Nonlinear Time Series Analysis of Economic and Financial Data
(Sprache: Englisch)
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...
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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.
Inhaltsverzeichnis zu „Nonlinear Time Series Analysis of Economic and Financial Data “
- Introduction; P. Rothman1. Business Cycle Turning Points: Two Empirical Business Cycle Model Approaches; A.J. Filardo, S.F. Gordon
2. A Markov Switching Cookbook; B. Mizrach, J. Watkins
3. A Reanalysis of the Spectral Properties of Some Economic and Financial Time Series; J.B. Ramsey, D.J. Thomson
4. Nonlinear Econometric Modelling: A Selective Review; N.R. Swanson, P.H. Franses
5. Unit-Root Tests and Excess Returns; M.-J. Godbout, S. van Norden
6. On the Inherent Nonlinearity of Frequency Dependent Time Series Relationships; Hui Boon Tan, R. Ashley
7. Stationarity Tests with Multiple Endogenized Breaks; Junsoo Lee
8. Nonlinear Evolution in UK Stock Returns and Volume; C. Brooks, et al
9. Nonlinear Adjustment Towards Long-Run Money Demand; P. Michael, et al
10. Asymmetric Nonlinear Smooth Transition Garch Models; H.M. Anderson, et al
11. Testing the Present Value Hypothesis from a Vector Autoregression with Stochastic Regime Switching; J. Driffill, M. Sola
12. Business Cycle Dynamics: Predicting Transitions with Macrovariables; M.O. Ravn, M. Sola
13. Searching for the Sources of Arch Behavior: Testing the Mixture of Distributions Model; P. de Fontnouvelle
14. Improved Testing and Specification of Smooth Transition Regression Models; A. Escribano, O. Jordá
15. Speculative Behavior, Regime-Switching, and Stock Market Crashes; S. van Norden, H. Schaller
16. Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test; P. Rothman
- Index/>
8. Nonlinear Evolution in UK Stock Returns and Volume; C. Brooks, et al
9. Nonlinear Adjustment Towards Long-Run Money Demand; P. Michael, et al
10. Asymmetric Nonlinear Smooth Transition Garch Models; H.M. Anderson, et al
11. Testin
Bibliographische Angaben
- 1999, 1999, 373 Seiten, Maße: 16 x 24,1 cm, Gebunden, Englisch
- Herausgegeben:Rothman, Philip
- Herausgegeben: Philip Rothman
- Verlag: Springer
- ISBN-10: 0792383796
- ISBN-13: 9780792383796
- Erscheinungsdatum: 31.01.1999
Sprache:
Englisch
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