大葉大學圖書館 |

Econometric analysis of financial and economic time series[electronic resource] /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	330.015195
書名/作者:	Econometric analysis of financial and economic time series/ edited by Thomas B. Fomby, Dek Terrell.
其他作者:	Fomby, Thomas B.
出版者:	Bingley, U.K. : : Emerald,, 2006.
面頁冊數:	1 online resource (xxv, 352 p.).
標題:	Business & Economics - Econometrics.
標題:	Business & Economics - Economics
標題:	Econometrics.
ISBN:	9781849503884 (electronic bk.)
ISBN:	9780762312733 (hbk.)
內容註:	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.
摘要、提要註:	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.
電子資源:	http://www.emeraldinsight.com/0731-9053/20 PART 2

Econometric analysis of financial and economic time series[electronic resource] /
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. 12..

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:

400580
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[electronic resource] /
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