Interval Prediction of Financial Time Series (B Cheng & H Tong)A Decision Theoretic Approach to Forecast Evaluation (C W J Granger & M H Pesaran)Portfolio Management and Market Risk Quantification Using Neural Networks (J Franke)Detecting Structural Changes Using Genetic Programming with an Application to the Greater-China Stock Markets (X B Zhang et al.)and other papers Readership: Researchers in finance, time series analysis, economics and actuarial science, as well as investment bankers, stock market analysts and risk managers. Keywords:Proceedings;Workshop;Statistics;Finance;Hongkong (China)
Author : Ruey S. Tsay
Publisher : John Wiley & Sons
ISBN 13 : 1119264065
Total Pages : 516 pages
Book Rating : 4.1/5 (192 download)
Download or read book Nonlinear Time Series Analysis written by Ruey S. Tsay and published by John Wiley & Sons. This book was released on 2018-09-13 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive resource that draws a balance between theory and applications of nonlinear time series analysis Nonlinear Time Series Analysis offers an important guide to both parametric and nonparametric methods, nonlinear state-space models, and Bayesian as well as classical approaches to nonlinear time series analysis. The authors—noted experts in the field—explore the advantages and limitations of the nonlinear models and methods and review the improvements upon linear time series models. The need for this book is based on the recent developments in nonlinear time series analysis, statistical learning, dynamic systems and advanced computational methods. Parametric and nonparametric methods and nonlinear and non-Gaussian state space models provide a much wider range of tools for time series analysis. In addition, advances in computing and data collection have made available large data sets and high-frequency data. These new data make it not only feasible, but also necessary to take into consideration the nonlinearity embedded in most real-world time series. This vital guide: • Offers research developed by leading scholars of time series analysis • Presents R commands making it possible to reproduce all the analyses included in the text • Contains real-world examples throughout the book • Recommends exercises to test understanding of material presented • Includes an instructor solutions manual and companion website Written for students, researchers, and practitioners who are interested in exploring nonlinearity in time series, Nonlinear Time Series Analysis offers a comprehensive text that explores the advantages and limitations of the nonlinear models and methods and demonstrates the improvements upon linear time series models.
Author : Philip Hans Franses
Publisher : Cambridge University Press
ISBN 13 : 1139952129
Total Pages : 421 pages
Book Rating : 4.1/5 (399 download)
Download or read book Time Series Models for Business and Economic Forecasting written by Philip Hans Franses and published by Cambridge University Press. This book was released on 2014-04-24 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: With a new author team contributing decades of practical experience, this fully updated and thoroughly classroom-tested second edition textbook prepares students and practitioners to create effective forecasting models and master the techniques of time series analysis. Taking a practical and example-driven approach, this textbook summarises the most critical decisions, techniques and steps involved in creating forecasting models for business and economics. Students are led through the process with an entirely new set of carefully developed theoretical and practical exercises. Chapters examine the key features of economic time series, univariate time series analysis, trends, seasonality, aberrant observations, conditional heteroskedasticity and ARCH models, non-linearity and multivariate time series, making this a complete practical guide. Downloadable datasets are available online.
Author : Massimo Guidolin
Publisher : Academic Press
ISBN 13 : 0128134100
Total Pages : 435 pages
Book Rating : 4.1/5 (281 download)
Download or read book Essentials of Time Series for Financial Applications written by Massimo Guidolin and published by Academic Press. This book was released on 2018-05-29 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essentials of Time Series for Financial Applications serves as an agile reference for upper level students and practitioners who desire a formal, easy-to-follow introduction to the most important time series methods applied in financial applications (pricing, asset management, quant strategies, and risk management). Real-life data and examples developed with EViews illustrate the links between the formal apparatus and the applications. The examples either directly exploit the tools that EViews makes available or use programs that by employing EViews implement specific topics or techniques. The book balances a formal framework with as few proofs as possible against many examples that support its central ideas. Boxes are used throughout to remind readers of technical aspects and definitions and to present examples in a compact fashion, with full details (workout files) available in an on-line appendix. The more advanced chapters provide discussion sections that refer to more advanced textbooks or detailed proofs. Provides practical, hands-on examples in time-series econometrics Presents a more application-oriented, less technical book on financial econometrics Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction Features examples worked out in EViews (9 or higher)
Author : Philip Hans Franses
Publisher : Cambridge University Press
ISBN 13 : 0521770416
Total Pages : 299 pages
Book Rating : 4.5/5 (217 download)
Download or read book Non-Linear Time Series Models in Empirical Finance written by Philip Hans Franses and published by Cambridge University Press. This book was released on 2000-07-27 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2000 volume reviews non-linear time series models, and their applications to financial markets.
Author : Yan Liu
Publisher : Springer Nature
ISBN 13 : 9819908035
Total Pages : 591 pages
Book Rating : 4.8/5 (199 download)
Download or read book Research Papers in Statistical Inference for Time Series and Related Models written by Yan Liu and published by Springer Nature. This book was released on 2023-05-31 with total page 591 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book compiles theoretical developments on statistical inference for time series and related models in honor of Masanobu Taniguchi's 70th birthday. It covers models such as long-range dependence models, nonlinear conditionally heteroscedastic time series, locally stationary processes, integer-valued time series, Lévy Processes, complex-valued time series, categorical time series, exclusive topic models, and copula models. Many cutting-edge methods such as empirical likelihood methods, quantile regression, portmanteau tests, rank-based inference, change-point detection, testing for the goodness-of-fit, higher-order asymptotic expansion, minimum contrast estimation, optimal transportation, and topological methods are proposed, considered, or applied to complex data based on the statistical inference for stochastic processes. The performances of these methods are illustrated by a variety of data analyses. This collection of original papers provides the reader with comprehensive and state-of-the-art theoretical works on time series and related models. It contains deep and profound treatments of the asymptotic theory of statistical inference. In addition, many specialized methodologies based on the asymptotic theory are presented in a simple way for a wide variety of statistical models. This Festschrift finds its core audiences in statistics, signal processing, and econometrics.
Author : G. Elliott
Publisher : Elsevier
ISBN 13 : 0444513957
Total Pages : 1071 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of Economic Forecasting written by G. Elliott and published by Elsevier. This book was released on 2006-07-14 with total page 1071 pages. Available in PDF, EPUB and Kindle. Book excerpt: Section headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Forecasting Methods.'.
