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| Author | : Mark Watson |
| Publisher | : Oxford University Press |
| Total Pages | : 432 |
| Release | : 2010-02-11 |
| Genre | : Business & Economics |
| ISBN | : 0199549494 |
A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
| Author | : Klaus Neusser |
| Publisher | : Springer |
| Total Pages | : 421 |
| Release | : 2016-06-14 |
| Genre | : Business & Economics |
| ISBN | : 331932862X |
This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students.
| Author | : Andrew C. Harvey |
| Publisher | : Cambridge University Press |
| Total Pages | : 281 |
| Release | : 2013-04-22 |
| Genre | : Business & Economics |
| ISBN | : 1107328780 |
The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have provided the principal means of analyzing, modeling and monitoring such changes. Taking into account that financial returns typically exhibit heavy tails - that is, extreme values can occur from time to time - Andrew Harvey's new book shows how a small but radical change in the way GARCH models are formulated leads to a resolution of many of the theoretical problems inherent in the statistical theory. The approach can also be applied to other aspects of volatility. The more general class of Dynamic Conditional Score models extends to robust modeling of outliers in the levels of time series and to the treatment of time-varying relationships. The statistical theory draws on basic principles of maximum likelihood estimation and, by doing so, leads to an elegant and unified treatment of nonlinear time-series modeling.
| Author | : John D. Levendis |
| Publisher | : Springer |
| Total Pages | : 409 |
| Release | : 2019-01-31 |
| Genre | : Business & Economics |
| ISBN | : 3319982826 |
In this book, the author rejects the theorem-proof approach as much as possible, and emphasize the practical application of econometrics. They show with examples how to calculate and interpret the numerical results. This book begins with students estimating simple univariate models, in a step by step fashion, using the popular Stata software system. Students then test for stationarity, while replicating the actual results from hugely influential papers such as those by Granger and Newbold, and Nelson and Plosser. Readers will learn about structural breaks by replicating papers by Perron, and Zivot and Andrews. They then turn to models of conditional volatility, replicating papers by Bollerslev. Finally, students estimate multi-equation models such as vector autoregressions and vector error-correction mechanisms, replicating the results in influential papers by Sims and Granger. The book contains many worked-out examples, and many data-driven exercises. While intended primarily for graduate students and advanced undergraduates, practitioners will also find the book useful.
| Author | : Tomas Cipra |
| Publisher | : Springer Nature |
| Total Pages | : 409 |
| Release | : 2020-08-31 |
| Genre | : Business & Economics |
| ISBN | : 3030463478 |
This book presents the principles and methods for the practical analysis and prediction of economic and financial time series. It covers decomposition methods, autocorrelation methods for univariate time series, volatility and duration modeling for financial time series, and multivariate time series methods, such as cointegration and recursive state space modeling. It also includes numerous practical examples to demonstrate the theory using real-world data, as well as exercises at the end of each chapter to aid understanding. This book serves as a reference text for researchers, students and practitioners interested in time series, and can also be used for university courses on econometrics or computational finance.
| Author | : Helmut Lütkepohl |
| Publisher | : Cambridge University Press |
| Total Pages | : 351 |
| Release | : 2004-08-02 |
| Genre | : Business & Economics |
| ISBN | : 1139454730 |
Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.
| Author | : Pierre Perron |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : Econometrics |
| ISBN | : 9789813237896 |
Part I. Unit roots and trend breaks -- Part II. Structural change
| Author | : Massimo Guidolin |
| Publisher | : Academic Press |
| Total Pages | : 435 |
| Release | : 2018-05-29 |
| Genre | : Business & Economics |
| ISBN | : 0128134100 |
Essentials of Time Series for Financial Applications serves as an agile reference for upper level students and practitioners who desire a formal, easy-to-follow introduction to the most important time series methods applied in financial applications (pricing, asset management, quant strategies, and risk management). Real-life data and examples developed with EViews illustrate the links between the formal apparatus and the applications. The examples either directly exploit the tools that EViews makes available or use programs that by employing EViews implement specific topics or techniques. The book balances a formal framework with as few proofs as possible against many examples that support its central ideas. Boxes are used throughout to remind readers of technical aspects and definitions and to present examples in a compact fashion, with full details (workout files) available in an on-line appendix. The more advanced chapters provide discussion sections that refer to more advanced textbooks or detailed proofs. - Provides practical, hands-on examples in time-series econometrics - Presents a more application-oriented, less technical book on financial econometrics - Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction - Features examples worked out in EViews (9 or higher)
| Author | : Eric Zivot |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 632 |
| Release | : 2013-11-11 |
| Genre | : Business & Economics |
| ISBN | : 0387217630 |
The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.
| Author | : Gebhard Kirchgässner |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 288 |
| Release | : 2008-08-27 |
| Genre | : Business & Economics |
| ISBN | : 9783540687351 |
This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series. It contains the most important approaches to analyze time series which may be stationary or nonstationary.
