Download or read book Special Issue Recent Developments in Financial Time Series Econometrics written by Michael McAleer and published by . This book was released on 2002 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book New Developments in Time Series Econometrics written by Jean-Marie Dufour and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area.
Download or read book Recent Developments in Financial Time Series Econometrics written by Michael McAleer and published by . This book was released on 2002 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data written by Norman R. Swanson and published by MDPI. This book was released on 2021-08-31 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recently, considerable attention has been placed on the development and application of tools useful for the analysis of the high-dimensional and/or high-frequency datasets that now dominate the landscape. The purpose of this Special Issue is to collect both methodological and empirical papers that develop and utilize state-of-the-art econometric techniques for the analysis of such data.
Download or read book ANALYSIS OF FINANCIAL TIME SERIES 2ND ED written by Ruey S. Tsay and published by . This book was released on 2009-01-01 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market_Desc: Ideal as a fundamental introduction to time series for MBA students or as a reference for researchers and practitioners in business and finance Special Features: · Timely topics and recent results include: Value at Risk (VaR); high-frequency financial data analysis; MCMC methods; derivative pricing using jump diffusion with closed-form formulas; VaR calculation using extreme value theory based on nonhomogeneous two-dimensional Poisson process; and multivariate volatility models with time-varying correlations.· New topics to this edition include: Finmetrics in S-plus; estimation of stochastic diffusion equations for derivative pricing; use of realized volatilities; state=space model; and Kalman filter.· The second edition also includes new developments in financial econometrics and more examples of applications in finance.· Emphasis is placed on empirical financial data.· Chapter exercises have been increased in an effort to further reinforce the methods and applications in the text. About The Book: This book provides a comprehensive and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: analysis and application of univariate financial time series; the return series of multiple assets; and Bayesian inference in finance methods. The overall objective of the book is to provide some knowledge of financial time series, introduce some statistical tools useful for analyzing these series, and gain experience in financial applications of various econometric methods.
Download or read book Time Series Econometrics written by Pierre Perron and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Part I. Unit roots and trend breaks -- Part II. Structural change
Download or read book Analysis of Financial Time Series written by Ruey S. Tsay and published by John Wiley & Sons. This book was released on 2010-10-26 with total page 724 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: Analysis and application of univariate financial time series The return series of multiple assets Bayesian inference in finance methods Key features of the new edition include additional coverage of modern day topics such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smooth transition from S-Plus to R; and expanded empirical financial data sets. The overall objective of the book is to provide some knowledge of financial time series, introduce some statistical tools useful for analyzing these series and gain experience in financial applications of various econometric methods.
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 2007-10-10 with total page 998 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. It 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 edition covers S+FinMetrics 2.0 and includes new chapters.
Download or read book Time Series Models written by D.R. Cox and published by CRC Press. This book was released on 2020-11-26 with total page 240 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 Recent Developments in Econometrics and Financial Data Science written by and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Time Series written by Ngai Hang Chan and published by John Wiley & Sons. This book was released on 2011-01-25 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new edition of the comprehensive, hands-on guide to financial time series, now featuring S-Plus® and R software Time Series: Applications to Finance with R and S-Plus®, Second Edition is designed to present an in-depth introduction to the conceptual underpinnings and modern ideas of time series analysis. Utilizing interesting, real-world applications and the latest software packages, this book successfully helps readers grasp the technical and conceptual manner of the topic in order to gain a deeper understanding of the ever-changing dynamics of the financial world. With balanced coverage of both theory and applications, this Second Edition includes new content to accurately reflect the current state-of-the-art nature of financial time series analysis. A new chapter on Markov Chain Monte Carlo presents Bayesian methods for time series with coverage of Metropolis-Hastings algorithm, Gibbs sampling, and a case study that explores the relevance of these techniques for understanding activity in the Dow Jones Industrial Average. The author also supplies a new presentation of statistical arbitrage that includes discussion of pairs trading and cointegration. In addition to standard topics such as forecasting and spectral analysis, real-world financial examples are used to illustrate recent developments in nonstandard techniques, including: Nonstationarity Heteroscedasticity Multivariate time series State space modeling and stochastic volatility Multivariate GARCH Cointegration and common trends The book's succinct and focused organization allows readers to grasp the important ideas of time series. All examples are systematically illustrated with S-Plus® and R software, highlighting the relevance of time series in financial applications. End-of-chapter exercises and selected solutions allow readers to test their comprehension of the presented material, and a related Web site features additional data sets. Time Series: Applications to Finance with R and S-Plus® is an excellent book for courses on financial time series at the upper-undergraduate and beginning graduate levels. It also serves as an indispensible resource for practitioners working with financial data in the fields of statistics, economics, business, and risk management.
Download or read book Introduction to Modern Time Series Analysis written by Gebhard Kirchgässner and published by Springer Science & Business Media. This book was released on 2012-10-09 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.
Download or read book The Econometric Analysis of Seasonal Time Series written by Eric Ghysels and published by Cambridge University Press. This book was released on 2001-06-18 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic and financial time series feature important seasonal fluctuations. Despite their regular and predictable patterns over the year, month or week, they pose many challenges to economists and econometricians. This book provides a thorough review of the recent developments in the econometric analysis of seasonal time series. It is designed for an audience of specialists in economic time series analysis and advanced graduate students. It is the most comprehensive and balanced treatment of the subject since the mid-1980s.
Download or read book Time Series Techniques for Economists written by Terence C. Mills and published by Cambridge University Press. This book was released on 1990 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: The application of time series techniques in economics has become increasingly important, both for forecasting purposes and in the empirical analysis of time series in general. In this book, Terence Mills not only brings together recent research at the frontiers of the subject, but also analyses the areas of most importance to applied economics. It is an up-to-date text which extends the basic techniques of analysis to cover the development of methods that can be used to analyse a wide range of economic problems. The book analyses three basic areas of time series analysis: univariate models, multivariate models, and non-linear models. In each case the basic theory is outlined and then extended to cover recent developments. Particular emphasis is placed on applications of the theory to important areas of applied economics and on the computer software and programs needed to implement the techniques. This book clearly distinguishes itself from its competitors by emphasising the techniques of time series modelling rather than technical aspects such as estimation, and by the breadth of the models considered. It features many detailed real-world examples using a wide range of actual time series. It will be useful to econometricians and specialists in forecasting and finance and accessible to most practitioners in economics and the allied professions.
Download or read book Contributions to Financial Econometrics written by Michael McAleer and published by Blackwell Publishing. This book was released on 2002 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: This prestigious volume presents five state-of-the-art survey papers on time series econometrics, and a modern financial econometrics software package. Starting with a survey of recent theoretical developments for time series models with GARCH errors, the contributions go on to examine the bootstrapping of financial time series, developments in futures hedging, measures of fit for rational expectations models, asset pricing with observable stochastic discount factors, and a financial econometrics software package for estimating and forecasting ARCH models. Each of the papers blends theoretical and empirical issues, enabling theoreticians and practitioners alike to keep up with the most recent developments in the field. The volume as a whole makes a significant new contribution to the literature.
Download or read book Econometrics and Income Inequality written by Martin Biewen and published by MDPI. This book was released on 2018-11-26 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Econometrics and Income Inequality" that was published in Econometrics
Download or read book Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data written by Norman R. Swanson and published by . This book was released on 2021 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recently, considerable attention has been placed on the development and application of tools useful for the analysis of the high-dimensional and/or high-frequency datasets that now dominate the landscape. The purpose of this Special Issue is to collect both methodological and empirical papers that develop and utilize state-of-the-art econometric techniques for the analysis of such data.
