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Essays in Nonlinear Time Series Econometrics

Niels Haldrup
Essays in Nonlinear Time Series Econometrics by Niels Haldrup PDF

Author : Niels Haldrup
Publisher : OUP Oxford
Page : 393 pages
File Size : 44,12 MB
Release : 2014-06-26
Category : Business & Economics
ISBN : 0191669547

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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.

Nonlinear Time Series Analysis of Economic and Financial Data

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

Author : Philip Rothman
Publisher : Springer Science & Business Media
Page : 379 pages
File Size : 11,89 MB
Release : 2012-12-06
Category : Business & Economics
ISBN : 1461551293

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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.