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Author : Bank of Canada
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (874 download)
Download or read book Real Time Detection of Structural Breaks in GARCH Models. November 2009 written by Bank of Canada and published by . This book was released on 2009 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zhongfang He
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (496 download)
Download or read book Real Time Detection of Structural Breaks in GARCH Models written by Zhongfang He and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Luc Bauwens
Publisher : John Wiley & Sons
ISBN 13 : 1118272056
Total Pages : 566 pages
Book Rating : 4.1/5 (182 download)
Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-03-22 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Author : Sylvia Fruhwirth-Schnatter
Publisher : CRC Press
ISBN 13 : 0429508247
Total Pages : 522 pages
Book Rating : 4.4/5 (295 download)
Download or read book Handbook of Mixture Analysis written by Sylvia Fruhwirth-Schnatter and published by CRC Press. This book was released on 2019-01-04 with total page 522 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mixture models have been around for over 150 years, and they are found in many branches of statistical modelling, as a versatile and multifaceted tool. They can be applied to a wide range of data: univariate or multivariate, continuous or categorical, cross-sectional, time series, networks, and much more. Mixture analysis is a very active research topic in statistics and machine learning, with new developments in methodology and applications taking place all the time. The Handbook of Mixture Analysis is a very timely publication, presenting a broad overview of the methods and applications of this important field of research. It covers a wide array of topics, including the EM algorithm, Bayesian mixture models, model-based clustering, high-dimensional data, hidden Markov models, and applications in finance, genomics, and astronomy. Features: Provides a comprehensive overview of the methods and applications of mixture modelling and analysis Divided into three parts: Foundations and Methods; Mixture Modelling and Extensions; and Selected Applications Contains many worked examples using real data, together with computational implementation, to illustrate the methods described Includes contributions from the leading researchers in the field The Handbook of Mixture Analysis is targeted at graduate students and young researchers new to the field. It will also be an important reference for anyone working in this field, whether they are developing new methodology, or applying the models to real scientific problems.
Author : Alexandra Suvorikova
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (12 download)
Download or read book Detection of Structural Breaks in Complex Data written by Alexandra Suvorikova and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Branko Ristic
Publisher : Artech House
ISBN 13 : 9781580538510
Total Pages : 328 pages
Book Rating : 4.5/5 (385 download)
Download or read book Beyond the Kalman Filter: Particle Filters for Tracking Applications written by Branko Ristic and published by Artech House. This book was released on 2003-12-01 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: For most tracking applications the Kalman filter is reliable and efficient, but it is limited to a relatively restricted class of linear Gaussian problems. To solve problems beyond this restricted class, particle filters are proving to be dependable methods for stochastic dynamic estimation. Packed with 867 equations, this cutting-edge book introduces the latest advances in particle filter theory, discusses their relevance to defense surveillance systems, and examines defense-related applications of particle filters to nonlinear and non-Gaussian problems. With this hands-on guide, you can develop more accurate and reliable nonlinear filter designs and more precisely predict the performance of these designs. You can also apply particle filters to tracking a ballistic object, detection and tracking of stealthy targets, tracking through the blind Doppler zone, bi-static radar tracking, passive ranging (bearings-only tracking) of maneuvering targets, range-only tracking, terrain-aided tracking of ground vehicles, and group and extended object tracking.
Author : Yuli Rahmawati
Publisher : CRC Press
ISBN 13 : 0429868111
Total Pages : 612 pages
Book Rating : 4.4/5 (298 download)
Download or read book Empowering Science and Mathematics for Global Competitiveness written by Yuli Rahmawati and published by CRC Press. This book was released on 2019-06-07 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt: This conference proceedings focuses on enabling science and mathematics practitioners and citizens to respond to the pressing challenges of global competitiveness and sustainable development by transforming research and teaching of science and mathematics. The proceedings consist of 82 papers presented at the Science and Mathematics International Conference (SMIC) 2018, organised by the Faculty of Mathematics and Natural Sciences, Universitas Negeri Jakarta, Indonesia. The proceedings are organised in four parts: Science, Science Education, Mathematics, and Mathematics Education. The papers contribute to our understanding of important contemporary issues in science, especially nanotechnology, materials and environmental science; science education, in particular, environmental sustainability, STEM and STEAM education, 21st century skills, technology education, and green chemistry; and mathematics and its application in statistics, computer science, and mathematics education.
Author : Shu-Heng Chen
Publisher : Oxford University Press
ISBN 13 : 0199844372
Total Pages : 785 pages
Book Rating : 4.1/5 (998 download)
Download or read book The Oxford Handbook of Computational Economics and Finance written by Shu-Heng Chen and published by Oxford University Press. This book was released on 2018 with total page 785 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.
Author : Walter Krämer
Publisher : Springer Science & Business Media
ISBN 13 : 3642484123
Total Pages : 134 pages
Book Rating : 4.6/5 (424 download)
Download or read book Econometrics of Structural Change written by Walter Krämer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: Econometric models are made up of assumptions which never exactly match reality. Among the most contested ones is the requirement that the coefficients of an econometric model remain stable over time. Recent years have therefore seen numerous attempts to test for it or to model possible structural change when it can no longer be ignored. This collection of papers from Empirical Economics mirrors part of this development. The point of departure of most studies in this volume is the standard linear regression model Yt = x;fJt + U (t = I, ... , 1), t where notation is obvious and where the index t emphasises the fact that structural change is mostly discussed and encountered in a time series context. It is much less of a problem for cross section data, although many tests apply there as well. The null hypothesis of most tests for structural change is that fJt = fJo for all t, i.e. that the same regression applies to all time periods in the sample and that the disturbances u are well behaved. The well known Chow test for instance assumes t that there is a single structural shift at a known point in time, i.e. that fJt = fJo (t
Author : Bernhard Pfaff
Publisher : Springer Science & Business Media
ISBN 13 : 0387759670
Total Pages : 193 pages
Book Rating : 4.3/5 (877 download)
Download or read book Analysis of Integrated and Cointegrated Time Series with R written by Bernhard Pfaff and published by Springer Science & Business Media. This book was released on 2008-09-03 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Author :
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (931 download)
Download or read book On- and Offline Detection of Structural Breaks in Thermal Spraying Processes written by and published by . This book was released on 2013 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lajos Horváth
Publisher : Springer Nature
ISBN 13 : 3031516095
Total Pages : 552 pages
Book Rating : 4.0/5 (315 download)
Download or read book Change Point Analysis for Time Series written by Lajos Horváth and published by Springer Nature. This book was released on with total page 552 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 : D.R. Cox
Publisher : CRC Press
ISBN 13 : 1000152944
Total Pages : 243 pages
Book Rating : 4.0/5 (1 download)
Download or read book Time Series Models written by D.R. Cox and published by CRC Press. This book was released on 2020-11-26 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis prediction and interpolation of economic and other time series has a long history and many applications. Major new developments are taking place, driven partly by the need to analyze financial data. The five papers in this book describe those new developments from various viewpoints and are intended to be an introduction accessible to readers from a range of backgrounds. The book arises out of the second Seminaire European de Statistique (SEMSTAT) held in Oxford in December 1994. This brought together young statisticians from across Europe, and a series of introductory lectures were given on topics at the forefront of current research activity. The lectures form the basis for the five papers contained in the book. The papers by Shephard and Johansen deal respectively with time series models for volatility, i.e. variance heterogeneity, and with cointegration. Clements and Hendry analyze the nature of prediction errors. A complementary review paper by Laird gives a biometrical view of the analysis of short time series. Finally Astrup and Nielsen give a mathematical introduction to the study of option pricing. Whilst the book draws its primary motivation from financial series and from multivariate econometric modelling, the applications are potentially much broader.
Author : Eric Zivot
Publisher : Springer Science & Business Media
ISBN 13 : 0387217630
Total Pages : 632 pages
Book Rating : 4.3/5 (872 download)
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.
Author : Philip Hans Franses
Publisher : Oxford University Press
ISBN 13 : 019924202X
Total Pages : 162 pages
Book Rating : 4.1/5 (992 download)
Download or read book Periodic Time Series Models written by Philip Hans Franses and published by Oxford University Press. This book was released on 2004 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this insightful, modern study of the use of periodic models in the description and forecasting of economic data the authors investigate such areas as seasonal time series, periodic time series models, periodic integration and periodic cointegration.
Author : Pierre Perron
Publisher :
ISBN 13 : 9789813237896
Total Pages : pages
Book Rating : 4.2/5 (378 download)
Download or read book Time Series Econometrics written by Pierre Perron and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Part I. Unit roots and trend breaks -- Part II. Structural change
