Modelling Nonlinear Economic Relationships

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Modelling Nonlinear Economic Relationships

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Author : Clive William John Granger
language : en
Publisher: Oxford University Press, USA
Release Date : 1993

Modelling Nonlinear Economic Relationships written by Clive William John Granger and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Social Science categories.

Modelling Nonlinear Economic Time Series

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Author : Timo Teräsvirta
language : en
Publisher: OUP Oxford
Release Date : 2010-12-16

Modelling Nonlinear Economic Time Series written by Timo Teräsvirta and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-16 with Business & Economics categories.

This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary frameworks, and both parametric and nonparametric models are discussed. The book contains examples of nonlinear models in economic theory and presents the most common nonlinear time series models. Importantly, it shows the reader how to apply these models in practice. For thispurpose, the building of various nonlinear models with its three stages of model building: specification, estimation and evaluation, is discussed in detail and is illustrated by several examples involving both economic and non-economic data. Since estimation of nonlinear time series models is carried outusing numerical algorithms, the book contains a chapter on estimating parametric nonlinear models and another on estimating nonparametric ones.Forecasting is a major reason for building time series models, linear or nonlinear. The book contains a discussion on forecasting with nonlinear models, both parametric and nonparametric, and considers numerical techniques necessary for computing multi-period forecasts from them. The main focus of the book is on models of the conditional mean, but models of the conditional variance, mainly those of autoregressive conditional heteroskedasticity, receive attention as well. A separate chapter isdevoted to state space models. As a whole, the book is an indispensable tool for researchers interested in nonlinear time series and is also suitable for teaching courses in econometrics and time series analysis.

Modelling Nonlinear Economic Time Series

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Author : Timo Teräsvirta
language : en
Publisher:
Release Date : 2010

Modelling Nonlinear Economic Time Series written by Timo Teräsvirta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Econometric models categories.

A comprehensive assessment of many recent developments in the modelling of time series, this text introduces various nonlinear models and discusses their practical use, encouraging the reader to apply nonlinear models to their practical modelling problems.

Nonlinear Time Series Analysis Of Economic And Financial Data

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Author : Philip Rothman
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Nonlinear Time Series Analysis Of Economic And Financial Data written by Philip Rothman and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.

Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.

Non Linear Time Series Models In Empirical Finance

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Author : Philip Hans Franses
language : en
Publisher: Cambridge University Press
Release Date : 2000-07-27

Non Linear Time Series Models In Empirical Finance written by Philip Hans Franses and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-07-27 with Business & Economics categories.

Although many of the models commonly used in empirical finance are linear, the nature of financial data suggests that non-linear models are more appropriate for forecasting and accurately describing returns and volatility. The enormous number of non-linear time series models appropriate for modeling and forecasting economic time series models makes choosing the best model for a particular application daunting. This classroom-tested advanced undergraduate and graduate textbook, first published in 2000, provides a rigorous treatment of recently developed non-linear models, including regime-switching and artificial neural networks. The focus is on the potential applicability for describing and forecasting financial asset returns and their associated volatility. The models are analysed in detail and are not treated as 'black boxes'. Illustrated using a wide range of financial data, drawn from sources including the financial markets of Tokyo, London and Frankfurt.

Essays In Nonlinear Time Series Econometrics

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Author : Niels Haldrup
language : en
Publisher: OUP Oxford
Release Date : 2014-06-26

Essays In Nonlinear Time Series Econometrics written by Niels Haldrup and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-26 with Business & Economics categories.

This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.

The New Palgrave Dictionary Of Economics

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Author :
language : en
Publisher: Springer
Release Date : 2016-05-18

The New Palgrave Dictionary Of Economics written by and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-18 with Law categories.

The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.

Wavelet Applications In Economics And Finance

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Author : Marco Gallegati
language : en
Publisher: Springer
Release Date : 2014-08-04

Wavelet Applications In Economics And Finance written by Marco Gallegati and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-08-04 with Business & Economics categories.

This book deals with the application of wavelet and spectral methods for the analysis of nonlinear and dynamic processes in economics and finance. It reflects some of the latest developments in the area of wavelet methods applied to economics and finance. The topics include business cycle analysis, asset prices, financial econometrics, and forecasting. An introductory paper by James Ramsey, providing a personal retrospective of a decade's research on wavelet analysis, offers an excellent overview over the field.

Nonlinear Modelling Of High Frequency Financial Time Series

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Author : Christian L. Dunis
language : en
Publisher: John Wiley & Sons
Release Date : 1998-07-09

Nonlinear Modelling Of High Frequency Financial Time Series written by Christian L. Dunis and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-07-09 with Business & Economics categories.

The mathematical techniques and models used in the forecasting of financial markets grow ever more sophisticated - as books, traders, analysts and investors seek to gain an edge on their competitors. This text focuses on the issue of non-linear modelling of high frequency financial data. Non-linearity refers to situations in which there is a high degree of apparent randomness to the way in which a particular financial measure, price, interest rate, or exchange rate moves with time.

Essays In Honor Of Joon Y Park

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Author : Yoosoon Chang
language : en
Publisher: Emerald Group Publishing
Release Date : 2023-04-24

Essays In Honor Of Joon Y Park written by Yoosoon Chang and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-04-24 with Business & Economics categories.

Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.