Econometric analysis of financial and economic time series
The editors are pleased to offer the following papers to the reader in recognition and appreciation of the contributions to our literature made by Robert Engle and Sir Clive Granger, winners of the 2003 Nobel Prize in Economics. The basic themes of this part of Volume 20 of Advances in Econometrics...
| Άλλοι συγγραφείς: | , , |
|---|---|
| Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
Bingley, U.K. :
Emerald,
2006.
|
| Σειρά: | Advances in econometrics ;
v. 20, pt.2. |
| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- Realized beta : persistence and predictability / Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Ginger Wu
- Boosting-based frameworks in financial modeling : application to symbolic volatility forecasting / Valeriy V. Gavrishchaka
- Overlaying time scales in financial volatility data / Eric Hillebrand
- Evaluating the fed model of stock price valuation : an out-of-sample forecasting perspective / Dennis W. Jansen, Zijun Wang
- Structural change as an alternative to long memory in financial time series / Tze Leung Lai, Haipeng Xing
- Time series mean level and stochastic volatility modeling by smooth transition autoregressions : a Bayesian approach / Hedibert Freitas Lopes, Esther Salazar
- Estimating Taylor-type rules : an unbalanced regression? / Pierre L. Siklos, Mark E. Wohar
- Bayesian inference on mixture-of-experts for estimation of stochastic volatility / Alejandro Villagran, Gabriel Huerta
- A modern time series assessment of a statistical model for sunspot activity by C.W.J. Granger (1957) / Gawon Yoon
- Personal comments on Yoon's discussion of my 1957 paper / Clive W.J. Granger
- A new class of tail-dependent time-series models and its applications in financial time series / Zhengjun Zhang
- Asymmetric predictive abilities of nonlinear models for stock returns : evidence from density forecast comparison / Yong Bao, Tae-Hwy Lee
- Flexible seasonal time series models / Zongwu Cai, Rong Chen
- Estimation of long-memory time series models : a survey of different likelihood-based methods / Ngai Hang Chan, Wilfredo Palma
- Introduction / Thomas B. Fomby, Dek Terrell
- Good ideas / Robert F. Engle
- The creativity process / Clive W.J. Granger.
