Dynamic Modeling and Econometrics in Economics and Finance – serie
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61 produkter
61 produkter
Optimization in Economics and Finance
Some Advances in Non-Linear, Dynamic, Multi-Criteria and Stochastic Models
Inbunden, Engelska, 1899
1 081 kr
Skickas inom 10-15 vardagar
Many optimization questions arise in economics and finance; an important example of this is the society's choice of the optimum state of the economy (the social choice problem). Optimization in Economics and Finance extends and improves the usual optimization techniques, in a form that may be adopted for modeling social choice problems. Problems discussed include: when is an optimum reached; when is it unique; relaxation of the conventional convex (or concave) assumptions on an economic model; associated mathematical concepts such as invex and quasimax; multiobjective optimal control models; and related computational methods and programs. These techniques are applied to economic growth models (including small stochastic perturbations), finance and financial investment models (and the interaction between financial and production variables), modeling sustainability over long time horizons, boundary (transversality) conditions, and models with several conflicting objectives. Although the applications are general and illustrative, the models in this book provide examples of possible models for a society's social choice for an allocation that maximizes welfare and utilization of resources. As well as using existing computer programs for optimization of models, a new computer program, named SCOM, is presented in this book for computing social choice models by optimal control.
1 667 kr
Skickas inom 10-15 vardagar
The basic characteristic of Modern Linear and Nonlinear Econometrics is that it presents a unified approach of modern linear and nonlinear econometrics in a concise and intuitive way. It covers four major parts of modern econometrics: linear and nonlinear estimation and testing, time series analysis, models with categorical and limited dependent variables, and, finally, a thorough analysis of linear and nonlinear panel data modeling. Distinctive features of this handbook are:-A unified approach of both linear and nonlinear econometrics, with an integration of the theory and the practice in modern econometrics. Emphasis on sound theoretical and empirical relevance and intuition. Focus on econometric and statistical methods for the analysis of linear and nonlinear processes in economics and finance, including computational methods and numerical tools.-Completely worked out empirical illustrations are provided throughout, the macroeconomic and microeconomic (household and firm level) data sets of which are available from the internet; these empirical illustrations are taken from finance (e.g. CAPM and derivatives), international economics (e.g. exchange rates), innovation economics (e.g. patenting), business cycle analysis, monetary economics, housing economics, labor and educational economics (e.g. demand for teachers according to gender) and many others.-Exercises are added to the chapters, with a focus on the interpretation of results; several of these exercises involve the use of actual data that are typical for current empirical work and that are made available on the internet.What is also distinguishable in Modern Linear and Nonlinear Econometrics is that every major topic has a number of examples, exercises or case studies. By this `learning by doing' method the intention is to prepare the reader to be able to design, develop and successfully finish his or her own research and/or solve realworld problems.
1 667 kr
Skickas inom 10-15 vardagar
Dynamic Modeling of Monetary and Fiscal Cooperation Among Nations analyzes coordination of monetary and fiscal stabilization policies between countries and currency areas using a dynamic game approach. The first four chapters introduce the reader to the dynamics of fiscal and monetary policy cooperation. Issues covered include: fiscal coordination, fiscal stringency requirements, structural and bargaining power asymmetries and the design of monetary and fiscal policymaking in a monetary union. In the four last chapters multiple-player settings with aspects of fiscal and/or monetary coordination are analyzed using the endogenous coalition formation approach. The analysis is focused on shock and model asymmetries and issues of multi-country coordination in the presence of (possibly many) monetary unions.
Stochastic Volatility in Financial Markets
Crossing the Bridge to Continuous Time
Inbunden, Engelska, 2000
1 114 kr
Skickas inom 10-15 vardagar
Presenting advanced topics in financial econometrics and theoretical finance, this guide is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed "stochastic volatility", or "conditional heteroskedasticity", has been well known since before 1980; in this part, further useful theoretical properties of conditionally heteroskedastic models are uncovered. The second section goes beyond the statistical aspects of stochastic volatility models: it constructs and uses fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part demonstrates how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.
3 327 kr
Skickas inom 10-15 vardagar
This work provides an examination of the flourishing interest that has developed in this area in the 1990s. 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 should be useful to both seasoned veterans of non-linear time series analysis and those searching for an informative panoramic look at front-line developments in the area.
Nonlinear Time Series Workshop
A Toolkit for Detecting and Identifying Nonlinear Serial Dependence
Inbunden, Engelska, 1999
1 667 kr
Skickas inom 10-15 vardagar
The analysis ofwhat might be called "dynamic nonlinearity" in time series has its roots in the pioneering work ofBrillinger (1965) - who first pointed out how the bispectrum and higher order polyspectra could, in principle, be used to test for nonlinear serial dependence - and in Subba Rao and Gabr (1980) and Hinich (1982) who each showed how Brillinger's insight could be translated into a statistical test. Hinich's test, because ittakes advantage ofthe large sample statisticalpropertiesofthe bispectral estimates became the first usable statistical test for nonlinear serial dependence. We are forever grateful to Mel Hinich for getting us involved at that time in this fascinating and fruitful endeavor. With help from Mel (sometimes as amentor,sometimes as acollaborator) we developed and applied this bispectral test in the ensuing period. The first application ofthe test was to daily stock returns {Hinich and Patterson (1982, 1985)} yielding the important discovery of substantial nonlinear serial dependence in returns, over and above the weak linear serial dependence that had been previously observed.The original manuscript met with resistance from finance journals, no doubt because finance academics were reluctant to recognize the importance of distinguishing between serial correlation and nonlinear serial dependence. In Ashley, Patterson and Hinich (1986) we examined the power and sizeofthe test in finite samples.
1 114 kr
Skickas inom 10-15 vardagar
The field of econometrics has gone through remarkable changes during the last decades of the 20th century - the earlier focus on testing macroeconomic theories has been widened considerably. It has turned into a discipline concerned with the development and application of statistical methods for any kind of economic data. This text represents a collection of contemporary economic applications of modern econometrics and methodological developments. It explores topics such as: the effects of data quality on monetary policy, the empirical comparison of alternative monetary aggregates; empirical tests of theories for the term structure of interest rates; financial econometrics for heavy-tailed returns; the transformation of the Polish economy; labour economics; econometric modelling of household and investment decisions; modelling with limited dependent variables; testing for units roots; alternative smoothing algorithms; and latent-variable models with error in variables.The volume should be of interest to researchers and students in economics as well as practitioners in business, industry and public institutions who want to learn about recent developments in the field of econometrics.
1 619 kr
Skickas inom 10-15 vardagar
This book is an outgrowth of a course intended for students in the first year PhD program and for researchers in macroeconomics dynamics. It can be used by students and researchers in mathematics as well as in economics. The purpose of this book is twofold: to provide a rigorous, but not too complicated, treatment of optimal growth models in infinite discrete time horizon; and to train the reader to use optimal growth models and hence to help him to go further in his research.
1 114 kr
Skickas inom 10-15 vardagar
Financial market volatility plays a crucial role in financial decision making, as volatility forecasts are important input parameters in areas such as option pricing, hedging strategies, portfolio allocation and Value-at-Risk calculations. The fact that financial innovations arrive at an ever-increasing rate has motivated both academic researchers and practitioners and advances in this field have been considerable. The use of Stochastic Volatility (SV) models is one of the latest developments in this area. This text describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures.The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.
Optimization in Economics and Finance
Some Advances in Non-Linear, Dynamic, Multi-Criteria and Stochastic Models
Häftad, Engelska, 2011
1 081 kr
Skickas inom 10-15 vardagar
Many optimization questions arise in economics and finance; an important example of this is the society's choice of the optimum state of the economy (the social choice problem). Optimization in Economics and Finance extends and improves the usual optimization techniques, in a form that may be adopted for modeling social choice problems. Problems discussed include: when is an optimum reached; when is it unique; relaxation of the conventional convex (or concave) assumptions on an economic model; associated mathematical concepts such as invex and quasimax; multiobjective optimal control models; and related computational methods and programs. These techniques are applied to economic growth models (including small stochastic perturbations), finance and financial investment models (and the interaction between financial and production variables), modeling sustainability over long time horizons, boundary (transversality) conditions, and models with several conflicting objectives. Although the applications are general and illustrative, the models in this book provide examples of possible models for a society's social choice for an allocation that maximizes welfare and utilization of resources. As well as using existing computer programs for optimization of models, a new computer program, named SCOM, is presented in this book for computing social choice models by optimal control.
1 619 kr
Skickas inom 10-15 vardagar
The basic characteristic of Modern Linear and Nonlinear Econometrics is that it presents a unified approach of modern linear and nonlinear econometrics in a concise and intuitive way. It covers four major parts of modern econometrics: linear and nonlinear estimation and testing, time series analysis, models with categorical and limited dependent variables, and, finally, a thorough analysis of linear and nonlinear panel data modeling. Distinctive features of this handbook are:-A unified approach of both linear and nonlinear econometrics, with an integration of the theory and the practice in modern econometrics. Emphasis on sound theoretical and empirical relevance and intuition. Focus on econometric and statistical methods for the analysis of linear and nonlinear processes in economics and finance, including computational methods and numerical tools.-Completely worked out empirical illustrations are provided throughout, the macroeconomic and microeconomic (household and firm level) data sets of which are available from the internet; these empirical illustrations are taken from finance (e.g. CAPM and derivatives), international economics (e.g. exchange rates), innovation economics (e.g. patenting), business cycle analysis, monetary economics, housing economics, labor and educational economics (e.g. demand for teachers according to gender) and many others.-Exercises are added to the chapters, with a focus on the interpretation of results; several of these exercises involve the use of actual data that are typical for current empirical work and that are made available on the internet.What is also distinguishable in Modern Linear and Nonlinear Econometrics is that every major topic has a number of examples, exercises or case studies. By this `learning by doing' method the intention is to prepare the reader to be able to design, develop and successfully finish his or her own research and/or solve realworld problems.
1 667 kr
Skickas inom 10-15 vardagar
Dynamic Modeling of Monetary and Fiscal Cooperation Among Nations analyzes coordination of monetary and fiscal stabilization policies between countries and currency areas using a dynamic game approach. The first four chapters introduce the reader to the dynamics of fiscal and monetary policy cooperation. Issues covered include: fiscal coordination, fiscal stringency requirements, structural and bargaining power asymmetries and the design of monetary and fiscal policymaking in a monetary union. In the four last chapters multiple-player settings with aspects of fiscal and/or monetary coordination are analyzed using the endogenous coalition formation approach. The analysis is focused on shock and model asymmetries and issues of multi-country coordination in the presence of (possibly many) monetary unions.
1 114 kr
Skickas inom 10-15 vardagar
The field of econometrics has gone through remarkable changes during the last decades. The earlier focus on testing macroeconomic theories has been widened considerably. It has turned into a discipline concerned with the development and application of statistical methods for any kind of economic data. Contributions to Modern Econometrics represents a collection of recent economic applications of modern econometrics and methodological developments.
1 619 kr
Skickas inom 10-15 vardagar
Dynamic Programming in Economics is an outgrowth of a course intended for students in the first year PhD program and for researchers in Macroeconomics Dynamics. It can be used by students and researchers in Mathematics as well as in Economics. The purpose of Dynamic Programming in Economics is twofold: (a) to provide a rigorous, but not too complicated, treatment of optimal growth models in infinite discrete time horizon, (b) to train the reader to the use of optimal growth models and hence to help him to go further in his research. We are convinced that there is a place for a book which stays somewhere between the "minimum tool kit" and specialized monographs leading to the frontiers of research on optimal growth.
1 114 kr
Skickas inom 10-15 vardagar
Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.
Nonlinear Time Series Workshop
A Toolkit for Detecting and Identifying Nonlinear Serial Dependence
Häftad, Engelska, 2012
1 667 kr
Skickas inom 10-15 vardagar
The analysis ofwhat might be called "dynamic nonlinearity" in time series has its roots in the pioneering work ofBrillinger (1965) - who first pointed out how the bispectrum and higher order polyspectra could, in principle, be used to test for nonlinear serial dependence - and in Subba Rao and Gabr (1980) and Hinich (1982) who each showed how Brillinger's insight could be translated into a statistical test. Hinich's test, because ittakes advantage ofthe large sample statisticalpropertiesofthe bispectral estimates became the first usable statistical test for nonlinear serial dependence. We are forever grateful to Mel Hinich for getting us involved at that time in this fascinating and fruitful endeavor. With help from Mel (sometimes as amentor,sometimes as acollaborator) we developed and applied this bispectral test in the ensuing period. The first application ofthe test was to daily stock returns {Hinich and Patterson (1982, 1985)} yielding the important discovery of substantial nonlinear serial dependence in returns, over and above the weak linear serial dependence that had been previously observed.The original manuscript met with resistance from finance journals, no doubt because finance academics were reluctant to recognize the importance of distinguishing between serial correlation and nonlinear serial dependence. In Ashley, Patterson and Hinich (1986) we examined the power and sizeofthe test in finite samples.
Stochastic Volatility in Financial Markets
Crossing the Bridge to Continuous Time
Häftad, Engelska, 2012
1 114 kr
Skickas inom 10-15 vardagar
Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts.
3 327 kr
Skickas inom 10-15 vardagar
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.
Dynamic Analysis in Complex Economic Environments
Essays in Honor of Christophe Deissenberg
Inbunden, Engelska, 2020
1 556 kr
Skickas inom 10-15 vardagar
Topics covered include optimal control, dynamic games, economic decision-making, and applications in finance and economics, as well as policy implications in areas such as pollution regulation.
Dynamic Analysis in Complex Economic Environments
Essays in Honor of Christophe Deissenberg
Häftad, Engelska, 2021
1 556 kr
Skickas inom 10-15 vardagar
Topics covered include optimal control, dynamic games, economic decision-making, and applications in finance and economics, as well as policy implications in areas such as pollution regulation.
1 726 kr
Skickas inom 10-15 vardagar
The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models.The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.
1 726 kr
Skickas inom 10-15 vardagar
The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models.The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.
1 619 kr
Skickas inom 10-15 vardagar
Utilising the most advanced mathematical methods in optimal control and dynamic game theory, the authors address a broad range of topics, including capital accumulation, innovations, financial decisions, population economics, environmental and resource economics, institutional change and the dynamics of addiction.
1 619 kr
Skickas inom 10-15 vardagar
Utilising the most advanced mathematical methods in optimal control and dynamic game theory, the authors address a broad range of topics, including capital accumulation, innovations, financial decisions, population economics, environmental and resource economics, institutional change and the dynamics of addiction.
Nonlinearities in Economics
An Interdisciplinary Approach to Economic Dynamics, Growth and Cycles
Inbunden, Engelska, 2021
1 726 kr
Skickas inom 10-15 vardagar
This interdisciplinary book argues that the economy has an underlying non-linear structure and that business cycles are endogenous, which allows a greater explanatory power with respect to the traditional assumption that dynamics are stochastic and shocks are exogenous. The first part of this work is formal-methodological and provides the mathematical background needed for the remainder, while the second part presents the view that signal processing involves construction and deconstruction of information and that the efficacy of this process can be measured. The third part focuses on economics and provides the related background and literature on economic dynamics and the fourth part is devoted to new perspectives in understanding nonlinearities in economic dynamics: growth and cycles.By pursuing this approach, the book seeks to (1) determine whether, and if so where, common features exist, (2) discover some hidden features of economic dynamics, and (3)highlight specific indicators of structural changes in time series. Accordingly, it is a must read for everyone interested in a better understanding of economic dynamics, business cycles, econometrics and complex systems, as well as non-linear dynamics and chaos theory.
Nonlinearities in Economics
An Interdisciplinary Approach to Economic Dynamics, Growth and Cycles
Häftad, Engelska, 2022
1 726 kr
Skickas inom 10-15 vardagar
This interdisciplinary book argues that the economy has an underlying non-linear structure and that business cycles are endogenous, which allows a greater explanatory power with respect to the traditional assumption that dynamics are stochastic and shocks are exogenous. The first part of this work is formal-methodological and provides the mathematical background needed for the remainder, while the second part presents the view that signal processing involves construction and deconstruction of information and that the efficacy of this process can be measured. The third part focuses on economics and provides the related background and literature on economic dynamics and the fourth part is devoted to new perspectives in understanding nonlinearities in economic dynamics: growth and cycles.By pursuing this approach, the book seeks to (1) determine whether, and if so where, common features exist, (2) discover some hidden features of economic dynamics, and (3)highlight specific indicators of structural changes in time series. Accordingly, it is a must read for everyone interested in a better understanding of economic dynamics, business cycles, econometrics and complex systems, as well as non-linear dynamics and chaos theory.
Del 30 - Dynamic Modeling and Econometrics in Economics and Finance
Advanced REIT Portfolio Optimization
Innovative Tools for Risk Management
Inbunden, Engelska, 2022
726 kr
Skickas inom 10-15 vardagar
This book provides an investor-friendly presentation of the premises and applications of the quantitative finance models governing investment in one asset class of publicly traded stocks, specifically real estate investment trusts (REITs).
Del 30 - Dynamic Modeling and Econometrics in Economics and Finance
Advanced REIT Portfolio Optimization
Innovative Tools for Risk Management
Häftad, Engelska, 2023
671 kr
Skickas inom 10-15 vardagar
This book provides an investor-friendly presentation of the premises and applications of the quantitative finance models governing investment in one asset class of publicly traded stocks, specifically real estate investment trusts (REITs). The models provide highly advanced analytics for REIT investment, including:portfolio optimization using both historic and predictive return estimation;model backtesting;a complete spectrum of risk assessment and management tools with an emphasis on early warning systems, risk budgeting, estimating tail risk, and factor analysis; derivative valuation;and incorporating ESG ratings into REIT investment.These quantitative finance models are presented in a unified framework consistent with dynamic asset pricing (rational finance). Given its scope and practical orientation, this book will appeal to investors interested in portfolio optimization and innovative tools for investment risk assessment.
Del 31 - Dynamic Modeling and Econometrics in Economics and Finance
Model Predictive Control
Engineering Methods for Economists
Inbunden, Engelska, 2025
1 941 kr
Skickas inom 10-15 vardagar
The book explores the field of model predictive control (MPC). While MPC is rooted in engineering science, this book illustrates the potential of using MPC theory and methods in non-engineering sciences and applications such as economics, finance, and environmental sciences.
- Nyhet
Del 32 - Dynamic Modeling and Econometrics in Economics and Finance
Economic Dynamics and Distributions
Differential Equations, Optimal Control and Applications
Inbunden, Engelska, 2026
969 kr
Skickas inom 5-8 vardagar
This textbook introduces readers to the economic dynamics of growth and distribution and presents dynamic mathematical tools essential to understanding various economic phenomena. From ordinary differential equations to partial differential equations and stochastic differential equations, it guides readers through the mathematical landscape. Optimization problems are also highlighted, from maximizing static functionals to optimal control problems involving systems governed by the previously mentioned types of differential equation. The applications of these formal structures cover various areas of economics, including macroeconomics, growth theory, microeconomics, spatial economics, finance, income and wealth distribution, and social mobility.Written primarily for Master’s and Ph.D. students, the book also offers a comprehensive reference guide for economists and applied mathematicians alike.