Author: Enrique Sentana IváñezPublisher:
ISBN:
Category :
Languages : en
Pages : 14
Book Description
The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models
Author: Enrique Sentana IváñezPublisher:
ISBN:
Category :
Languages : en
Pages : 14
Book Description
The Relation Between Conditionally Heteroskedastic Factor Models and Factor Garch Models
Author: Enrique SentanaMultivariate Time Series Analysis and Applications
Author: William W. S. WeiPublisher: John Wiley & Sons
ISBN: 1119502853
Category : Mathematics
Languages : en
Pages : 536
Book Description
An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field Following the highly successful and much lauded book, Time Series Analysis—Univariate and Multivariate Methods, this new work by William W.S. Wei focuses on high dimensional multivariate time series, and is illustrated with numerous high dimensional empirical time series. Beginning with the fundamentalconcepts and issues of multivariate time series analysis,this book covers many topics that are not found in general multivariate time series books. Some of these are repeated measurements, space-time series modelling, and dimension reduction. The book also looks at vector time series models, multivariate time series regression models, and principle component analysis of multivariate time series. Additionally, it provides readers with information on factor analysis of multivariate time series, multivariate GARCH models, and multivariate spectral analysis of time series. With the development of computers and the internet, we have increased potential for data exploration. In the next few years, dimension will become a more serious problem. Multivariate Time Series Analysis and its Applications provides some initial solutions, which may encourage the development of related software needed for the high dimensional multivariate time series analysis. Written by bestselling author and leading expert in the field Covers topics not yet explored in current multivariate books Features classroom tested material Written specifically for time series courses Multivariate Time Series Analysis and its Applications is designed for an advanced time series analysis course. It is a must-have for anyone studying time series analysis and is also relevant for students in economics, biostatistics, and engineering.
Conditionally Heteroskedastic Factor Models
Author: Catherine DozPublisher:
ISBN:
Category : Business enterprises
Languages : en
Pages : 0
Book Description
Conditionally Heteroskedastic Factor Models : Identification and Instrumental Variables Estimation
Author: Renault, ÉricPublisher: Montréal : CIRANO
ISBN:
Category :
Languages : en
Pages : 55
Book Description
Handbook of Financial Time Series
Author: Torben Gustav AndersenPublisher: 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.
Contemporaneous Aggregation of GARCH Processes
Author: Paolo ZaffaroniPublisher:
ISBN:
Category : Heteroscedasticity
Languages : en
Pages : 60
Book Description
Macroeconometrics and Time Series Analysis
Author: Steven DurlaufPublisher: Springer
ISBN: 0230280838
Category : Business & Economics
Languages : en
Pages : 417
Book Description
Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
A Practical Guide to Forecasting Financial Market Volatility
Author: Ser-Huang PoonPublisher: John Wiley & Sons
ISBN: 0470856157
Category : Business & Economics
Languages : en
Pages : 236
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: Enrique Sentana