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Author : Aaron Smith
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (65 download)
Download or read book Level Shifts and the Illusion of Long Memory in Economic Time Series written by Aaron Smith and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Uwe Hassler
Publisher : John Wiley & Sons
ISBN 13 : 1119470285
Total Pages : 292 pages
Book Rating : 4.1/5 (194 download)
Download or read book Time Series Analysis with Long Memory in View written by Uwe Hassler and published by John Wiley & Sons. This book was released on 2018-09-07 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a simple exposition of the basic time series material, and insights into underlying technical aspects and methods of proof Long memory time series are characterized by a strong dependence between distant events. This book introduces readers to the theory and foundations of univariate time series analysis with a focus on long memory and fractional integration, which are embedded into the general framework. It presents the general theory of time series, including some issues that are not treated in other books on time series, such as ergodicity, persistence versus memory, asymptotic properties of the periodogram, and Whittle estimation. Further chapters address the general functional central limit theory, parametric and semiparametric estimation of the long memory parameter, and locally optimal tests. Intuitive and easy to read, Time Series Analysis with Long Memory in View offers chapters that cover: Stationary Processes; Moving Averages and Linear Processes; Frequency Domain Analysis; Differencing and Integration; Fractionally Integrated Processes; Sample Means; Parametric Estimators; Semiparametric Estimators; and Testing. It also discusses further topics. This book: Offers beginning-of-chapter examples as well as end-of-chapter technical arguments and proofs Contains many new results on long memory processes which have not appeared in previous and existing textbooks Takes a basic mathematics (Calculus) approach to the topic of time series analysis with long memory Contains 25 illustrative figures as well as lists of notations and acronyms Time Series Analysis with Long Memory in View is an ideal text for first year PhD students, researchers, and practitioners in statistics, econometrics, and any application area that uses time series over a long period. It would also benefit researchers, undergraduates, and practitioners in those areas who require a rigorous introduction to time series analysis.
Author : Gilles Teyssière
Publisher : Springer Science & Business Media
ISBN 13 : 3540346252
Total Pages : 394 pages
Book Rating : 4.5/5 (43 download)
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.
Author : Greg N. Gregoriou
Publisher : Springer
ISBN 13 : 0230295215
Total Pages : 214 pages
Book Rating : 4.2/5 (32 download)
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.
Author : Vladas Pipiras
Publisher : Cambridge University Press
ISBN 13 : 1107039460
Total Pages : 693 pages
Book Rating : 4.1/5 (7 download)
Download or read book Long-Range Dependence and Self-Similarity written by Vladas Pipiras and published by Cambridge University Press. This book was released on 2017-04-18 with total page 693 pages. Available in PDF, EPUB and Kindle. Book excerpt: A modern and rigorous introduction to long-range dependence and self-similarity, complemented by numerous more specialized up-to-date topics in this research area.
Author : Panagiotis Andrikopoulos
Publisher : Academic Press
ISBN 13 : 0128038403
Total Pages : 306 pages
Book Rating : 4.1/5 (28 download)
Download or read book Handbook of Frontier Markets written by Panagiotis Andrikopoulos and published by Academic Press. This book was released on 2016-08-05 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Frontier Markets: The European and African Evidence provides novel insights from academic perspectives about the behavior of investors and prices in several frontier markets. It explores finance issues usually reserved for developed and emerging markets in order to gauge whether these issues are relevant and how they manifest themselves in frontier markets. Frontier markets have now become a popular investment class among institutional investors internationally, with major financial services providers establishing index-benchmarks for this market-category. The anticipation for frontier markets is optimistic uncertainty, and many people believe that, given their growth rates, these markets will be economic success stories. Irrespective of their degrees of success, The Handbook of Frontier Markets can help ensure that the increasing international investment diverted to them will aid in their greater integration within the global financial system. Presents topics in the context of frontier markets and uses tests based on established methodologies from finance research Draws from authors who are established university academics Pays particular attention to financial institutions and applications of financial risk models Explores finance issues usually reserved for developed and emerging markets in order to gauge whether these issues are relevant and how they manifest themselves in frontier markets
Author :
Publisher :
ISBN 13 :
Total Pages : 608 pages
Book Rating : 4.0/5 ( download)
Download or read book Journal of Agricultural and Resource Economics written by and published by . This book was released on 2007 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (321 download)
Download or read book Giannini Reporter written by and published by . This book was released on 2007 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hyung Seung Lee
Publisher :
ISBN 13 :
Total Pages : 258 pages
Book Rating : 4.3/5 (129 download)
Download or read book Analysis of Economic Time Series with Long Memory written by Hyung Seung Lee and published by . This book was released on 1995 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jen-je Su
Publisher :
ISBN 13 :
Total Pages : 222 pages
Book Rating : 4.3/5 (129 download)
Download or read book Essays on Economic Time Series written by Jen-je Su and published by . This book was released on 1999 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Terence C. Mills
Publisher : Cambridge University Press
ISBN 13 : 9780521405744
Total Pages : 392 pages
Book Rating : 4.4/5 (57 download)
Download or read book Time Series Techniques for Economists written by Terence C. Mills and published by Cambridge University Press. This book was released on 1990 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: The application of time series techniques in economics has become increasingly important, both for forecasting purposes and in the empirical analysis of time series in general. In this book, Terence Mills not only brings together recent research at the frontiers of the subject, but also analyses the areas of most importance to applied economics. It is an up-to-date text which extends the basic techniques of analysis to cover the development of methods that can be used to analyse a wide range of economic problems. The book analyses three basic areas of time series analysis: univariate models, multivariate models, and non-linear models. In each case the basic theory is outlined and then extended to cover recent developments. Particular emphasis is placed on applications of the theory to important areas of applied economics and on the computer software and programs needed to implement the techniques. This book clearly distinguishes itself from its competitors by emphasising the techniques of time series modelling rather than technical aspects such as estimation, and by the breadth of the models considered. It features many detailed real-world examples using a wide range of actual time series. It will be useful to econometricians and specialists in forecasting and finance and accessible to most practitioners in economics and the allied professions.
Author : M. A. Tieslau
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (596 download)
Download or read book Long Memory Models and Macroeconomic Time Series written by M. A. Tieslau and published by . This book was released on 1991 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : C. S. Bos
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (681 download)
Download or read book Long Memory and Level Shifts: Re-analysing Inflation Rates written by C. S. Bos and published by . This book was released on 1998 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Woosung Lee (writer on economics.)
Publisher :
ISBN 13 :
Total Pages : 592 pages
Book Rating : 4.:/5 (41 download)
Download or read book Do Economic Time Series Really Possess Long Memory? written by Woosung Lee (writer on economics.) and published by . This book was released on 1998 with total page 592 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 638 pages
Book Rating : 4.:/5 (94 download)
Download or read book Long Memory Modelling and Forecasting of Economic Time Series written by and published by . This book was released on 1998 with total page 638 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : J. Hidalgo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (593 download)
Download or read book Improved Inference in Econometric Analysis of Long Memory Time Series written by J. Hidalgo and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chaleampong Kongcharoen
Publisher :
ISBN 13 :
Total Pages : 93 pages
Book Rating : 4.:/5 (914 download)
Download or read book Model Selection and Prediction for Long Memory Models in Economic Time Series written by Chaleampong Kongcharoen and published by . This book was released on 2011 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt:
