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Econometric Analysis Of Discrete Valued Irregularly Spaced Financial Transactions Data Using A New Autoregressive Conditional Multinomial Model
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Book Synopsis Econometric Analysis of Irregularly-spaced Transaction Data Using a New Class of Accelerated Failure Time Models with Application to Financial Transaction Data by : Jeffrey R. Russell
Download or read book Econometric Analysis of Irregularly-spaced Transaction Data Using a New Class of Accelerated Failure Time Models with Application to Financial Transaction Data written by Jeffrey R. Russell and published by . This book was released on 1996 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Econometrics by : Christian Gourieroux
Download or read book Financial Econometrics written by Christian Gourieroux and published by Princeton University Press. This book was released on 2022-12-13 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a fast expansion of financial markets and an increasing variety and complexity of financial products. This has fueled the demand for people with advanced econometrics skills. For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field's frontier. With the goal of providing information that is absolutely up-to-date—essential in today's rapidly evolving financial environment—Gourieroux and Jasiak focus on methods related to foregoing research and those modeling techniques that seem relevant to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies. Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors. This authoritative, state-of-the-art reference text is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models. All will benefit from the emphasis on practical aspects of financial modeling and statistical inference. Doctoral candidates will appreciate the inclusion of detailed mathematical derivations of the deeper results as well as the more advanced problems concerning high-frequency data and risk control. By establishing a link between practical questions and the answers provided by financial and statistical theory, the book also addresses the needs of applied researchers employed by financial institutions.
Book Synopsis Econometric Studies by : Joachim Frohn
Download or read book Econometric Studies written by Joachim Frohn and published by LIT Verlag Münster. This book was released on 2001 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Douglas M. Patterson Publisher :Springer Science & Business Media ISBN 13 :9780792386742 Total Pages :224 pages Book Rating :4.3/5 (867 download)
Book Synopsis A Nonlinear Time Series Workshop by : Douglas M. Patterson
Download or read book A Nonlinear Time Series Workshop written by Douglas M. Patterson and published by Springer Science & Business Media. This book was released on 2000 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis ofwhat might be called "dynamic nonlinearity" in time series has its roots in the pioneering work ofBrillinger (1965) - who first pointed out how the bispectrum and higher order polyspectra could, in principle, be used to test for nonlinear serial dependence - and in Subba Rao and Gabr (1980) and Hinich (1982) who each showed how Brillinger's insight could be translated into a statistical test. Hinich's test, because ittakes advantage ofthe large sample statisticalpropertiesofthe bispectral estimates became the first usable statistical test for nonlinear serial dependence. We are forever grateful to Mel Hinich for getting us involved at that time in this fascinating and fruitful endeavor. With help from Mel (sometimes as amentor, sometimes as acollaborator) we developed and applied this bispectral test in the ensuing period. The first application ofthe test was to daily stock returns {Hinich and Patterson (1982, 1985)} yielding the important discovery of substantial nonlinear serial dependence in returns, over and above the weak linear serial dependence that had been previously observed. The original manuscript met with resistance from finance journals, no doubt because finance academics were reluctant to recognize the importance of distinguishing between serial correlation and nonlinear serial dependence. In Ashley, Patterson and Hinich (1986) we examined the power and sizeofthe test in finite samples.
Book Synopsis Econometric Modelling of Stock Market Intraday Activity by : Luc Bauwens
Download or read book Econometric Modelling of Stock Market Intraday Activity written by Luc Bauwens and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled.
Book Synopsis High Frequency Financial Econometrics by : Luc Bauwens
Download or read book High Frequency Financial Econometrics written by Luc Bauwens and published by Springer Science & Business Media. This book was released on 2007-12-31 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.
Book Synopsis A Class of Partially-observed Models with Discrete, Clustering and Non-clustering Noises by : Yong Zeng
Download or read book A Class of Partially-observed Models with Discrete, Clustering and Non-clustering Noises written by Yong Zeng and published by . This book was released on 1999 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Journal of Empirical Finance written by and published by . This book was released on 2002 with total page 658 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Statistical Modelling and Regression Structures by : Thomas Kneib
Download or read book Statistical Modelling and Regression Structures written by Thomas Kneib and published by Springer Science & Business Media. This book was released on 2010-01-12 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: The contributions collected in this book have been written by well-known statisticians to acknowledge Ludwig Fahrmeir's far-reaching impact on Statistics as a science, while celebrating his 65th birthday. The contributions cover broad areas of contemporary statistical model building, including semiparametric and geoadditive regression, Bayesian inference in complex regression models, time series modelling, statistical regularization, graphical models and stochastic volatility models.
Book Synopsis Three Essays on the Prediction and Identification of Currency Crises by : Pauline Kennedy
Download or read book Three Essays on the Prediction and Identification of Currency Crises written by Pauline Kennedy and published by . This book was released on 2003 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Annales d'économie et de statistique by :
Download or read book Annales d'économie et de statistique written by and published by . This book was released on 2000 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Working Paper Series written by and published by . This book was released on 2000 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Contents of Recent Economics Journals by :
Download or read book Contents of Recent Economics Journals written by and published by . This book was released on 1998-12-31 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dissertation Abstracts International by :
Download or read book Dissertation Abstracts International written by and published by . This book was released on 1997 with total page 584 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstracts of dissertations available on microfilm or as xerographic reproductions.
Download or read book Mathematical Reviews written by and published by . This book was released on 2005 with total page 700 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Count Time Series by : Konstantinos Fokianos
Download or read book Count Time Series written by Konstantinos Fokianos and published by CRC Press. This book was released on 2020-06-30 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirische Wirtschaftsforschung by : Wolfgang Franz
Download or read book Empirische Wirtschaftsforschung written by Wolfgang Franz and published by . This book was released on 2003 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: Die Schriftenreihe des Wirtschaftswissenschaftlichen Seminars Ottobeuren publiziert alle Referate, die auf den Wirtschaftswissenschaftlichen Seminaren in Ottobeuren vorgetragen werden. Ziel der Seminare ist es, in einem Kreis ausgewiesener Experten neue theoretische Ansätze vorzustellen, neue empirische Befunde vorzulegen und wirtschaftspolitische Schlußfolgerungen zu erörtern. In diesem Band werden neueste ökonometrische Verfahren und deren Anwendungsmöglichkeiten in der empirischen Wirtschaftsforschung diskutiert. Außerdem werden ökonometrische Analysen von Güter-, Finanz- und Arbeitsmärkten vorgestellt und u.a. Evaluationen der staatlichen Arbeitsmarktpolitik, der Umweltpolitik oder der Forschungs- und Technologiepolitik vorgenommen. Mit Beiträgen von: Olaf Hübler, Norbert Janz, Gerd Ronning, Jürgen Wolters, Helmut Lütkepohl, Werner Smolny, Peter Winker, Horst Entorf, François Laisney, Christoph Böhringer, Wolfgang Wiegard, Klaus Conrad, Klaus Jaeger, Winfried Pohlmeier, Roman Liesenfeld, Michael Schröder, Michael Lechner, Wolfgang Franz, Georg Licht, Manfred Stadler, Gebhard Flaig, Reinhard Hujer, Bernd Fitzenberger, Frank Reize, Joachim Möller, Friedhelm Pfeiffer, Harald Uhlig und Jörg Breitung.
