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.
Macroeconometric Models
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 Macroeconometric Models write by Władysław Welfe. This book was released on 2013-02-15. Macroeconometric Models available in PDF, EPUB and Kindle. This book gives a comprehensive description of macroeconometric modeling and its development over time. The first part depicts the history of macroeconometric model building, starting with Jan Tinbergen's and Lawrence R. Klein's contributions. It is unique in summarizing the development and specific structure of macroeconometric models built in North America, Europe, and various other parts of the world. The work thus offers an extensive source for researchers in the field. The second part of the book covers the systematic characteristics of macroeconometric models. It includes the household and enterprise sectors, disequilibria, financial flows, and money market sectors.
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. As Ken Wallis (1993) has pOinted out, all macroeconomic forecasters and policy analysts use economic models. That is, they have a way of going from assumptions about macroeconomic policy and the international environment, to a prediction of the likely future state of the economy. Some people do this in their heads. Increasingly though, forecasting and policy analysis is based on a formal, explicit model, represented by a set of mathematical equations and solved by computer. This provides a framework for handling, in a consistent and systematic manner, the ever-increasing amounts of relevant information. Macroeconometric modelling though, is an inexact science. A manageable model must focus only on the major driving forces in a complex economy made up of millions of households and fIrms. International economic agencies such as the IMF and OECD, and most treasuries and central banks in western countries, use macroeconometric models in their forecasting and policy analysis. Models are also used for teaching and research in universities, as well as for commercial forecasting in the private sector.
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.
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.
