Linear And Non Linear Financial Econometrics

Author : Mehmet Terzioğlu,Gordana Djurovic,Martin Bojaj
Publisher : BoD – Books on Demand
Page : 339 pages
File Size : 45,5 Mb
Release : 2021-03-17
Category : Business & Economics
ISBN : 9781839624865

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Linear and Non-Linear Financial Econometrics by Mehmet Terzioğlu,Gordana Djurovic,Martin Bojaj Pdf

The importance of experimental economics and econometric methods increases with each passing day as data quality and software performance develops. New econometric models are developed by diverging from earlier cliché econometric models with the emergence of specialized fields of study. This book, which is expected to be an extensive and useful reference by bringing together some of the latest developments in the field of econometrics, also contains quantitative examples and problem sets. We thank all the authors who contributed to this book with their studies that provide extensive and accessible explanations of the existing econometric methods.

Author : Philip Hans Franses,Dick van Dijk
Publisher : Cambridge University Press
Page : 299 pages
File Size : 47,6 Mb
Release : 2000-07-27
Category : Business & Economics
ISBN : 9780521770415

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Non-Linear Time Series Models in Empirical Finance by Philip Hans Franses,Dick van Dijk Pdf

This 2000 volume reviews non-linear time series models, and their applications to financial markets.

Author : Greg N. Gregoriou,Razvan Pascalau
Publisher : Springer
Page : 196 pages
File Size : 50,9 Mb
Release : 2010-12-08
Category : Business & Economics
ISBN : 9780230295216

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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration by Greg N. Gregoriou,Razvan Pascalau Pdf

This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.

Author : G. Gregoriou,R. Pascalau
Publisher : Springer
Page : 195 pages
File Size : 52,5 Mb
Release : 2010-12-21
Category : Business & Economics
ISBN : 9780230295223

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Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models by G. Gregoriou,R. Pascalau Pdf

This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinear models for hedging purposes, and proposes new computational techniques to estimate financial processes.

Author : Philip Rothman
Publisher : Springer Science & Business Media
Page : 379 pages
File Size : 48,6 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461551294

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Nonlinear Time Series Analysis of Economic and Financial Data by Philip Rothman Pdf

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.

Author : Bruce D. Craven,Sardar M. N. Islam
Publisher : Springer Science & Business Media
Page : 161 pages
File Size : 41,9 Mb
Release : 2006-03-30
Category : Business & Economics
ISBN : 9780387242804

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Optimization in Economics and Finance by Bruce D. Craven,Sardar M. N. Islam Pdf

Some recent developments in the mathematics of optimization, including the concepts of invexity and quasimax, have not yet been applied to models of economic growth, and to finance and investment. Their applications to these areas are shown in this book.

Author : Frauke Schleer-van Gellecom
Publisher : Springer Science & Business Media
Page : 262 pages
File Size : 46,8 Mb
Release : 2013-12-11
Category : Business & Economics
ISBN : 9783642420399

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Advances in Non-linear Economic Modeling by Frauke Schleer-van Gellecom Pdf

In recent years nonlinearities have gained increasing importance in economic and econometric research, particularly after the financial crisis and the economic downturn after 2007. This book contains theoretical, computational and empirical papers that incorporate nonlinearities in econometric models and apply them to real economic problems. It intends to serve as an inspiration for researchers to take potential nonlinearities in account. Researchers should be aware of applying linear model-types spuriously to problems which include non-linear features. It is indispensable to use the correct model type in order to avoid biased recommendations for economic policy.

Author : Yong Zeng,Shu Wu
Publisher : Springer Science & Business Media
Page : 358 pages
File Size : 47,6 Mb
Release : 2013-08-15
Category : Business & Economics
ISBN : 9781461477891

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State-Space Models by Yong Zeng,Shu Wu Pdf

State-space models as an important mathematical tool has been widely used in many different fields. This edited collection explores recent theoretical developments of the models and their applications in economics and finance. The book includes nonlinear and non-Gaussian time series models, regime-switching and hidden Markov models, continuous- or discrete-time state processes, and models of equally-spaced or irregularly-spaced (discrete or continuous) observations. The contributed chapters are divided into four parts. The first part is on Particle Filtering and Parameter Learning in Nonlinear State-Space Models. The second part focuses on the application of Linear State-Space Models in Macroeconomics and Finance. The third part deals with Hidden Markov Models, Regime Switching and Mathematical Finance and the fourth part is on Nonlinear State-Space Models for High Frequency Financial Data. The book will appeal to graduate students and researchers studying state-space modeling in economics, statistics, and mathematics, as well as to finance professionals.

Author : Moinak Maiti
Publisher : Springer Nature
Page : 287 pages
File Size : 52,9 Mb
Release : 2021-08-31
Category : Business & Economics
ISBN : 9789811640636

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Applied Financial Econometrics by Moinak Maiti Pdf

This textbook gives students an approachable, down to earth resource for the study of financial econometrics. While the subject can be intimidating, primarily due to the mathematics and modelling involved, it is rewarding for students of finance and can be taught and learned in a straightforward way. This book, going from basics to high level concepts, offers knowledge of econometrics that is intended to be used with confidence in the real world. This book will be beneficial for both students and tutors who are associated with econometrics subjects at any level.

Author : Fredj Jawadi,William A. Barnett
Publisher : Emerald Group Publishing
Page : 224 pages
File Size : 42,8 Mb
Release : 2010-12-17
Category : Business & Economics
ISBN : 9780857244895

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Nonlinear Modeling of Economic and Financial Time-Series by Fredj Jawadi,William A. Barnett Pdf

Presents researches in linear and nonlinear modelling of economic and financial time-series. This book provides a comprehensive understanding of financial and economic dynamics in various aspects using modern financial econometric methods. It also presents and discusses research findings and their implications.

Author : Bruce Desmond Craven,Sardar M. N. Islam
Publisher : Unknown
Page : 128 pages
File Size : 50,9 Mb
Release : 2007
Category : Econometric models
ISBN : OCLC:668160892

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Optimization in Economics and Finance by Bruce Desmond Craven,Sardar M. N. Islam Pdf

Many optimization questions arise in economics and finance; an important example of this is the society's choice of the optimum state of the economy (the social choice problem). This book the usual optimization techniques, in a form that may be adopted for modeling social choice problems. Problems discussed include: when is an optimum reached; when is it unique; relaxation of the conventional convex (or concave) assumptions on an economic model; associated mathematical concepts such as invex and quasimax; multiobjective optimal control models; and related computational methods and programs. These techniques are applied to economic growth models (including small stochastic perturbations), finance and financial investment models (and the interaction between financial and production variables), modeling sustainability over long time horizons, boundary (transversality) conditions, and models with several conflicting objectives. Although the applications are general and illustrative, the models in this book provide examples of possible models for a society's social choice for an allocation that maximizes welfare and utilization of resources. As well as using existing computer programs for optimization of models, a new computer program, named SCOM, is presented in this book for computing social choice models by optimal control.

Author : Niels Haldrup,Mika Meitz,Pentti Saikkonen
Publisher : OUP Oxford
Page : 352 pages
File Size : 41,9 Mb
Release : 2014-06-26
Category : Business & Economics
ISBN : 9780191669545

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Essays in Nonlinear Time Series Econometrics by Niels Haldrup,Mika Meitz,Pentti Saikkonen Pdf

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.

Author : John Y. Campbell,Andrew W. Lo,A. Craig MacKinlay
Publisher : Princeton University Press
Page : 630 pages
File Size : 50,9 Mb
Release : 2012-06-28
Category : Business & Economics
ISBN : 9781400830213

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The Econometrics of Financial Markets by John Y. Campbell,Andrew W. Lo,A. Craig MacKinlay Pdf

The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.

Author : Eric Zivot,Jiahui Wang
Publisher : Springer Science & Business Media
Page : 632 pages
File Size : 54,5 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 : Philip Hans Franses
Publisher : Unknown
Page : 0 pages
File Size : 52,9 Mb
Release : 2000
Category : Electronic
ISBN : OCLC:880993755

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Non-linear Time Series Models in Empirical Finance by Philip Hans Franses Pdf