Unobserved Components and Time Series Econometrics PDF Download

Author: Siem Jan Koopman
Publisher: Oxford University Press
ISBN: 0199683662
Category : Business & Economics
Languages : en
Pages : 389

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Book Description
Presents original and up-to-date studies in unobserved components (UC) time series models from both theoretical and methodological perspectives.

Author: G. Elliott
Publisher: Elsevier
ISBN: 0444513957
Category : Business & Economics
Languages : en
Pages : 1071

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Book Description
Section headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Forecasting Methods.'.

Author: Ser-Huang Poon
Publisher: John Wiley & Sons
ISBN: 0470856157
Category : Business & Economics
Languages : en
Pages : 236

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Book Description
Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.

Author: Gary Koop
Publisher: Now Publishers Inc
ISBN: 160198362X
Category : Business & Economics
Languages : en
Pages : 104

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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: National Bureau of Economic Research
Publisher: MIT Press
ISBN: 9780262572293
Category : Business & Economics
Languages : en
Pages : 508

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Book Description
Papers by leading researchers consider such questions as the effect of government debt on interest rates; technology shocks, demand shocks, and output volatility; and procyclical macroeconomic policies in developing countries.

Author: John B. Taylor
Publisher: Elsevier
ISBN: 0444594884
Category : Business & Economics
Languages : en
Pages : 3009

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Book Description
Handbook of Macroeconomics Volumes 2A and 2B surveys major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues, including fiscal, monetary, and regulatory policies to deal with crises, unemployment, and economic growth. As this volume shows, macroeconomics has undergone a profound change since the publication of the last volume, due in no small part to the questions thrust into the spotlight by the worldwide financial crisis of 2008. With contributions from the world's leading macroeconomists, its reevaluation of macroeconomic scholarship and assessment of its future constitute an investment worth making. - Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research - Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade - Builds upon Volume 1 by using its section headings to illustrate just how far macroeconomic thought has evolved

Author: Mark Watson
Publisher: Oxford University Press
ISBN: 0199549494
Category : Business & Economics
Languages : en
Pages : 432

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Book Description
A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics

Author: Lutz Kilian
Publisher: Cambridge University Press
ISBN: 1107196574
Category : Business & Economics
Languages : en
Pages : 757

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Book Description
This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.

Author: Jagjit S. Chadha
Publisher: Cambridge University Press
ISBN: 1107044553
Category : Business & Economics
Languages : en
Pages : 571

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Book Description
State-of-the-art research from academics and policymakers on the role of and challenges to monetary policy during the ongoing financial crisis.

Author: Helmut Lütkepohl
Publisher: Springer Science & Business Media
ISBN: 9783540262398
Category : Business & Economics
Languages : en
Pages : 792

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Book Description
This is the new and totally revised edition of Lütkepohl’s classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.