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The Resource Econometric analysis of financial and economic time series, Part A, edited by Dek Terrell, Thomas B. Fomby

Econometric analysis of financial and economic time series, Part A, edited by Dek Terrell, Thomas B. Fomby

Label
Econometric analysis of financial and economic time series, Part A
Title
Econometric analysis of financial and economic time series
Title part
Part A
Statement of responsibility
edited by Dek Terrell, Thomas B. Fomby
Contributor
Subject
Language
eng
Cataloging source
UKM
Illustrations
illustrations
Index
no index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorDate
2004 :
http://library.link/vocab/relatedWorkOrContributorName
  • Terrell, Dek
  • Fomby, Thomas B
  • Advances in Econometrics Conference
Series statement
Advances in econometrics
Series volume
20/A
http://library.link/vocab/subjectName
Econometric models
Label
Econometric analysis of financial and economic time series, Part A, edited by Dek Terrell, Thomas B. Fomby
Instantiates
Publication
Bibliography note
Includes bibliographical references
Contents
Dedication. List of Contributors. Introduction, Dek Terrell and Thomas B. Fomby. Remarks by Robert F. Engle III and Sir Clive W.J. Granger, KB. Good Ideas, Robert F. Engle III. The Creativity Process, Sir Clive W.J. Granger, KB. Part I: Multivariate Volatility Models. A Flexible Dynamic Correlation Model, Dirk Baur. A Multivariate Skew-GARCH Model, Giovanni De Luca, Marc G. Genton, and Nicola Loperfido. Semi-Parametric Modeling of Correlation Dynamics, Christian M. Hafner, Dick van Dijk, and Philip Hans Franses. 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. Part II: High Frequency Volatility Models. Sampling Frequency and Window Length Trade-Offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations, Elena Andreou and Eric Ghysels. Model-Based Measurement of Actual Volatility in High-Frequency Data, Borus Jungbacker and Siem Jan Koopman. Noise Reduced Realized Volatility: A Kalman Filter Approach, John P. Owens and Douglas Steigerwald. Part III: Univariate Volatility Models. 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 and Pascale Valery. The Student's T Dynamic Linear Regression: Re-Examining Volatility Modeling, Maria S. Heracleous and Aris Spanos. ARCH Models for Multi-Period Forecast Uncertainty: A Reality Check Using a Panel of Density Forecasts, Kajal Lahiri and Fushang Liu. Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate GARCH(P,Q) Process, Peter A. Zadrozny
Control code
ocm62344212
Dimensions
24 cm.
Extent
xxv, 379 p.
Isbn
9780762312740
Label
Econometric analysis of financial and economic time series, Part A, edited by Dek Terrell, Thomas B. Fomby
Publication
Bibliography note
Includes bibliographical references
Contents
Dedication. List of Contributors. Introduction, Dek Terrell and Thomas B. Fomby. Remarks by Robert F. Engle III and Sir Clive W.J. Granger, KB. Good Ideas, Robert F. Engle III. The Creativity Process, Sir Clive W.J. Granger, KB. Part I: Multivariate Volatility Models. A Flexible Dynamic Correlation Model, Dirk Baur. A Multivariate Skew-GARCH Model, Giovanni De Luca, Marc G. Genton, and Nicola Loperfido. Semi-Parametric Modeling of Correlation Dynamics, Christian M. Hafner, Dick van Dijk, and Philip Hans Franses. 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. Part II: High Frequency Volatility Models. Sampling Frequency and Window Length Trade-Offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations, Elena Andreou and Eric Ghysels. Model-Based Measurement of Actual Volatility in High-Frequency Data, Borus Jungbacker and Siem Jan Koopman. Noise Reduced Realized Volatility: A Kalman Filter Approach, John P. Owens and Douglas Steigerwald. Part III: Univariate Volatility Models. 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 and Pascale Valery. The Student's T Dynamic Linear Regression: Re-Examining Volatility Modeling, Maria S. Heracleous and Aris Spanos. ARCH Models for Multi-Period Forecast Uncertainty: A Reality Check Using a Panel of Density Forecasts, Kajal Lahiri and Fushang Liu. Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate GARCH(P,Q) Process, Peter A. Zadrozny
Control code
ocm62344212
Dimensions
24 cm.
Extent
xxv, 379 p.
Isbn
9780762312740

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