Continuous Time Econometrics

Author : G. Gandolfo
Publisher : Springer Science & Business Media
Page : 273 pages
File Size : 49,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9789401115421

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Continuous-Time Econometrics by G. Gandolfo Pdf

Continuous-time econometrics is no longer an esoteric subject although most still regard it as such, so much so that it is hardly mentioned in standard textbooks on econometrics. Thanks to the work done in the last 20 years, both the theoretical and the applied side are by now well developed. Methods of estimation have been theoretically elaborated and practically implemented through computer programs. Continuous-time macroeconometric models for different countries have been constructed, estimated and used. Being myself involved in these developments, it was with great pleasure that I accepted the invitation to organize a session on continuous-time econometrics in the context of the International Symposium on Economic Modelling (jointly organized by the University of Urbino and the book series International Studies in Economic Modelling, and co-sponsored by the Consiglio Nazionale delle Ricerche). The reaction of 'continuists' from all over the world was so enthusiastic that I was able to arrange two sessions, one on the theory and the other on the applications. The symposium was held in Urbino on 23-25 July 1990. The papers presented in Urbino have been revised in the light of the discussion at the symposium and the referees' comments. Hence, what is published here should become another standard reference in the field of continuous-time econometrics.

Author : Albert Rex Bergstrom
Publisher : Oxford University Press, USA
Page : 344 pages
File Size : 55,7 Mb
Release : 1990
Category : Econometric models
ISBN : UCAL:B4355739

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Continuous Time Econometric Modelling by Albert Rex Bergstrom Pdf

Author : Bernard Dumas,Elisa Luciano
Publisher : MIT Press
Page : 641 pages
File Size : 51,8 Mb
Release : 2017-10-27
Category : Business & Economics
ISBN : 9780262036542

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The Economics of Continuous-Time Finance by Bernard Dumas,Elisa Luciano Pdf

An introduction to economic applications of the theory of continuous-time finance that strikes a balance between mathematical rigor and economic interpretation of financial market regularities. This book introduces the economic applications of the theory of continuous-time finance, with the goal of enabling the construction of realistic models, particularly those involving incomplete markets. Indeed, most recent applications of continuous-time finance aim to capture the imperfections and dysfunctions of financial markets—characteristics that became especially apparent during the market turmoil that started in 2008. The book begins by using discrete time to illustrate the basic mechanisms and introduce such notions as completeness, redundant pricing, and no arbitrage. It develops the continuous-time analog of those mechanisms and introduces the powerful tools of stochastic calculus. Going beyond other textbooks, the book then focuses on the study of markets in which some form of incompleteness, volatility, heterogeneity, friction, or behavioral subtlety arises. After presenting solutions methods for control problems and related partial differential equations, the text examines portfolio optimization and equilibrium in incomplete markets, interest rate and fixed-income modeling, and stochastic volatility. Finally, it presents models where investors form different beliefs or suffer frictions, form habits, or have recursive utilities, studying the effects not only on optimal portfolio choices but also on equilibrium, or the price of primitive securities. The book strikes a balance between mathematical rigor and the need for economic interpretation of financial market regularities, although with an emphasis on the latter.

Author : Albert Rex Bergstrom,Khalid Ben Nowman
Publisher : Cambridge University Press
Page : 315 pages
File Size : 47,8 Mb
Release : 2007-04-16
Category : Business & Economics
ISBN : 9780521875493

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A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends by Albert Rex Bergstrom,Khalid Ben Nowman Pdf

This monograph presents a continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. It describes the model in detail to permit a rigorous mathematical analysis of its steady-state and stability properties, thus providing a valuable check on the capacity of the model to generate plausible long-run behaviour.

Author : Kees van Montfort,Johan H.L. Oud,Manuel C. Voelkle
Publisher : Springer
Page : 442 pages
File Size : 44,7 Mb
Release : 2018-10-11
Category : Medical
ISBN : 9783319772196

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Continuous Time Modeling in the Behavioral and Related Sciences by Kees van Montfort,Johan H.L. Oud,Manuel C. Voelkle Pdf

This unique book provides an overview of continuous time modeling in the behavioral and related sciences. It argues that the use of discrete time models for processes that are in fact evolving in continuous time produces problems that make their application in practice highly questionable. One main issue is the dependence of discrete time parameter estimates on the chosen time interval, which leads to incomparability of results across different observation intervals. Continuous time modeling by means of differential equations offers a powerful approach for studying dynamic phenomena, yet the use of this approach in the behavioral and related sciences such as psychology, sociology, economics and medicine, is still rare. This is unfortunate, because in these fields often only a few discrete time (sampled) observations are available for analysis (e.g., daily, weekly, yearly, etc.). However, as emphasized by Rex Bergstrom, the pioneer of continuous-time modeling in econometrics, neither human beings nor the economy cease to exist in between observations. In 16 chapters, the book addresses a vast range of topics in continuous time modeling, from approaches that closely mimic traditional linear discrete time models to highly nonlinear state space modeling techniques. Each chapter describes the type of research questions and data that the approach is most suitable for, provides detailed statistical explanations of the models, and includes one or more applied examples. To allow readers to implement the various techniques directly, accompanying computer code is made available online. The book is intended as a reference work for students and scientists working with longitudinal data who have a Master's- or early PhD-level knowledge of statistics.

Author : Albert Rex Bergstrom,Khalid Ben Nowman
Publisher : Cambridge University Press
Page : 315 pages
File Size : 52,6 Mb
Release : 2007-04-16
Category : Business & Economics
ISBN : 9781107321144

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A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends by Albert Rex Bergstrom,Khalid Ben Nowman Pdf

Over the last thirty years there has been extensive use of continuous time econometric methods in macroeconomic modelling. This monograph presents a continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. Its development represents a major step forward in continuous time macroeconomic modelling. The book describes the model in detail and, like earlier models, it is designed in such a way as to permit a rigorous mathematical analysis of its steady-state and stability properties, thus providing a valuable check on the capacity of the model to generate plausible long-run behaviour. The model is estimated using newly developed exact Gaussian estimation methods for continuous time econometric models incorporating unobservable stochastic trends. The book also includes discussion of the application of the model to dynamic analysis and forecasting.

Author : Andrew Wen-Chuan Lo
Publisher : Edward Elgar Publishing
Page : 680 pages
File Size : 48,8 Mb
Release : 2007
Category : Business & Economics
ISBN : IND:30000110573056

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Continuous-time Methods and Market Microstructure by Andrew Wen-Chuan Lo Pdf

Presents a selection of the most important articles in the field of financial econometrics. Starting with a review of the philosophical background, this collection covers such topics as the random walk hypothesis, long-memory processes, asset pricing, arbitrage pricing theory, variance bounds tests, term structure models, and more.

Author : Eric Zivot,Jiahui Wang
Publisher : Springer Science & Business Media
Page : 632 pages
File Size : 54,9 Mb
Release : 2013-11-11
Category : Business & Economics
ISBN : 9780387217635

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Modeling Financial Time Series with S-PLUS by Eric Zivot,Jiahui Wang Pdf

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 : Miroslav Verbič
Publisher : BoD – Books on Demand
Page : 129 pages
File Size : 42,7 Mb
Release : 2011-07-27
Category : Business & Economics
ISBN : 9789533075037

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Advances in Econometrics by Miroslav Verbič Pdf

Econometrics is becoming a highly developed and highly mathematicized array of its own sub disciplines, as it should be, as economies are becoming increasingly complex, and scientific economic analyses require progressively thorough knowledge of solid quantitative methods. This book thus provides recent insight on some key issues in econometric theory and applications. The volume first focuses on three recent advances in econometric theory: non-parametric estimation, instrument generating functions, and seasonal volatility models. Additionally, three recent econometric applications are presented: continuous time duration analysis, panel data analysis dealing with endogeneity and selectivity biases, and seemingly unrelated regression analysis. Intended as an electronic edition, providing immediate "open access" to its content, the book is easy to follow and will be of interest to professionals involved in econometrics.

Author : Arie ten Cate
Publisher : Unknown
Page : 46 pages
File Size : 43,5 Mb
Release : 2004
Category : Econometric models
ISBN : IND:30000096447218

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Refinement of the Partial Adjustment Model Using Continuous-time Econometrics by Arie ten Cate Pdf

Author : Yacine Ait-Sahalia,Lars Peter Hansen
Publisher : Elsevier
Page : 808 pages
File Size : 41,7 Mb
Release : 2009-10-19
Category : Business & Economics
ISBN : 0080929842

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Handbook of Financial Econometrics by Yacine Ait-Sahalia,Lars Peter Hansen Pdf

This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections

Author : William A. Barnett,Giancarlo Gandolfo,Claude Hillinger
Publisher : Cambridge University Press
Page : 556 pages
File Size : 46,7 Mb
Release : 1996-06-13
Category : Business & Economics
ISBN : 0521462754

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Dynamic Disequilibrium Modeling: Theory and Applications by William A. Barnett,Giancarlo Gandolfo,Claude Hillinger Pdf

. The organizers of the ninth symposium, which produced the current proceedings volume, were Claude Hillinger at the University of Munich, Giancarlo Gandolfo at the University of Rome "La Sapienza," A. R. Bergstrom at the University of Essex, and P. C. B. Phillips at Yale University.

Author : Kees van Montfort,Johan H.L. Oud,Albert Satorra
Publisher : Springer Science & Business Media
Page : 311 pages
File Size : 43,6 Mb
Release : 2010-05-17
Category : Mathematics
ISBN : 9783642117602

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Longitudinal Research with Latent Variables by Kees van Montfort,Johan H.L. Oud,Albert Satorra Pdf

Since Charles Spearman published his seminal paper on factor analysis in 1904 and Karl Joresk ̈ og replaced the observed variables in an econometric structural equation model by latent factors in 1970, causal modelling by means of latent variables has become the standard in the social and behavioural sciences. Indeed, the central va- ables that social and behavioural theories deal with, can hardly ever be identi?ed as observed variables. Statistical modelling has to take account of measurement - rors and invalidities in the observed variables and so address the underlying latent variables. Moreover, during the past decades it has been widely agreed on that serious causal modelling should be based on longitudinal data. It is especially in the ?eld of longitudinal research and analysis, including panel research, that progress has been made in recent years. Many comprehensive panel data sets as, for example, on human development and voting behaviour have become available for analysis. The number of publications based on longitudinal data has increased immensely. Papers with causal claims based on cross-sectional data only experience rejection just for that reason.

Author : Albert Rex Bergstrom
Publisher : North-Holland
Page : 352 pages
File Size : 55,5 Mb
Release : 1976
Category : Econometrics
ISBN : UCAL:B5597088

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Statistical Inference in Continuous Time Economic Models by Albert Rex Bergstrom Pdf

Non-recursive models as discrete approximations to systems of stochastic differential equations; Some discrete approximations to continuous time stochastic models; Econometric estimation of stochastic differential equation systems; The structural estimation of a stochastic differnetial equation system; The problem of identification in finite parameter continuous time models; The estimation of linear stochastic differnetial equations with exogenous variables; Some computations based on observed data series of the exogenous variable component in continuous systems; Fourier estimation of continuous time models; A model of disequilibrium neoclassical growth and its applications to the United Kingdom.

Author : D.R. Cox,D.V. Hinkley,O.E. Barndorff-Nielsen
Publisher : CRC Press
Page : 244 pages
File Size : 40,9 Mb
Release : 1996-05-15
Category : Mathematics
ISBN : 041272930X

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Time Series Models by D.R. Cox,D.V. Hinkley,O.E. Barndorff-Nielsen Pdf

The analysis prediction and interpolation of economic and other time series has a long history and many applications. Major new developments are taking place, driven partly by the need to analyze financial data. The five papers in this book describe those new developments from various viewpoints and are intended to be an introduction accessible to readers from a range of backgrounds. The book arises out of the second Seminaire European de Statistique (SEMSTAT) held in Oxford in December 1994. This brought together young statisticians from across Europe, and a series of introductory lectures were given on topics at the forefront of current research activity. The lectures form the basis for the five papers contained in the book. The papers by Shephard and Johansen deal respectively with time series models for volatility, i.e. variance heterogeneity, and with cointegration. Clements and Hendry analyze the nature of prediction errors. A complementary review paper by Laird gives a biometrical view of the analysis of short time series. Finally Astrup and Nielsen give a mathematical introduction to the study of option pricing. Whilst the book draws its primary motivation from financial series and from multivariate econometric modelling, the applications are potentially much broader.