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Essays In Nonlinear Econometrics
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Book Synopsis Essays in Nonlinear Time Series Econometrics by : Niels Haldrup
Download or read book Essays in Nonlinear Time Series Econometrics written by Niels Haldrup and published by OUP Oxford. This book was released on 2014-06-26 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
Book Synopsis Essays in Nonlinear, Nonstationary Time Series Econometrics by : Mark Joseph Dwyer
Download or read book Essays in Nonlinear, Nonstationary Time Series Econometrics written by Mark Joseph Dwyer and published by . This book was released on 1995 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Non-linear Econometrics by : Sang-Won Lee
Download or read book Essays on Non-linear Econometrics written by Sang-Won Lee and published by . This book was released on 1992 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Nonlinear Econometric Time Series Modelling by : Christian Møller Dahl
Download or read book Essays on Nonlinear Econometric Time Series Modelling written by Christian Møller Dahl and published by . This book was released on 2000 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Nonlinear Economic Dynamics and Financial Modelling by : Roberto Dieci
Download or read book Nonlinear Economic Dynamics and Financial Modelling written by Roberto Dieci and published by Springer. This book was released on 2014-07-26 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.
Book Synopsis Essays in Econometrics by : Clive W. J. Granger
Download or read book Essays in Econometrics written by Clive W. J. Granger and published by Cambridge University Press. This book was released on 2001-07-23 with total page 548 pages. Available in PDF, EPUB and Kindle. Book excerpt: These are econometrician Clive W. J. Granger's major essays in spectral analysis, seasonality, nonlinearity, methodology, and forecasting.
Book Synopsis Nonlinear Dynamics in Economics, Finance and the Social Sciences by : Gian Italo Bischi
Download or read book Nonlinear Dynamics in Economics, Finance and the Social Sciences written by Gian Italo Bischi and published by Springer Science & Business Media. This book was released on 2009-12-15 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last two decades there has been a great deal of research into nonlinear dynamic models in economics, finance and the social sciences. This book contains twenty papers that range over very recent applications in these areas. Topics covered include structural change and economic growth, disequilibrium dynamics and economic policy as well as models with boundedly rational agents. The book illustrates some of the most recent research tools in this area and will be of interest to economists working in economic dynamics and to mathematicians interested in seeing ideas from nonlinear dynamics and complexity theory applied to the economic sciences.
Book Synopsis Essays in Honor of Joon Y. Park by : Yoosoon Chang
Download or read book Essays in Honor of Joon Y. Park written by Yoosoon Chang and published by Emerald Group Publishing. This book was released on 2023-04-24 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.
Book Synopsis Three Essays on Nonlinear Time-series Econometrics by : Charles Shaw
Download or read book Three Essays on Nonlinear Time-series Econometrics written by Charles Shaw and published by . This book was released on 2019 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is submitted ...
Book Synopsis Essays in Nonlinear Dynamics in Economics and Econometrics by :
Download or read book Essays in Nonlinear Dynamics in Economics and Econometrics written by and published by . This book was released on 2014 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This thesis explores the highly nonlinear profile of the modern financial world and assesses its relevance in monetary policy conduct and macroprudential supervision. It focuses on three possible different origins of nonlinear structures. Firstly, we study the role of the heterogeneous and boundedly rational expectations in driving the aggregate economic dynamics. Secondly, we investigate the irregularities of probability distributions and their consequences for quantitative inference. Thirdly, we assess the behavior of the global asset network through a prism of complex systems. Because of its extraordina1y relevance in the real world, a lot of attention is being paid to the banking side of the economy. The practical goal of this thesis is to provide the tools and general directions on how to incorporate possible nonlinear dependencies into existing economic modeling techniques. In times of very non-standard policy actions, these tools might prove to be of great importance as they offer more robust and flexible approaches to financial modeling and forecasting."--Samenvatting auteur.
Book Synopsis Growth Theory, Nonlinear Dynamics, and Economic Modelling by : William A. Brock
Download or read book Growth Theory, Nonlinear Dynamics, and Economic Modelling written by William A. Brock and published by Edward Elgar Publishing. This book was released on 2001-01-01 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Buz Brock's contribution to economic theory in general and economic dynamics in particular are characterized by an unmatched richness of ideas and by deep theoretical, empirical as well as computational analysis. Brock's contribution to economic dynamics range from one extreme of the field, global stability of stochastic optimal growth models, to another extreme, market instability and nonlinearity in economic and financial modelling and data analysis. But his work also includes environmental and economic policy issues and, more recently, the modelling of markets as complex adaptive systems. This collection of essays reflects Brock's richness of ideas that have motivated economists for more than three decades already and will continue to influence many economists for the next decades to come.' - Cars H. Hommes, University of Amsterdam, The Netherlands 'Buz Brock has been, from the beginning of his career, one of the most original thinkers in dynamic economics. His early work showed that growth with random elements could be studied effectively and above all posed exactly the right questions. His more recent work has brought complexity theory to the fore and shown its implications for financial and other markets. In the process, he has both introduced and used econometric tools to show the relevance of his work to empirically observed phenomena. It is very useful to have his work in collected form.' - Kenneth J. Arrow, Stanford University, US This outstanding collection of William Brock's essays illustrates the power of dynamic modelling to shed light on the forces for stability and instability in economic systems. The articles selected reflect his best work and are indicative both of the type of policy problem that he finds challenging and the complex methodology that he uses to solve them. Also included is an introduction by Brock to his own work, which helps tie together the main aspects of his research to date.
Book Synopsis Three Essays on Nonlinear Time Series Econometrics by : Zhengfeng Guo
Download or read book Three Essays on Nonlinear Time Series Econometrics written by Zhengfeng Guo and published by . This book was released on 2011 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Nonlinear Econometrics by : Jacob Warren
Download or read book Essays in Nonlinear Econometrics written by Jacob Warren and published by . This book was released on 2017 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I study standard models, but investigate the necessity of (possibly large) deviations from basic assumptions. In Chapter 1, my co-author Ross Askanazi and I revisit the use of factor models in finance. Historical literature on the subject decomposes volatility into a factor component (systemic risk) and a remainder (idiosyncratic risk). Recent work has suggested that a market shock to volatility may increase both systemic risk and idiosyncratic risk--specifically, that idiosyncratic volatility of US equities data has a factor structure, with the factor highly correlated with, and possibly precisely the market volatility. In this paper we attempt to characterize the underlying factor and find that it can be decomposed into a statistical (PCA) and structural (market volatility) factor. We also show that this feature is more common than expected, appearing in diverse sets of financial data. Lastly, we find that this dual-factor approach is slightly dominated in forecasting environments by a single statistical factor. In Chapter 2 I revisit the classical Vector Autoregression (VAR) model, but allow parameters to time-vary. Time-Varying parameter models have be- come more popular in recent years, especially as they are adapted to accommodate larger datasets. However, all recent developments use standard priors, specifically the Inverse-Wishart class of priors over the parameter error covariance matrix. In this paper, I show that Inverse-Wishart priors have a number of negative properties, and that those properties are salient in a TVP context since there is little information from the likelihood. Fully aware of these deficiencies, the Bayesian Random Effects literature has developed a series of uninformative priors to correct these weaknesses. In this paper, I adapt one of those priors into an informative and easily understandable prior for covariances. I show that the new prior effects posterior inference and displays improved frequentist properties. I apply my prior to the canonical Primiceri (2005) dataset and find that their results were sensitive to the choice of prior. I further apply the prior to two forecasting exercises and find that while it improves forecasts for the Primiceri data, it does not for an alternative (larger) dataset.
Book Synopsis Three Essays on Nonlinear Time-series Econometrics by : Novella Maugeri
Download or read book Three Essays on Nonlinear Time-series Econometrics written by Novella Maugeri and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Identification and Inference for Econometric Models by : Donald W. K. Andrews
Download or read book Identification and Inference for Econometric Models written by Donald W. K. Andrews and published by Cambridge University Press. This book was released on 2005-07-04 with total page 589 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.
Book Synopsis Three Essays on Nonlinear Nonstationary Econometrics and Applied Macroeconomics by : Youngsoo Bae
Download or read book Three Essays on Nonlinear Nonstationary Econometrics and Applied Macroeconomics written by Youngsoo Bae and published by . This book was released on 2006 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Sunspots and Non-Linear Dynamics by : Kazuo Nishimura
Download or read book Sunspots and Non-Linear Dynamics written by Kazuo Nishimura and published by Springer. This book was released on 2016-12-03 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the state-of-the-art in non-linear dynamics and sunspots. These two topics have been the core of an international conference on instability and public policies in a globalized world, organized at Aix-Marseille School of Economics and GREQAM in honor of Jean-Michel Grandmont. He has made significant contributions on general equilibrium theory, monetary theory, learning, aggregation, non-linear dynamics and sunspots. This book assembles contributions by Jean-Michel Grandmont's colleagues, students and friends that have been influenced by his works and that are at the frontier of research in this domain today.
