Author: Tim BollerslevPublisher:
ISBN:
Category :
Languages : en
Pages : 50
Book Description
Quasi-maximum Likelihood Estimation of Dynamic Models with Time Varying Covariances
Author: Tim BollerslevQUASI-MAXIMUM LIKELIHOOD ESTIMATION OF DYNAMIC MODELS WITH TIME VARYNG COVARIANCES
Author: Tim BOLLERSLEVEstimation of Dynamic Models with Error Components
Author: Theodore Wilbur AndersonPublisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 52
Book Description
Quasi-maximum Likelihood Estimation of Dynamic Nonlinear Models with Additive Errors
Author: Derek BondHandbook of Computational Finance
Author: Jin-Chuan DuanPublisher: Springer Science & Business Media
ISBN: 3642172547
Category : Business & Economics
Languages : en
Pages : 791
Book Description
Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.
Introductory Econometrics for Finance
Author: Chris BrooksPublisher: Cambridge University Press
ISBN: 1107034663
Category : Business & Economics
Languages : en
Pages : 743
Book Description
The only econometrics textbook written specifically for finance students with no prior knowledge of econometrics, including extensive online student support.
Macroeconomic Risk and Growth in the Southeast Asian Countries
Author: William A. BarnettPublisher: Emerald Group Publishing
ISBN: 1837970440
Category : Business & Economics
Languages : en
Pages : 223
Book Description
Emerging markets offer a unique financial setting, contrasting with developed markets. ISETE-33 gives fresh insight into financial and economic issues in Indonesia and ASEAN countries, written by authors from diverse backgrounds.
Applied Time Series Analysis
Author: Terence C. MillsPublisher: Academic Press
ISBN: 0128131187
Category : Business & Economics
Languages : en
Pages : 354
Book Description
Written for those who need an introduction, Applied Time Series Analysis reviews applications of the popular econometric analysis technique across disciplines. Carefully balancing accessibility with rigor, it spans economics, finance, economic history, climatology, meteorology, and public health. Terence Mills provides a practical, step-by-step approach that emphasizes core theories and results without becoming bogged down by excessive technical details. Including univariate and multivariate techniques, Applied Time Series Analysis provides data sets and program files that support a broad range of multidisciplinary applications, distinguishing this book from others. Focuses on practical application of time series analysis, using step-by-step techniques and without excessive technical detail Supported by copious disciplinary examples, helping readers quickly adapt time series analysis to their area of study Covers both univariate and multivariate techniques in one volume Provides expert tips on, and helps mitigate common pitfalls of, powerful statistical software including EVIEWS and R Written in jargon-free and clear English from a master educator with 30 years+ experience explaining time series to novices Accompanied by a microsite with disciplinary data sets and files explaining how to build the calculations used in examples
Econometric Analysis of Financial and Economic Time Series
Author: Thomas B. FombyPublisher: Emerald Group Publishing
ISBN: 0762312742
Category : Business & Economics
Languages : en
Pages : 407
Book Description
Talks about the 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, application of the technique of boosting in volatility forecasting, and more.
Applied Time Series Econometrics
Author: Helmut LütkepohlPublisher: Cambridge University Press
ISBN: 1139454730
Category : Business & Economics
Languages : en
Pages : 351
Book Description
Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.