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

Record Type:	Electronic resources : Monograph/item
Title/Author:	Econometric analysis of financial and economic time series/ edited by Thomas B. Fomby, Dek Terrell.
other author:	Fomby, Thomas B.
Published:	Bingley, U.K. :Emerald, : 2006.,
Description:	1 online resource (xxv, 352 p.).
Subject:	Business & Economics - Econometrics. -
Online resource:	http://www.emeraldinsight.com/0731-9053/20 PART 2
ISBN:	9781849503884 (electronic bk.)

Econometric analysis of financial and economic time series
Econometric analysis of financial and economic time series[electronic resource] /edited by Thomas B. Fomby, Dek Terrell. - Bingley, U.K. :Emerald,2006. - 1 online resource (xxv, 352 p.). - Advances in econometrics,v. 20, pt.20731-9053 ;. - Advances in econometrics ;v. 27, pt. 1..

Realized beta : persistence and predictability / Torben G. Andersen,Tim Bollerslev, Francis X. Diebold, Ginger Wu -- Boosting-based frameworks in financial modeling : application to symbolic volatility forecasting / Valeriy V. Gavrishchaka -- Overlaying time scales in financial volatility data / Eric Hillebrand -- Evaluating the fed model of stock price valuation : an out-of-sample forecasting perspective / Dennis W. Jansen, Zijun Wang -- Structural change as an alternative to long memoryin financial time series / Tze Leung Lai, Haipeng Xing -- Time series mean level and stochastic volatility modeling by smooth transition autoregressions : a Bayesian approach / Hedibert Freitas Lopes,Esther Salazar -- Estimating Taylor-type rules : an unbalanced regression? / Pierre L. Siklos, MarkE. Wohar -- Bayesian inference on mixture-of-experts for estimation of stochastic volatility / Alejandro Villagran, Gabriel Huerta -- A modern time series assessment of a statistical model for sunspot activity by C.W.J. Granger (1957) / Gawon Yoon -- Personal comments on Yoon's discussion of my 1957 paper / Clive W.J. Granger -- A new class of tail-dependent time-series models and its applications in financial time series / Zhengjun Zhang -- Asymmetric predictive abilities of nonlinear models for stock returns : evidence from density forecast comparison / Yong Bao, Tae-Hwy Lee -- Flexible seasonal time series models / Zongwu Cai, Rong Chen -- Estimation of long-memory time series models : asurvey of different likelihood-based methods / Ngai Hang Chan, Wilfredo Palma -- Introduction / Thomas B. Fomby, Dek Terrell -- 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: 9781849503884 (electronic bk.)Subjects--Topical Terms:

332662
Business & Economics
--Econometrics.

LC Class. No.: HB139 / .E26 2006

Dewey Class. No.: 330.015195

Universal Decimal Class. No.: 330.43

Econometric analysis of financial and economic time series
LDR:04077nmm a2200313Ka 4500 001 170460
003 OrBLW
005 20101115152719.0
006 d
007 un|||||||||
008 160302s2006 enk s 000 0 eng d
020 $a 9781849503884 (electronic bk.)
020 $a 9780762312733 (hbk.)
035 $a 000484
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 330.43
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 Thomas B. Fomby, Dek Terrell.
260 $a Bingley, U.K. : $c 2006. $b Emerald,
300 $a 1 online resource (xxv, 352 p.).
490 1 $a Advances in econometrics, $x 0731-9053 ; $v v. 20, pt.2
505 0 $a Realized beta : persistence and predictability / Torben G. Andersen,Tim Bollerslev, Francis X. Diebold, Ginger Wu -- Boosting-based frameworks in financial modeling : application to symbolic volatility forecasting / Valeriy V. Gavrishchaka -- Overlaying time scales in financial volatility data / Eric Hillebrand -- Evaluating the fed model of stock price valuation : an out-of-sample forecasting perspective / Dennis W. Jansen, Zijun Wang -- Structural change as an alternative to long memoryin financial time series / Tze Leung Lai, Haipeng Xing -- Time series mean level and stochastic volatility modeling by smooth transition autoregressions : a Bayesian approach / Hedibert Freitas Lopes,Esther Salazar -- Estimating Taylor-type rules : an unbalanced regression? / Pierre L. Siklos, MarkE. Wohar -- Bayesian inference on mixture-of-experts for estimation of stochastic volatility / Alejandro Villagran, Gabriel Huerta -- A modern time series assessment of a statistical model for sunspot activity by C.W.J. Granger (1957) / Gawon Yoon -- Personal comments on Yoon's discussion of my 1957 paper / Clive W.J. Granger -- A new class of tail-dependent time-series models and its applications in financial time series / Zhengjun Zhang -- Asymmetric predictive abilities of nonlinear models for stock returns : evidence from density forecast comparison / Yong Bao, Tae-Hwy Lee -- Flexible seasonal time series models / Zongwu Cai, Rong Chen -- Estimation of long-memory time series models : asurvey of different likelihood-based methods / Ngai Hang Chan, Wilfredo Palma -- Introduction / Thomas B. Fomby, Dek Terrell -- 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
700 1 $a Fomby, Thomas B. $3 312673
700 1 $a Terrell, Dek. $3 195928
700 1 $a Hill, R. Carter. $3 312674
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 2