Download or read book Continuous Time Econometrics written by G. Gandolfo and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Continuous-time econometrics is no longer an esoteric subject although most still regard it as such, so much so that it is hardly mentioned in standard textbooks on econometrics. Thanks to the work done in the last 20 years, both the theoretical and the applied side are by now well developed. Methods of estimation have been theoretically elaborated and practically implemented through computer programs. Continuous-time macroeconometric models for different countries have been constructed, estimated and used. Being myself involved in these developments, it was with great pleasure that I accepted the invitation to organize a session on continuous-time econometrics in the context of the International Symposium on Economic Modelling (jointly organized by the University of Urbino and the book series International Studies in Economic Modelling, and co-sponsored by the Consiglio Nazionale delle Ricerche). The reaction of 'continuists' from all over the world was so enthusiastic that I was able to arrange two sessions, one on the theory and the other on the applications. The symposium was held in Urbino on 23-25 July 1990. The papers presented in Urbino have been revised in the light of the discussion at the symposium and the referees' comments. Hence, what is published here should become another standard reference in the field of continuous-time econometrics.
Download or read book Continuous Time Econometric Modelling written by Albert Rex Bergstrom and published by Oxford University Press, USA. This book was released on 1990 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Contract Theory in Continuous Time Models written by Jakša Cvitanic and published by Springer Science & Business Media. This book was released on 2012-09-26 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications. Continuous-time models provide a powerful and elegant framework for solving stochastic optimization problems of finding the optimal contracts between two parties, under various assumptions on the information they have access to, and the effect they have on the underlying "profit/loss" values. This monograph surveys recent results of the theory in a systematic way, using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion. Optimal contracts are characterized via a system of Forward-Backward Stochastic Differential Equations. In a number of interesting special cases these can be solved explicitly, enabling derivation of many qualitative economic conclusions.
Download or read book A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends written by Albert Rex Bergstrom and published by Cambridge University Press. This book was released on 2007-04-16 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph presents a continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. It describes the model in detail to permit a rigorous mathematical analysis of its steady-state and stability properties, thus providing a valuable check on the capacity of the model to generate plausible long-run behaviour.
Download or read book Longitudinal Research with Latent Variables written by Kees van Montfort and published by Springer Science & Business Media. This book was released on 2010-05-17 with total page 311 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since Charles Spearman published his seminal paper on factor analysis in 1904 and Karl Joresk ̈ og replaced the observed variables in an econometric structural equation model by latent factors in 1970, causal modelling by means of latent variables has become the standard in the social and behavioural sciences. Indeed, the central va- ables that social and behavioural theories deal with, can hardly ever be identi?ed as observed variables. Statistical modelling has to take account of measurement - rors and invalidities in the observed variables and so address the underlying latent variables. Moreover, during the past decades it has been widely agreed on that serious causal modelling should be based on longitudinal data. It is especially in the ?eld of longitudinal research and analysis, including panel research, that progress has been made in recent years. Many comprehensive panel data sets as, for example, on human development and voting behaviour have become available for analysis. The number of publications based on longitudinal data has increased immensely. Papers with causal claims based on cross-sectional data only experience rejection just for that reason.
Download or read book Continuous Time Modeling in the Behavioral and Related Sciences written by Kees van Montfort and published by Springer. This book was released on 2018-10-11 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt: This unique book provides an overview of continuous time modeling in the behavioral and related sciences. It argues that the use of discrete time models for processes that are in fact evolving in continuous time produces problems that make their application in practice highly questionable. One main issue is the dependence of discrete time parameter estimates on the chosen time interval, which leads to incomparability of results across different observation intervals. Continuous time modeling by means of differential equations offers a powerful approach for studying dynamic phenomena, yet the use of this approach in the behavioral and related sciences such as psychology, sociology, economics and medicine, is still rare. This is unfortunate, because in these fields often only a few discrete time (sampled) observations are available for analysis (e.g., daily, weekly, yearly, etc.). However, as emphasized by Rex Bergstrom, the pioneer of continuous-time modeling in econometrics, neither human beings nor the economy cease to exist in between observations. In 16 chapters, the book addresses a vast range of topics in continuous time modeling, from approaches that closely mimic traditional linear discrete time models to highly nonlinear state space modeling techniques. Each chapter describes the type of research questions and data that the approach is most suitable for, provides detailed statistical explanations of the models, and includes one or more applied examples. To allow readers to implement the various techniques directly, accompanying computer code is made available online. The book is intended as a reference work for students and scientists working with longitudinal data who have a Master's- or early PhD-level knowledge of statistics.
Download or read book The Economics of Continuous Time Finance written by Bernard Dumas and published by MIT Press. This book was released on 2017-10-27 with total page 641 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to economic applications of the theory of continuous-time finance that strikes a balance between mathematical rigor and economic interpretation of financial market regularities. This book introduces the economic applications of the theory of continuous-time finance, with the goal of enabling the construction of realistic models, particularly those involving incomplete markets. Indeed, most recent applications of continuous-time finance aim to capture the imperfections and dysfunctions of financial markets—characteristics that became especially apparent during the market turmoil that started in 2008. The book begins by using discrete time to illustrate the basic mechanisms and introduce such notions as completeness, redundant pricing, and no arbitrage. It develops the continuous-time analog of those mechanisms and introduces the powerful tools of stochastic calculus. Going beyond other textbooks, the book then focuses on the study of markets in which some form of incompleteness, volatility, heterogeneity, friction, or behavioral subtlety arises. After presenting solutions methods for control problems and related partial differential equations, the text examines portfolio optimization and equilibrium in incomplete markets, interest rate and fixed-income modeling, and stochastic volatility. Finally, it presents models where investors form different beliefs or suffer frictions, form habits, or have recursive utilities, studying the effects not only on optimal portfolio choices but also on equilibrium, or the price of primitive securities. The book strikes a balance between mathematical rigor and the need for economic interpretation of financial market regularities, although with an emphasis on the latter.
Download or read book Statistical Inference in Continuous Time Economic Models written by Albert Rex Bergstrom and published by North-Holland. This book was released on 1976 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Non-recursive models as discrete approximations to systems of stochastic differential equations; Some discrete approximations to continuous time stochastic models; Econometric estimation of stochastic differential equation systems; The structural estimation of a stochastic differnetial equation system; The problem of identification in finite parameter continuous time models; The estimation of linear stochastic differnetial equations with exogenous variables; Some computations based on observed data series of the exogenous variable component in continuous systems; Fourier estimation of continuous time models; A model of disequilibrium neoclassical growth and its applications to the United Kingdom.
Download or read book Continuous Time Models in Corporate Finance Banking and Insurance written by Santiago Moreno-Bromberg and published by Princeton University Press. This book was released on 2018-01-08 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: Continuous-Time Models in Corporate Finance synthesizes four decades of research to show how stochastic calculus can be used in corporate finance. Combining mathematical rigor with economic intuition, Santiago Moreno-Bromberg and Jean-Charles Rochet analyze corporate decisions such as dividend distribution, the issuance of securities, and capital structure and default. They pay particular attention to financial intermediaries, including banks and insurance companies. The authors begin by recalling the ways that option-pricing techniques can be employed for the pricing of corporate debt and equity. They then present the dynamic model of the trade-off between taxes and bankruptcy costs and derive implications for optimal capital structure. The core chapter introduces the workhorse liquidity-management model—where liquidity and risk management decisions are made in order to minimize the costs of external finance. This model is used to study corporate finance decisions and specific features of banks and insurance companies. The book concludes by presenting the dynamic agency model, where financial frictions stem from the lack of interest alignment between a firm's manager and its financiers. The appendix contains an overview of the main mathematical tools used throughout the book. Requiring some familiarity with stochastic calculus methods, Continuous-Time Models in Corporate Finance will be useful for students, researchers, and professionals who want to develop dynamic models of firms' financial decisions.
Download or read book A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends written by Albert Rex Bergstrom and published by Cambridge University Press. This book was released on 2007-04-16 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last thirty years there has been extensive use of continuous time econometric methods in macroeconomic modelling. This monograph presents a continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. Its development represents a major step forward in continuous time macroeconomic modelling. The book describes the model in detail and, like earlier models, it is designed in such a way as to permit a rigorous mathematical analysis of its steady-state and stability properties, thus providing a valuable check on the capacity of the model to generate plausible long-run behaviour. The model is estimated using newly developed exact Gaussian estimation methods for continuous time econometric models incorporating unobservable stochastic trends. The book also includes discussion of the application of the model to dynamic analysis and forecasting.
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.
Download or read book Time Series Models written by D.R. Cox and published by CRC Press. This book was released on 1996-05-15 with total page 244 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.
Download or read book Econometric Analysis of Cross Section and Panel Data written by Jeffrey M. Wooldridge and published by MIT Press. This book was released on 2002 with total page 784 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive state-of-the-art text on microeconometric methods.
Download or read book Refinement of the Partial Adjustment Model Using Continuous time Econometrics written by Arie ten Cate and published by . This book was released on 2004 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Identification of Continuous time Models from Sampled Data written by Hugues Garnier and published by Springer Science & Business Media. This book was released on 2008-03-13 with total page 413 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first book dedicated to direct continuous-time model identification for 15 years. It cuts down on time spent hunting through journals by providing an overview of much recent research in an increasingly busy field. The CONTSID toolbox discussed in the final chapter gives an overview of developments and practical examples in which MATLAB® can be used for direct time-domain identification of continuous-time systems. This is a valuable reference for a broad audience.
Download or read book An Introduction to Continuous Time Stochastic Processes written by Vincenzo Capasso and published by Springer Science & Business Media. This book was released on 2008-01-03 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: This concisely written book is a rigorous and self-contained introduction to the theory of continuous-time stochastic processes. Balancing theory and applications, the authors use stochastic methods and concrete examples to model real-world problems from engineering, biomathematics, biotechnology, and finance. Suitable as a textbook for graduate or advanced undergraduate courses, the work may also be used for self-study or as a reference. The book will be of interest to students, pure and applied mathematicians, and researchers or practitioners in mathematical finance, biomathematics, physics, and engineering.
Download or read book Continuous time Stochastic Control and Optimization with Financial Applications written by Huyên Pham and published by Springer Science & Business Media. This book was released on 2009-05-28 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.
