Download or read book A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model written by Paul Catani and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Mathematics Volatility and Covariance Modelling written by Julien Chevallier and published by Routledge. This book was released on 2019-06-28 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

Download or read book A lagrange multiplier test for garch models written by John H. H. Lee and published by . This book was released on 1991 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing the Structure of Conditional Correlations in Multivariate GARCH Models written by Nadine McCloud and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a class of generally applicable specification tests for constant and dynamic structures of conditional correlations in multivariate GARCH models. The tests are robust to the presence of time-varying higher-order conditional moments of unknown form and are pure significance tests. The tests can identify linear and nonlinear misspecifications in conditional correlations. Our approach does not necessitate a particular parameter estimation method and distributional assumption on the error process. The asymptotic distribution of the tests is invariant to the uncertainty in parameter estimation. We assess the finite sample performance of our tests using simulated and real data.

Download or read book A Lagrange Multiplier Test for Garch Models written by John H. H. Lee and published by . This book was released on 1991 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Extended Conditional Correlation GARCH Models written by and published by . This book was released on 2007 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing for Serial Correlation in the Presence of Conditional Heteroskedasticity written by Paramsothy Silvapulle and published by . This book was released on 1993 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Journal of Econometrics written by and published by . This book was released on 1997 with total page 868 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Test for Constant Correlations in a Multivariate GARCH Model written by Yiu Kuen Tse and published by . This book was released on 1998 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Overnight Market Interest Rates and Banks Demand for Reserves in Finland written by Markku Pulli and published by . This book was released on 1992 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.

Download or read book Kredit und Kapital written by Werner Ehrlicher and published by . This book was released on 2001 with total page 696 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Handbook of Energy Economics and Policy written by Alessandro Rubino and published by Elsevier. This book was released on 2021-05-10 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Energy Economics and Policy: Fundamentals and Applications for Engineers and Energy Planners presents energy engineers and managers with analytical skills and concepts that enable them to apply simple economic logic to understand the interrelations between energy technologies, economics, regulation and governance of the industry. Sections cover the origins, types and measurement of energy sources, transportation networks, and regulatory and policy issues on electricity and gas at a global level, new economic and policy issues, including innovation processes in the energy industry and economic and policy implications. Final sections cover state-of-the-art methods for modeling and predicting the dynamics of energy systems. Its unique approach and learning path makes this book an ideal resource for energy engineering practitioners and researchers working to design, develop, plan or deploy energy systems. Energy planners and policymakers will also find this to be a solid foundation on which to base decisions. Presents key-concepts and their interrelation with energy technologies and systems in a clear way for ready application during planning and deployment of energy technologies and systems Includes global case studies covering a wide array of energy sources and regulatory models Explores methodologies for modeling and forecasting the impacts of energy technologies and systems, as well as their costs and possible business models

Download or read book Misspecification Tests in Econometrics written by L. G. Godfrey and published by Cambridge University Press. This book was released on 1988 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle, which provides considerable unification, although several other approaches are also considered. The author also examines general checks for model adequacy that do not involve formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables.

Download or read book Financial Market Volatility and Inflation Uncertainty written by Jörg Döpke and published by . This book was released on 1999 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Diagnostic Checks in Time Series written by Wai Keung Li and published by CRC Press. This book was released on 2003-12-29 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diagnostic checking is an important step in the modeling process. But while the literature on diagnostic checks is quite extensive and many texts on time series modeling are available, it still remains difficult to find a book that adequately covers methods for performing diagnostic checks. Diagnostic Checks in Time Series helps to fill that

Download or read book Asymptotic Theory for Econometricians written by Halbert White and published by Academic Press. This book was released on 2014-06-28 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is intended to provide a somewhat more comprehensive and unified treatment of large sample theory than has been available previously and to relate the fundamental tools of asymptotic theory directly to many of the estimators of interest to econometricians. In addition, because economic data are generated in a variety of different contexts (time series, cross sections, time series--cross sections), we pay particular attention to the similarities and differences in the techniques appropriate to each of these contexts.