Macroeconometric Models for Portfolio Management - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Macroeconometric Models for Portfolio Management write by Jeremy Kwok. This book was released on 2021-09-07. Macroeconometric Models for Portfolio Management available in PDF, EPUB and Kindle. ‘Macroeconometric Models for Portfolio Management’ begins by outlining a portfolio management framework into which macroeconometric models and backtesting investment strategies are integrated. It is followed by a discussion on the theoretical backgrounds of both small and global large macroeconometric models, including data selection, estimation, and applications. Other practical concerns essential to managing a portfolio with decisions driven by macro models are also covered: model validation, forecast combination, and evaluation. The author then focuses on applying these models and their results on managing the portfolio, including making trading rules and asset allocation across different assets and risk management. The book finishes by showing portfolio examples where different investment strategies are used and illustrate how the framework can be applied from the beginning of collecting data, model estimation, and generating forecasts to how to manage portfolios accordingly. This book aims to bridge the gap between academia and practising professionals. Readers will attain a rigorous understanding of the theory and how to apply these models to their portfolios. Therefore, ‘Macroeconometric Models for Portfolio Management’ will be of interest to academics and scholars working in macroeconomics and finance; to industry professionals working in financial economics and asset management; to asset managers and investors who prefer systematic investing over discretionary investing; and to investors who have a strong interest in macroeconomic influences on their portfolio.
Specification, Estimation, and Analysis of Macroeconometric Models
Specification, Estimation, and Analysis of Macroeconometric Models - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Specification, Estimation, and Analysis of Macroeconometric Models write by Ray C. Fair. This book was released on 1984. Specification, Estimation, and Analysis of Macroeconometric Models available in PDF, EPUB and Kindle. This book gives a practical, applications-oriented account of the latest techniques for estimating and analyzing large, nonlinear macroeconomic models. Ray Fair demonstrates the application of these techniques in a detailed presentation of several actual models, including his United States model, his multicountry model, Sargent's classical macroeconomic model, autoregressive and vector autoregressive models, and a small (twelve equation) linear structural model. He devotes a good deal of attention to the difficult and often neglected problem of moving from theoretical to econometric models. In addition, he provides an extensive discussion of optimal control techniques and methods for estimating and analyzing rational expectations models. A computer program that handles all the techniques in the book is available from the author, making it possible to use the techniques with little additional programming. The book presents the logic of this program. A smaller program for personal microcomputers for analysis of Fair's United States model is available from Urban Systems Research & Engineering, Inc. Anyone wanting to learn how to use large macroeconomic models, including researchers, graduate students, economic forecasters, and people in business and government both in the United States and abroad, will find this an essential guidebook.
Inside a Modern Macroeconometric Model
Inside a Modern Macroeconometric Model - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Inside a Modern Macroeconometric Model write by Alan A. Powell. This book was released on 2012-12-06. Inside a Modern Macroeconometric Model available in PDF, EPUB and Kindle. The main purpose of this monograph is to give a detailed account of a contemporary, state-of-the art, macroeconometric model that is regularly used for policy advising, and for forecasting in commerce and industry.
Income Distribution in Macroeconomic Models
Income Distribution in Macroeconomic Models - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Income Distribution in Macroeconomic Models write by Giuseppe Bertola. This book was released on 2014-09-28. Income Distribution in Macroeconomic Models available in PDF, EPUB and Kindle. This book looks at the distribution of income and wealth and the effects that this has on the macroeconomy, and vice versa. Is a more equal distribution of income beneficial or harmful for macroeconomic growth, and how does the distribution of wealth evolve in a market economy? Taking stock of results and methods developed in the context of the 1990s revival of growth theory, the authors focus on capital accumulation and long-run growth. They show how rigorous, optimization-based technical tools can be applied, beyond the representative-agent framework of analysis, to account for realistic market imperfections and for political-economic interactions. The treatment is thorough, yet accessible to students and nonspecialist economists, and it offers specialist readers a wide-ranging and innovative treatment of an increasingly important research field. The book follows a single analytical thread through a series of different growth models, allowing readers to appreciate their structure and crucial assumptions. This is particularly useful at a time when the literature on income distribution and growth has developed quickly and in several different directions, becoming difficult to overview.
Testing Macroeconometric Models
Testing Macroeconometric Models - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Testing Macroeconometric Models write by Ray C. Fair. This book was released on 1994. Testing Macroeconometric Models available in PDF, EPUB and Kindle. In this book Ray Fair expounds powerful techniques for estimating and analyzing macroeconometric models. He takes advantage of the remarkable decrease in computational costs that has occurred since the early 1980s by implementing such sophisticated techniques as stochastic simulation. Testing Macroeconometric Models also incorporates the assumption of rational expectations in the estimation, solution, and testing of the models. And it presents the latest versions of Fair's models of the economies of the United States and other countries. After estimating and testing the U.S. model, Fair analyzes its properties, including those relevant to economic policymakers: the optimal monetary policy instrument, the effect of a government spending reduction on the government deficit, whether monetary policy is becoming less effective over time, and the sensitivity of policy effects to the assumption of rational expectations. Ray Fair has conducted research on structural macroeconometric models for more than twenty years. With interest increasing in the area, this book will be an essential reference for macroeconomists.
