[PDF] Recent Advances In Nonstationary Time Series A Festschrift In Honor Of Peter Cb Phillips eBook

Author : I.B. MacNeill
Publisher : Springer Science & Business Media
Page : 406 pages
File Size : 20,80 MB
Release : 2012-12-06
Category : Mathematics
ISBN : 9400947909

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On May 27-31, 1985, a series of symposia was held at The University of Western Ontario, London, Canada, to celebrate the 70th birthday of Pro fessor V. M. Joshi. These symposia were chosen to reflect Professor Joshi's research interests as well as areas of expertise in statistical science among faculty in the Departments of Statistical and Actuarial Sciences, Economics, Epidemiology and Biostatistics, and Philosophy. From these symposia, the six volumes which comprise the "Joshi Festschrift" have arisen. The 117 articles in this work reflect the broad interests and high quality of research of those who attended our conference. We would like to thank all of the contributors for their superb cooperation in helping us to complete this project. Our deepest gratitude must go to the three people who have spent so much of their time in the past year typing these volumes: Jackie Bell, Lise Constant, and Sandy Tarnowski. This work has been printed from "camera ready" copy produced by our Vax 785 computer and QMS Lasergraphix printers, using the text processing software TEX. At the initiation of this project, we were neophytes in the use of this system. Thank you, Jackie, Lise, and Sandy, for having the persistence and dedication needed to complete this undertaking.

Author : Angeliki Menegaki
Publisher : Academic Press
Page : 416 pages
File Size : 16,87 MB
Release : 2018-03-29
Category : Business & Economics
ISBN : 0128127473

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The Economics and Econometrics of the Energy-Growth Nexus recognizes that research in the energy-growth nexus field is heterogeneous and controversial. To make studies in the field as comparable as possible, chapters cover aggregate energy and disaggregate energy consumption and single country and multiple country analysis. As a foundational resource that helps researchers answer fundamental questions about their energy-growth projects, it combines theory and practice to classify and summarize the literature and explain the econometrics of the energy-growth nexus. The book provides order and guidance, enabling researchers to feel confident that they are adhering to widely accepted assumptions and procedures. Provides guidance about selecting and implementing econometric tools and interpreting empirical findings Equips researchers to get clearer pictures of the most robust relationships between variables Covers up-to-date empirical and econometric methods Combines theory and practice to classify and summarize the literature and explain the econometrics of the energy-growth nexus

Author : Stan Hurn
Publisher : Oxford University Press, USA
Page : pages
File Size : 40,97 MB
Release : 2020-02
Category : Finance
ISBN : 9780190857066

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"An introduction to the field of financial econometrics, focusing on providing an introduction for undergraduate and postgraduate students whose math skills may not be at the most advanced level, but who need this material to pursue careers in research and the financial industry"--

Author : Andrew C. Harvey
Publisher : Cambridge University Press
Page : 281 pages
File Size : 39,99 MB
Release : 2013-04-22
Category : Business & Economics
ISBN : 1107328780

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The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have provided the principal means of analyzing, modeling and monitoring such changes. Taking into account that financial returns typically exhibit heavy tails - that is, extreme values can occur from time to time - Andrew Harvey's new book shows how a small but radical change in the way GARCH models are formulated leads to a resolution of many of the theoretical problems inherent in the statistical theory. The approach can also be applied to other aspects of volatility. The more general class of Dynamic Conditional Score models extends to robust modeling of outliers in the levels of time series and to the treatment of time-varying relationships. The statistical theory draws on basic principles of maximum likelihood estimation and, by doing so, leads to an elegant and unified treatment of nonlinear time-series modeling.

Author : Gebhard Kirchgässner
Publisher : Springer Science & Business Media
Page : 288 pages
File Size : 22,44 MB
Release : 2008-08-27
Category : Business & Economics
ISBN : 9783540687351

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This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series. It contains the most important approaches to analyze time series which may be stationary or nonstationary.