Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download On Cointegration And Persistence full books in PDF, epub, and Kindle. Read online On Cointegration And Persistence ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Shakir Hussain
Publisher :
ISBN 13 :
Total Pages : 234 pages
Book Rating : 4.F/5 ( download)
Download or read book On Cointegration and Persistence written by Shakir Hussain and published by . This book was released on 1995 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Matthew Clegg
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (13 download)
Download or read book On the Persistence of Cointegration in Pairs Trading written by Matthew Clegg and published by . This book was released on 2014 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: An exploratory study is conducted to assess the persistence of cointegration among U.S. equities. In other words, if a pair of equities is found to be cointegrated in one period, is it likely that it will be found to be cointegrated in the subsequent period? An examination is performed of pairs formed from constituents of the S&P 500 during each of the calendar years 2002-2012, comprising over 860,000 pairs in total. The evidence does not support the hypothesis that cointegration is a persistent property.
Author : Garth A. Renne
Publisher :
ISBN 13 :
Total Pages : 146 pages
Book Rating : 4.:/5 (15 download)
Download or read book Persistence and Cointegration in GDP Time Series written by Garth A. Renne and published by . This book was released on 1992 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
![Download Persistence and Cointegration in GDP Time Series [microform] PDF Online Free](https://books.google.com/books/content/images/frontcover/xmKsSgAACAAJ?fife=w200-h370)
Author : Garth A. (Garth Andrew) Renne
Publisher : National Library of Canada = Bibliothèque nationale du Canada
ISBN 13 :
Total Pages : 146 pages
Book Rating : 4.:/5 (15 download)
Download or read book Persistence and Cointegration in GDP Time Series [microform] written by Garth A. (Garth Andrew) Renne and published by National Library of Canada = Bibliothèque nationale du Canada. This book was released on 1992 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : M. Hashem Pesaran
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (258 download)
Download or read book Persistence, Cointegration and Aggregation written by M. Hashem Pesaran and published by . This book was released on 1990 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gilles Dufrénot
Publisher : Springer Science & Business Media
ISBN 13 : 1475736150
Total Pages : 319 pages
Book Rating : 4.4/5 (757 download)
Download or read book Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance written by Gilles Dufrénot and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an introductory exposition of different topics that emerged in the literature as unifying themes between two fields of econometrics of time series, namely nonlinearity and nonstationarity. Papers on these topics have exploded over the last two decades, but they are rarely ex amined together. There is, undoubtedly, a variety of arguments that justify such a separation. But there are also good reasons that motivate their combination. People who are reluctant to a combined analysis might argue that nonlinearity and nonstationarity enhance non-trivial problems, so their combination does not stimulate interest in regard to plausibly increased difficulties. This argument can, however, be balanced by other ones of an economic nature. A predominant idea, today, is that a nonstationary series exhibits persistent deviations from its long-run components (either deterministic or stochastic trends). These persistent deviations are modelized in various ways: unit root models, fractionally integrated processes, models with shifts in the time trend, etc. However, there are many other behaviors inherent to nonstationary processes, that are not reflected in linear models. For instance, economic variables with mixture distributions, or processes that are state-dependent, undergo episodes of changing dynamics. In models with multiple long-run equi libria, the moving from an equilibrium to another sometimes implies hys teresis. Also, it is known that certain shocks can change the economic fundamentals, thereby reducing the possibility that an initial position is re-established after a shock (irreversibility).
Author : M. Hashem Pesaran
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (61 download)
Download or read book Persistence, Cointegration and Aggregation written by M. Hashem Pesaran and published by . This book was released on 1990 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Katarina Juselius
Publisher : MDPI
ISBN 13 : 3038429554
Total Pages : 219 pages
Book Rating : 4.0/5 (384 download)
Download or read book Recent Developments in Cointegration written by Katarina Juselius and published by MDPI. This book was released on 2018-07-05 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Recent Developments in Cointegration" that was published in Econometrics
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 : Claudia Grote
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (115 download)
Download or read book Essays on Testing for Nonlinearity in Time Series : Issues in Nonlinear Cointegration, Structural Breaks and Changes in Persistence written by Claudia Grote and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : G. S. Maddala
Publisher : Cambridge University Press
ISBN 13 : 9780521587822
Total Pages : 528 pages
Book Rating : 4.5/5 (878 download)
Download or read book Unit Roots, Cointegration, and Structural Change written by G. S. Maddala and published by Cambridge University Press. This book was released on 1998 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author : Marco Corazza
Publisher : Springer
ISBN 13 : 3319898248
Total Pages : 465 pages
Book Rating : 4.3/5 (198 download)
Download or read book Mathematical and Statistical Methods for Actuarial Sciences and Finance written by Marco Corazza and published by Springer. This book was released on 2018-07-17 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: The interaction between mathematicians, statisticians and econometricians working in actuarial sciences and finance is producing numerous meaningful scientific results. This volume introduces new ideas, in the form of four-page papers, presented at the international conference Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF), held at Universidad Carlos III de Madrid (Spain), 4th-6th April 2018. The book covers a wide variety of subjects in actuarial science and financial fields, all discussed in the context of the cooperation between the three quantitative approaches. The topics include: actuarial models; analysis of high frequency financial data; behavioural finance; carbon and green finance; credit risk methods and models; dynamic optimization in finance; financial econometrics; forecasting of dynamical actuarial and financial phenomena; fund performance evaluation; insurance portfolio risk analysis; interest rate models; longevity risk; machine learning and soft-computing in finance; management in insurance business; models and methods for financial time series analysis, models for financial derivatives; multivariate techniques for financial markets analysis; optimization in insurance; pricing; probability in actuarial sciences, insurance and finance; real world finance; risk management; solvency analysis; sovereign risk; static and dynamic portfolio selection and management; trading systems. This book is a valuable resource for academics, PhD students, practitioners, professionals and researchers, and is also of interest to other readers with quantitative background knowledge.
Author : Gilles Dufrenot
Publisher :
ISBN 13 : 9781475736168
Total Pages : 332 pages
Book Rating : 4.7/5 (361 download)
Download or read book Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance written by Gilles Dufrenot and published by . This book was released on 2014-09-01 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Clive W. J. Granger
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Separation in Cointegrated Systems and Persistent-Transitory Decompositions written by Clive W. J. Granger and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The notion of separation in cointegrated systems helps identifying possible sub-system structures that may reduce the complexity of larger systems by yielding a more parsimonious representation of the time series. In this paper we demonstrate that although the subsystem cointegration analysis in such systems can be conducted in case of both completely and partially separated systems, the dual appraoch, i.e. calculation of the common stochastic trends, may turn out to yield properties of the trends that differ depending upon the type of separation under consideration. In particular, we demonstrate how persistent-transitory decompositions and long- and short-memory factorisations of a multivariate time series will be affected when considering different types of separation. Generalisations to non-linear error correction models are also discussed.
Author : Ulrich K. Müller
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (453 download)
Download or read book Low-frequency robust cointegration testing written by Ulrich K. Müller and published by . This book was released on 2009 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust to this potential misspecification. A simple test motivated by the analysis in Wright (2000) is developed and shown to be approximately optimal in the case of a single cointegrating vector.
Author : Katarina Juselius
Publisher : OUP Oxford
ISBN 13 : 0191622966
Total Pages : 478 pages
Book Rating : 4.1/5 (916 download)
Download or read book The Cointegrated VAR Model written by Katarina Juselius and published by OUP Oxford. This book was released on 2006-12-07 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Author : Gilles Dufrenot
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)
Download or read book Persistent Misalignments of the European Exchange Rates written by Gilles Dufrenot and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
