新生學校財團法人新生醫護管理專科學校圖書館 |

Econometric analysis of financial and economic time series

紀錄類型:	書目-電子資源 : 單行本
正題名/作者:	Econometric analysis of financial and economic time series/ edited by Dek Terrell, Thomas B. Fomby.
其他作者:	Fomby, Thomas B.
出版者:	Bingley, U.K. :Emerald, : 2006.,
面頁冊數:	1 online resource (xxv, 379 p.).
標題:	Business & Economics - Econometrics. -
電子資源:	http://www.emeraldinsight.com/0731-9053/20 PART 1
ISBN:	9781849503891 (electronic bk.)

Econometric analysis of financial and economic time series
Econometric analysis of financial and economic time series[electronic resource] /edited by Dek Terrell, Thomas B. Fomby. - Bingley, U.K. :Emerald,2006. - 1 online resource (xxv, 379 p.). - Advances in econometrics,v. 20, pt. 10731-9053 ;. - Advances in econometrics ;v. 27, pt. 1..

A multivariate heavy-tailed distribution for ARCH/GARCH residuals / Dimitris N. Politis -- A portmanteau test for multivariate GARCH when the conditional mean is an ECM : theory and empirical applications / Chor-yiu Sin -- Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations / Elena Andreou, Eric Ghysels -- Model-based measurement of actual volatility in high-frequency data / Borus Jungbacker, Siem Jan Koopman -- Noise reduced realized volatility : a kalman filter approach / John P. Owens, Douglas G. Steigerwald -- Modeling the asymmetry of stock movements using price ranges / Ray Y. Chou -- On a simple two-stageclosed-form estimator for a stochastic volatility in a general linear regression / Jean-Marie Dufour, Pascale Valéry -- The Student's t /Maria S. Heracleous, Aris Spanos -- A flexible dynamic correlation model / Dirk Baur -- ARCH models for multi-period forecast uncertainty : areality check using a panel of density forecasts / Kajal Lahiri, Fushang Liu -- A multivariate skew-garch model / Giovanni De Luca, Marc G. Genton, Nicola Loperfido -- Necessary and sufficient restrictions for existence of a unique fourth moment of a univariate garch(p / Peter A. Zadrozny -- Semi-parametric modelling of correlation dynamics / ChristianM. Hafner, Dick van Dijk, Philip Hans Franses -- Introduction / Dell Terrell, Thomas B. Fomby -- Good ideas / Robert F. Engle -- The creativity process / Clive W.J. Granger.

The editors are pleased to offer the following papers to the reader in recognition and appreciation of the contributions to our literature made by Robert Engle and Sir Clive Granger, winners ofthe 2003 Nobel Prize in Economics. The basic themes of this part of Volume 20 of Advances in Econometrics are time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, the application of the technique of boosting in volatility forecasting, the use of different time scales in GARCH modelling, out-of-sample evaluation of the Fed Model in stock price valuation, structural change as an alternative to long memory, the use of smooth transition auto-regressionsin stochastic volatility modelling, the analysis of the balanced-ness of regressions analyzing Taylor-Type rules of the Fed Funds rate, a mixture-of-experts approach for the estimation of stochastic volatility, amodern assessment of Clives first published paper on Sunspot activity,and a new class of models of tail-dependence in time series subject tojumps. This series aids in the diffusion of new econometric techniques. Emphasis is placed on expositional clarity and ease of assimilation for readers who are unfamiliar with a given topic ofa volume. It illustrates new concepts.

ISBN: 9781849503891 (electronic bk.)Subjects--Topical Terms:

332662
Business & Economics
--Econometrics.

LC Class. No.: HB139 / .E26 2006

Dewey Class. No.: 330.015195

Universal Decimal Class. No.: 303.725.33

Econometric analysis of financial and economic time series
LDR:03900nmm a2200313Ka 4500 001 170459
003 OrBLW
005 20101115152719.0
006 d
007 un|||||||||
008 160302s2006 enk s 000 0 eng d
020 $a 9781849503891 (electronic bk.)
020 $a 9780762312740 (hbk.)
035 $a 000483
040 $a UtOrBLW $c UtOrBLW
041 0 $a eng
050 4 $a HB139 $b .E26 2006
072 7 $a KCH $2 bicssc
072 7 $a ECO $2 bicssc
072 7 $a BUS021000 $2 bisacsh
072 7 $a BUS069000 $2 bisacsh
080 $a 303.725.33
082 0 4 $a 330.015195 $2 22
245 0 0 $a Econometric analysis of financial and economic time series $h [electronic resource] / $c edited by Dek Terrell, Thomas B. Fomby.
260 $a Bingley, U.K. : $c 2006. $b Emerald,
300 $a 1 online resource (xxv, 379 p.).
490 1 $a Advances in econometrics, $x 0731-9053 ; $v v. 20, pt. 1
505 0 $a A multivariate heavy-tailed distribution for ARCH/GARCH residuals / Dimitris N. Politis -- A portmanteau test for multivariate GARCH when the conditional mean is an ECM : theory and empirical applications / Chor-yiu Sin -- Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations / Elena Andreou, Eric Ghysels -- Model-based measurement of actual volatility in high-frequency data / Borus Jungbacker, Siem Jan Koopman -- Noise reduced realized volatility : a kalman filter approach / John P. Owens, Douglas G. Steigerwald -- Modeling the asymmetry of stock movements using price ranges / Ray Y. Chou -- On a simple two-stageclosed-form estimator for a stochastic volatility in a general linear regression / Jean-Marie Dufour, Pascale Valéry -- The Student's t /Maria S. Heracleous, Aris Spanos -- A flexible dynamic correlation model / Dirk Baur -- ARCH models for multi-period forecast uncertainty : areality check using a panel of density forecasts / Kajal Lahiri, Fushang Liu -- A multivariate skew-garch model / Giovanni De Luca, Marc G. Genton, Nicola Loperfido -- Necessary and sufficient restrictions for existence of a unique fourth moment of a univariate garch(p / Peter A. Zadrozny -- Semi-parametric modelling of correlation dynamics / ChristianM. Hafner, Dick van Dijk, Philip Hans Franses -- Introduction / Dell Terrell, Thomas B. Fomby -- Good ideas / Robert F. Engle -- The creativity process / Clive W.J. Granger.
520 $a The editors are pleased to offer the following papers to the reader in recognition and appreciation of the contributions to our literature made by Robert Engle and Sir Clive Granger, winners ofthe 2003 Nobel Prize in Economics. The basic themes of this part of Volume 20 of Advances in Econometrics are time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, the application of the technique of boosting in volatility forecasting, the use of different time scales in GARCH modelling, out-of-sample evaluation of the Fed Model in stock price valuation, structural change as an alternative to long memory, the use of smooth transition auto-regressionsin stochastic volatility modelling, the analysis of the balanced-ness of regressions analyzing Taylor-Type rules of the Fed Funds rate, a mixture-of-experts approach for the estimation of stochastic volatility, amodern assessment of Clives first published paper on Sunspot activity,and a new class of models of tail-dependence in time series subject tojumps. This series aids in the diffusion of new econometric techniques. Emphasis is placed on expositional clarity and ease of assimilation for readers who are unfamiliar with a given topic ofa volume. It illustrates new concepts.
650 7 $a Business & Economics $x Econometrics. $2 bisacsh $3 332662
650 7 $a Business & Economics $x Economics $x General. $2 bisacsh $3 332626
650 7 $a Econometrics. $3 120795
650 0 $a Econometric models. $3 131238
700 1 $a Fomby, Thomas B. $3 312673
700 1 $a Terrell, Dek. $3 195928
830 0 $a Advances in econometrics ; $v v. 27, pt. 1. $3 195244
856 4 0 $u http://www.emeraldinsight.com/0731-9053/20 PART 1