Do Economic Time Series Really Possess Long Memory

Download Do Economic Time Series Really Possess Long Memory full books in PDF, epub, and Kindle. Read online Do Economic Time Series Really Possess Long Memory ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!

Modeling Financial Time Series with S-PLUS

Author : Eric Zivot
Publisher : Springer Science & Business Media
ISBN 13 : 0387217630
Total Pages : 632 pages
Book Rating : 4.3/5 (872 download)

DOWNLOAD NOW!

Book Synopsis Modeling Financial Time Series with S-PLUS by : Eric Zivot

Download or read book Modeling Financial Time Series with S-PLUS written by Eric Zivot and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.

Long Memory in Economics

Author : Gilles Teyssière
Publisher : Springer Science & Business Media
ISBN 13 : 3540346252
Total Pages : 394 pages
Book Rating : 4.5/5 (43 download)

DOWNLOAD NOW!

Book Synopsis Long Memory in Economics by : Gilles Teyssière

Download or read book Long Memory in Economics written by Gilles Teyssière and published by Springer Science & Business Media. This book was released on 2006-09-22 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; and models from economic theory providing plausible micro foundations for the occurrence of long memory in economics.

Time Series with Long Memory

Author : Peter M. Robinson
Publisher : Advanced Texts in Econometrics
ISBN 13 : 9780199257300
Total Pages : 396 pages
Book Rating : 4.2/5 (573 download)

DOWNLOAD NOW!

Book Synopsis Time Series with Long Memory by : Peter M. Robinson

Download or read book Time Series with Long Memory written by Peter M. Robinson and published by Advanced Texts in Econometrics. This book was released on 2003 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long memory time series are characterized by a strong dependence between distant events.

Economic Time Series

Author : William R. Bell
Publisher : CRC Press
ISBN 13 : 1439846588
Total Pages : 544 pages
Book Rating : 4.4/5 (398 download)

DOWNLOAD NOW!

Book Synopsis Economic Time Series by : William R. Bell

Download or read book Economic Time Series written by William R. Bell and published by CRC Press. This book was released on 2018-11-14 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic Time Series: Modeling and Seasonality is a focused resource on analysis of economic time series as pertains to modeling and seasonality, presenting cutting-edge research that would otherwise be scattered throughout diverse peer-reviewed journals. This compilation of 21 chapters showcases the cross-fertilization between the fields of time s

Long-Memory Processes

Author : Jan Beran
Publisher : Springer Science & Business Media
ISBN 13 : 3642355129
Total Pages : 892 pages
Book Rating : 4.6/5 (423 download)

DOWNLOAD NOW!

Book Synopsis Long-Memory Processes by : Jan Beran

Download or read book Long-Memory Processes written by Jan Beran and published by Springer Science & Business Media. This book was released on 2013-05-14 with total page 892 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant.

Convolution Copula Econometrics

Author : Umberto Cherubini
Publisher : Springer
ISBN 13 : 3319480154
Total Pages : 99 pages
Book Rating : 4.3/5 (194 download)

DOWNLOAD NOW!

Book Synopsis Convolution Copula Econometrics by : Umberto Cherubini

Download or read book Convolution Copula Econometrics written by Umberto Cherubini and published by Springer. This book was released on 2016-12-01 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a novel approach to time series econometrics, which studies the behavior of nonlinear stochastic processes. This approach allows for an arbitrary dependence structure in the increments and provides a generalization with respect to the standard linear independent increments assumption of classical time series models. The book offers a solution to the problem of a general semiparametric approach, which is given by a concept called C-convolution (convolution of dependent variables), and the corresponding theory of convolution-based copulas. Intended for econometrics and statistics scholars with a special interest in time series analysis and copula functions (or other nonparametric approaches), the book is also useful for doctoral students with a basic knowledge of copula functions wanting to learn about the latest research developments in the field.

The Complex Networks of Economic Interactions

Author : Akira Namatame
Publisher : Springer Science & Business Media
ISBN 13 : 3540287272
Total Pages : 345 pages
Book Rating : 4.5/5 (42 download)

DOWNLOAD NOW!

Book Synopsis The Complex Networks of Economic Interactions by : Akira Namatame

Download or read book The Complex Networks of Economic Interactions written by Akira Namatame and published by Springer Science & Business Media. This book was released on 2006-03-09 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the mechanism of a socio-economic system requires more than an understanding of the individuals that comprise the system. It also requires understanding how individuals interact with each other, and how the agg- gated outcome can be more than the sum of individual behaviors. This book contains the papers fostering the formation of an active multi-disciplinary community on socio-economic systems with the exciting new ?elds of age- based modeling and econophysics. We especially intend to increase the awareness of researchers in many ?elds with sharing the common view many economic and social activities as collectives of a large-scale heterogeneous and interacting agents. Economists seek to understand not only how individuals behave but also how the interaction of many individuals leads to complex outcomes. Age- based modeling is a method for studying socio-economic systems exhibiting the following two properties: (1) the system is composed of interacting agents, and (2) the system exhibits emergent properties, that is, properties arising from the interactions of the agents that cannot be deduced simply by agg- gating the properties of the system’s components. When the interaction of the agents is contingent on past experience, and especially when the agents continually adapt to that experience, mathematical analysis is typically very limited in its ability to derive the outcome.

Commodity Modeling and Pricing

Author : Peter V. Schaeffer
Publisher : John Wiley & Sons
ISBN 13 : 047031723X
Total Pages : 345 pages
Book Rating : 4.4/5 (73 download)

DOWNLOAD NOW!

Book Synopsis Commodity Modeling and Pricing by : Peter V. Schaeffer

Download or read book Commodity Modeling and Pricing written by Peter V. Schaeffer and published by John Wiley & Sons. This book was released on 2008-10-06 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity Modeling and Pricing provides extensions and applications of state-of-the-art methods for analyzing resource commodity behavior. Drawing from the seminal work of Professor Walter Labys on the development of econometric methods for forecasting commodity prices, this collection of essays features expert contributors ranging from practitioners in private industry, public sector, and nongovernmental organizations to scholars in higher education–all of whom were Labys's former students or collaborators. Filled with in-depth insights and expert advice, Commodity Modeling and Pricing contains the information you need to excel in this demanding environment.

Time Series and Panel Data Econometrics

Author : M. Hashem Pesaran
Publisher : Oxford University Press
ISBN 13 : 0191058475
Total Pages : 1443 pages
Book Rating : 4.1/5 (91 download)

DOWNLOAD NOW!

Book Synopsis Time Series and Panel Data Econometrics by : M. Hashem Pesaran

Download or read book Time Series and Panel Data Econometrics written by M. Hashem Pesaran and published by Oxford University Press. This book was released on 2015-10-01 with total page 1443 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual. It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.

The Electronic Call Auction: Market Mechanism and Trading

Author : Robert A. Schwartz
Publisher : Springer Science & Business Media
ISBN 13 : 1461516978
Total Pages : 457 pages
Book Rating : 4.4/5 (615 download)

DOWNLOAD NOW!

Book Synopsis The Electronic Call Auction: Market Mechanism and Trading by : Robert A. Schwartz

Download or read book The Electronic Call Auction: Market Mechanism and Trading written by Robert A. Schwartz and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt: ROBERT A. SCHWARTZ The primary objective of this book is to consider how the inclusion of electronic call auction trading would affect the performance of our U.S. equity markets. The papers it contains focus on the call auction and its role in a hybrid market struc ture. The purpose is to increase understanding of this trading environment, and to consider the design of a more efficient stock market. This book had its origin in a symposium, Electronic Call Market Trading, that was held at New York University's Salomon Center on April 20, 1995. Nearly 150 people from 16 different countries attended. At the time, three proprietary trading systems based on call auction principles (The Arizona Stock Exchange, Posit, and Instinet's Crossing Network) had been operating for several years and interest already existed in the procedure. Since the symposium, increasing use has been made of call auctions, primarily by the ParisBourse in its Nouveau Marchi: and CAC markets, by Deutsche Borse in its Xetra market, and in the U.S. by OptiMark. Rather than being used as stand alone systems, however, call auctions are now being interfaced with continuous markets so as to produce hybrid market structures, a development that is given considerable attention to in a number of the chapters in this book.

Statistical Models and Methods for Financial Markets

Author : Tze Leung Lai
Publisher : Springer Science & Business Media
ISBN 13 : 0387778276
Total Pages : 363 pages
Book Rating : 4.3/5 (877 download)

DOWNLOAD NOW!

Book Synopsis Statistical Models and Methods for Financial Markets by : Tze Leung Lai

Download or read book Statistical Models and Methods for Financial Markets written by Tze Leung Lai and published by Springer Science & Business Media. This book was released on 2008-09-08 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: The idea of writing this bookarosein 2000when the ?rst author wasassigned to teach the required course STATS 240 (Statistical Methods in Finance) in the new M. S. program in ?nancial mathematics at Stanford, which is an interdisciplinary program that aims to provide a master’s-level education in applied mathematics, statistics, computing, ?nance, and economics. Students in the programhad di?erent backgroundsin statistics. Some had only taken a basic course in statistical inference, while others had taken a broad spectrum of M. S. - and Ph. D. -level statistics courses. On the other hand, all of them had already taken required core courses in investment theory and derivative pricing, and STATS 240 was supposed to link the theory and pricing formulas to real-world data and pricing or investment strategies. Besides students in theprogram,thecoursealso attractedmanystudentsfromother departments in the university, further increasing the heterogeneity of students, as many of them had a strong background in mathematical and statistical modeling from the mathematical, physical, and engineering sciences but no previous experience in ?nance. To address the diversity in background but common strong interest in the subject and in a potential career as a “quant” in the ?nancialindustry,thecoursematerialwascarefullychosennotonlytopresent basic statistical methods of importance to quantitative ?nance but also to summarize domain knowledge in ?nance and show how it can be combined with statistical modeling in ?nancial analysis and decision making. The course material evolved over the years, especially after the second author helped as the head TA during the years 2004 and 2005.

Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration

Author : Greg N. Gregoriou
Publisher : Springer
ISBN 13 : 0230295215
Total Pages : 214 pages
Book Rating : 4.2/5 (32 download)

DOWNLOAD NOW!

Book Synopsis Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration by : Greg N. Gregoriou

Download or read book Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration written by Greg N. Gregoriou and published by Springer. This book was released on 2010-12-08 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.

Nonlinear Dynamics and Time Series

Author : Colleen D. Cutler
Publisher : American Mathematical Soc.
ISBN 13 : 9780821871195
Total Pages : 266 pages
Book Rating : 4.8/5 (711 download)

DOWNLOAD NOW!

Book Synopsis Nonlinear Dynamics and Time Series by : Colleen D. Cutler

Download or read book Nonlinear Dynamics and Time Series written by Colleen D. Cutler and published by American Mathematical Soc.. This book was released on with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Lars Ahlfors's Lectures on Quasiconformal Mappings, based on a course he gave at Harvard University in the spring term of 1964, was first published in 1966 and was soon recognized as the classic it was shortly destined to become. These lectures develop the theory of quasiconformal mappings from scratch, give a self-contained treatment of the Beltrami equation, and cover the basic properties of Teichmuller spaces, including the Bers embedding and the Teichmuller curve. It isremarkable how Ahlfors goes straight to the heart of the matter, presenting major results with a minimum set of prerequisites. Many graduate students and other mathematicians have learned the foundations of the theories of quasiconformal mappings and Teichmuller spaces from these lecture notes. This editionincludes three new chapters. The first, written by Earle and Kra, describes further developments in the theory of Teichmuller spaces and provides many references to the vast literature on Teichmuller spaces and quasiconformal mappings. The second, by Shishikura, describes how quasiconformal mappings have revitalized the subject of complex dynamics. The third, by Hubbard, illustrates the role of these mappings in Thurston's theory of hyperbolic structures on 3-manifolds. Together, these threenew chapters exhibit the continuing vitality and importance of the theory of quasiconformal mappings. This book is a collection of research and expository papers reflecting the interfacing of two fields: nonlinear dynamics (in the physiological and biological sciences) and statistics. It presents theproceedings of a four-day workshop entitled ''Nonlinear Dynamics and Time Series: Building a Bridge Between the Natural and Statistical Sciences'' held at the Centre de Recherches Mathematiques (CRM) in Montreal in July 1995. The goal of the workshop was to provide an exchange forum and to create a link between two diverse groups with a common interest in the analysis of nonlinear time series data. The editors and peer reviewers of this work have attempted to minimize the problems ofmaintaining communication between the different scientific fields. The result is a collection of interrelated papers that highlight current areas of research in statistics that might have particular applicability to nonlinear dynamics and new methodology and open data analysis problems in nonlinear dynamicsthat might find their way into the toolkits and research interests of statisticians. Features: A survey of state-of-the-art developments in nonlinear dynamics time series analysis with open statistical problems and areas for further research. Contributions by statisticians to understanding and improving modern techniques commonly associated with nonlinear time series analysis, such as surrogate data methods and estimation of local Lyapunov exponents. Starting point for both scientists andstatisticians who want to explore the field. Expositions that are readable to scientists outside the featured fields of specialization. Information for our distributors: Titles in this series are copublished with the Fields Institute for Research in Mathematical Sciences (Toronto, Ontario,Canada).

Nonlinear Dynamics and Time Series

Author :
Publisher : American Mathematical Soc.
ISBN 13 : 0821841858
Total Pages : 262 pages
Book Rating : 4.8/5 (218 download)

DOWNLOAD NOW!

Book Synopsis Nonlinear Dynamics and Time Series by :

Download or read book Nonlinear Dynamics and Time Series written by and published by American Mathematical Soc.. This book was released on 2006 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: Lars Ahlfors's Lectures on Quasiconformal Mappings, based on a course he gave at Harvard University in the spring term of 1964, was first published in 1966 and was soon recognized as the classic it was shortly destined to become. These lectures develop the theory of quasiconformal mappings from scratch, give a self-contained treatment of the Beltrami equation, and cover the basic properties of Teichmuller spaces, including the Bers embedding and the Teichmuller curve. It isremarkable how Ahlfors goes straight to the heart of the matter, presenting major results with a minimum set of prerequisites. Many graduate students and other mathematicians have learned the foundations of the theories of quasiconformal mappings and Teichmuller spaces from these lecture notes. This editionincludes three new chapters. The first, written by Earle and Kra, describes further developments in the theory of Teichmuller spaces and provides many references to the vast literature on Teichmuller spaces and quasiconformal mappings. The second, by Shishikura, describes how quasiconformal mappings have revitalized the subject of complex dynamics. The third, by Hubbard, illustrates the role of these mappings in Thurston's theory of hyperbolic structures on 3-manifolds. Together, these threenew chapters exhibit the continuing vitality and importance of the theory of quasiconformal mappings. This book is a collection of research and expository papers reflecting the interfacing of two fields: nonlinear dynamics (in the physiological and biological sciences) and statistics. It presents theproceedings of a four-day workshop entitled ``Nonlinear Dynamics and Time Series: Building a Bridge Between the Natural and Statistical Sciences'' held at the Centre de Recherches Mathematiques (CRM) in Montreal in July 1995. The goal of the workshop was to provide an exchange forum and to create a link between two diverse groups with a common interest in the analysis of nonlinear time series data. The editors and peer reviewers of this work have attempted to minimize the problems ofmaintaining communication between the different scientific fields. The result is a collection of interrelated papers that highlight current areas of research in statistics that might have particular applicability to nonlinear dynamics and new methodology and open data analysis problems in nonlinear dynamicsthat might find their way into the toolkits and research interests of statisticians. Features: A survey of state-of-the-art developments in nonlinear dynamics time series analysis with open statistical problems and areas for further research. Contributions by statisticians to understanding and improving modern techniques commonly associated with nonlinear time series analysis, such as surrogate data methods and estimation of local Lyapunov exponents. Starting point for both scientists andstatisticians who want to explore the field. Expositions that are readable to scientists outside the featured fields of specialization. Information for our distributors: Titles in this series are copublished with the Fields Institute for Research in Mathematical Sciences (Toronto, Ontario,Canada).

Advances in Economics and Econometrics

Author : Econometric Society. World Congress
Publisher : Cambridge University Press
ISBN 13 : 1107016061
Total Pages : 633 pages
Book Rating : 4.1/5 (7 download)

DOWNLOAD NOW!

Book Synopsis Advances in Economics and Econometrics by : Econometric Society. World Congress

Download or read book Advances in Economics and Econometrics written by Econometric Society. World Congress and published by Cambridge University Press. This book was released on 2013-05-27 with total page 633 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third volume of edited papers from the Tenth World Congress of the Econometric Society 2010.

Advances in Economics and Econometrics: Volume 3, Econometrics

Author : Daron Acemoglu
Publisher : Cambridge University Press
ISBN 13 : 1107717825
Total Pages : 633 pages
Book Rating : 4.1/5 (77 download)

DOWNLOAD NOW!

Book Synopsis Advances in Economics and Econometrics: Volume 3, Econometrics by : Daron Acemoglu

Download or read book Advances in Economics and Econometrics: Volume 3, Econometrics written by Daron Acemoglu and published by Cambridge University Press. This book was released on 2013-05-13 with total page 633 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the third of three volumes containing edited versions of papers and commentaries presented at invited symposium sessions of the Tenth World Congress of the Econometric Society, held in Shanghai in August 2010. The papers summarize and interpret key developments in economics and econometrics, and they discuss future directions for a wide variety of topics, covering both theory and application. Written by the leading specialists in their fields, these volumes provide a unique, accessible survey of progress on the discipline. The first volume primarily addresses economic theory, with specific focuses on nonstandard markets, contracts, decision theory, communication and organizations, epistemics and calibration, and patents.

Econometrics

Author : K. Nirmal Ravi Kumar
Publisher : CRC Press
ISBN 13 : 1000096653
Total Pages : 709 pages
Book Rating : 4.0/5 ( download)

DOWNLOAD NOW!

Book Synopsis Econometrics by : K. Nirmal Ravi Kumar

Download or read book Econometrics written by K. Nirmal Ravi Kumar and published by CRC Press. This book was released on 2020-07-01 with total page 709 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book harbors an updated and standard material on the various aspects of Econometrics. It covers both fundamental and applied aspects and is intended to serve as a basis for a course in Econometrics and attempts at satisfying a need of postgraduate and doctoral students of Economics. It is hoped that, this book will also be worthwhile to teachers, researchers, professionals etc. Note: T& F does not sell or distribute the Hardback in India, Pakistan, Nepal, Bhutan, Bangladesh and Sri Lanka.