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. 1. |
| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- A multivariate heavy-tailed distribution for ARCH/GARCH residuals / Dimitris N. Politis
- A portmanteau test for multivariate GARCH when the conditional mean is an ECM : theory and empirical applications / Chor-yiu Sin
- Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations / Elena Andreou, Eric Ghysels
- Model-based measurement of actual volatility in high-frequency data / Borus Jungbacker, Siem Jan Koopman
- Noise reduced realized volatility : a kalman filter approach / John P. Owens, Douglas G. Steigerwald
- Modeling the asymmetry of stock movements using price ranges / Ray Y. Chou
- On a simple two-stage closed-form estimator for a stochastic volatility in a general linear regression / Jean-Marie Dufour, Pascale Valéry
- The Student's t / Maria S. Heracleous, Aris Spanos
- A flexible dynamic correlation model / Dirk Baur
- ARCH models for multi-period forecast uncertainty : a reality check using a panel of density forecasts / Kajal Lahiri, Fushang Liu
- A multivariate skew-garch model / Giovanni De Luca, Marc G. Genton, Nicola Loperfido
- Necessary and sufficient restrictions for existence of a unique fourth moment of a univariate garch(p / Peter A. Zadrozny
- Semi-parametric modelling of correlation dynamics / Christian M. Hafner, Dick van Dijk, Philip Hans Franses
- Introduction / Dell Terrell, Thomas B. Fomby
- Good ideas / Robert F. Engle
- The creativity process / Clive W.J. Granger.
