Modelling Nonlinear Economic Time Series - 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 Modelling Nonlinear Economic Time Series write by Timo Teräsvirta. This book was released on 2010-12-16. Modelling Nonlinear Economic Time Series available in PDF, EPUB and Kindle. This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary frameworks, and both parametric and nonparametric models are discussed. The book contains examples of nonlinear models in economic theory and presents the most common nonlinear time series models. Importantly, it shows the reader how to apply these models in practice. For thispurpose, the building of various nonlinear models with its three stages of model building: specification, estimation and evaluation, is discussed in detail and is illustrated by several examples involving both economic and non-economic data. Since estimation of nonlinear time series models is carried outusing numerical algorithms, the book contains a chapter on estimating parametric nonlinear models and another on estimating nonparametric ones.Forecasting is a major reason for building time series models, linear or nonlinear. The book contains a discussion on forecasting with nonlinear models, both parametric and nonparametric, and considers numerical techniques necessary for computing multi-period forecasts from them. The main focus of the book is on models of the conditional mean, but models of the conditional variance, mainly those of autoregressive conditional heteroskedasticity, receive attention as well. A separate chapter isdevoted to state space models. As a whole, the book is an indispensable tool for researchers interested in nonlinear time series and is also suitable for teaching courses in econometrics and time series analysis.
Modelling Nonlinear Economic Time Series
Modelling Nonlinear Economic Time Series - 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 Modelling Nonlinear Economic Time Series write by Timo Teräsvirta. This book was released on 2010. Modelling Nonlinear Economic Time Series available in PDF, EPUB and Kindle. A comprehensive assessment of many recent developments in the modelling of time series, this text introduces various nonlinear models and discusses their practical use, encouraging the reader to apply nonlinear models to their practical modelling problems.
Non-Linear Time Series Models in Empirical Finance
Non-Linear Time Series Models in Empirical Finance - 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 Non-Linear Time Series Models in Empirical Finance write by Philip Hans Franses. This book was released on 2000-07-27. Non-Linear Time Series Models in Empirical Finance available in PDF, EPUB and Kindle. This 2000 volume reviews non-linear time series models, and their applications to financial markets.
Nonlinear Economic Models
Nonlinear Economic 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 Nonlinear Economic Models write by John Creedy. This book was released on 1997. Nonlinear Economic Models available in PDF, EPUB and Kindle. A sequel to Creedy and Martin's (eds.) Chaos and Nonlinear Models (1994). Compiles recent developments in such techniques as cross- sectional studies of income distribution and discrete choice models, time series models of exchange rate dynamics and jump processes, and artificial neural networks and genetic algorithms of financial markets. Also considers the development of theoretical models and estimating and testing methods, with a wide range of applications in microeconomics, macroeconomics, labor, and finance. Annotation copyrighted by Book News, Inc., Portland, OR
Modelling Financial Time Series
Modelling Financial Time Series - 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 Modelling Financial Time Series write by Stephen J. Taylor. This book was released on 2008. Modelling Financial Time Series available in PDF, EPUB and Kindle. This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends. Sample Chapter(s). Chapter 1: Introduction (1,134 KB). Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series. Readership: Academic researchers in finance & economics; quantitative analysts.
