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William A. Barnett, David F. Hendry, Svend Hylleberg, Timo Teräsvirta, Dag Tjøstheim, Allan Würtz - Nonlinear Econometric Modeling in Time Series, Häftad

Häftad, Engelska, 2006

Nonlinear Econometric Modeling in Time Series

Proceedings of the Eleventh International Symposium in Economic Theory

Av William A. Barnett, David F. Hendry, Svend Hylleberg, Timo Teräsvirta, Dag Tjøstheim, Allan Würtz

Del 11 i serien International Symposia in Economic Theory and Econometrics

803 kr

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Beskrivning
Nonlinear Econometric Modeling in Time Series presents the more recent literature on nonlinear time series. Specific topics covered with respect to nonlinearity include cointegration tests, risk-related asymmetries, structural breaks and outliers, Bayesian analysis with a threshold, consistency and asymptotic normality, asymptotic inference and error-correction models. With a world-class panel of contributors, this volume addresses topics with major applications for fields such as foreign-exchange markets and interest rate analysis. Eleventh in this series of international symposia, this volume is also part of the European Conference Series in Quantitative Economics and Econometrics (EC)2.
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'The amount of research activity devoted to nonlinear time series modeling has virtually exploded during the past decade. Many of the techniques just recently developed in that literature have already been included in the standard toolbox by macroeconomists and finance practitioners working in the public and private sectors. This latest volume in the International Symposia in Economic Theory and Econometrics series brings together a collection of new papers in this active and exciting area of research. The topics and methodologies are wide ranging, but each of the chapters is well motivated by a genuine, interesting economic problem. A stimulating read.' Tim Bollerslev, Duke University

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