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Author: Torben Gustav Andersen Publisher: Springer Science & Business Media ISBN: 3540712976 Category : Business & Economics Languages : en Pages : 1045
Book Description
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.
Author: Torben Gustav Andersen Publisher: Springer Science & Business Media ISBN: 3540712976 Category : Business & Economics Languages : en Pages : 1045
Book Description
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.
Author: Peter Fuleky Publisher: Springer Nature ISBN: 3030311503 Category : Business & Economics Languages : en Pages : 716
Book Description
This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Author: Ivan Jeliazkov Publisher: John Wiley & Sons ISBN: 1118771125 Category : Mathematics Languages : en Pages : 266
Book Description
Presents new models, methods, and techniques and considers important real-world applications in political science, sociology, economics, marketing, and finance Emphasizing interdisciplinary coverage, Bayesian Inference in the Social Sciences builds upon the recent growth in Bayesian methodology and examines an array of topics in model formulation, estimation, and applications. The book presents recent and trending developments in a diverse, yet closely integrated, set of research topics within the social sciences and facilitates the transmission of new ideas and methodology across disciplines while maintaining manageability, coherence, and a clear focus. Bayesian Inference in the Social Sciences features innovative methodology and novel applications in addition to new theoretical developments and modeling approaches, including the formulation and analysis of models with partial observability, sample selection, and incomplete data. Additional areas of inquiry include a Bayesian derivation of empirical likelihood and method of moment estimators, and the analysis of treatment effect models with endogeneity. The book emphasizes practical implementation, reviews and extends estimation algorithms, and examines innovative applications in a multitude of fields. Time series techniques and algorithms are discussed for stochastic volatility, dynamic factor, and time-varying parameter models. Additional features include: Real-world applications and case studies that highlight asset pricing under fat-tailed distributions, price indifference modeling and market segmentation, analysis of dynamic networks, ethnic minorities and civil war, school choice effects, and business cycles and macroeconomic performance State-of-the-art computational tools and Markov chain Monte Carlo algorithms with related materials available via the book’s supplemental website Interdisciplinary coverage from well-known international scholars and practitioners Bayesian Inference in the Social Sciences is an ideal reference for researchers in economics, political science, sociology, and business as well as an excellent resource for academic, government, and regulation agencies. The book is also useful for graduate-level courses in applied econometrics, statistics, mathematical modeling and simulation, numerical methods, computational analysis, and the social sciences.
Author: George M. Constantinides Publisher: Newnes ISBN: 0444594655 Category : Business & Economics Languages : en Pages : 1732
Book Description
This two-volume set of 23 articles authoritatively describes recent scholarship in corporate finance and asset pricing. Volume 1 concentrates on corporate finance, encompassing topics such as financial innovation and securitization, dynamic security design, and family firms. Volume 2 focuses on asset pricing with articles on market liquidity, credit derivatives, and asset pricing theory, among others. Both volumes present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek insightful perspectives and important details, they demonstrate how corporate finance studies have interpreted recent events and incorporated their lessons. - Covers core and newly-developing fields - Explains how the 2008 financial crises affected theoretical and empirical research - Exposes readers to a wide range of subjects described and analyzed by the best scholars
Author: Publisher: Elsevier ISBN: 0444643125 Category : Mathematics Languages : en Pages : 332
Book Description
Conceptual Econometrics Using R, Volume 41 provides state-of-the-art information on important topics in econometrics, including quantitative game theory, multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, productivity and financial market jumps and co-jumps, among others. - Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society - Includes descriptions and links to resources and free open source R, allowing readers to not only use the tools on their own data, but also jumpstart their understanding of the state-of-the-art
Author: Gary Koop Publisher: Now Publishers Inc ISBN: 160198362X Category : Business & Economics Languages : en Pages : 104
Book Description
Bayesian Multivariate Time Series Methods for Empirical Macroeconomics provides a survey of the Bayesian methods used in modern empirical macroeconomics. These models have been developed to address the fact that most questions of interest to empirical macroeconomists involve several variables and must be addressed using multivariate time series methods. Many different multivariate time series models have been used in macroeconomics, but Vector Autoregressive (VAR) models have been among the most popular. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics reviews and extends the Bayesian literature on VARs, TVP-VARs and TVP-FAVARs with a focus on the practitioner. The authors go beyond simply defining each model, but specify how to use them in practice, discuss the advantages and disadvantages of each and offer tips on when and why each model can be used.
Author: Paul Damien Publisher: Oxford University Press ISBN: 0199695601 Category : Mathematics Languages : en Pages : 717
Book Description
This volume guides the reader along a statistical journey that begins with the basic structure of Bayesian theory, and then provides details on most of the past and present advances in this field.
Author: George M. Constantinides Publisher: Newnes ISBN: 0444594736 Category : Business & Economics Languages : en Pages : 873
Book Description
The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive. - Offers analyses by top scholars of recent asset pricing scholarship - Explains how the 2008 financial crises affected theoretical and empirical research - Covers core and newly developing fields
Author: Jun S. Liu Publisher: Springer Science & Business Media ISBN: 0387763716 Category : Mathematics Languages : en Pages : 350
Book Description
This book provides a self-contained and up-to-date treatment of the Monte Carlo method and develops a common framework under which various Monte Carlo techniques can be "standardized" and compared. Given the interdisciplinary nature of the topics and a moderate prerequisite for the reader, this book should be of interest to a broad audience of quantitative researchers such as computational biologists, computer scientists, econometricians, engineers, probabilists, and statisticians. It can also be used as a textbook for a graduate-level course on Monte Carlo methods.
Author: Torben Gustav Andersen
Author: Torben Gustav Andersen
Author: Peter Fuleky
Author: Ivan Jeliazkov
Author: George M. Constantinides
Author: 
Author: Gary Koop
Author: Paul Damien
Author: George M. Constantinides
Author: 
Author: Jun S. Liu