Buch, Englisch, Band 11, 239 Seiten, Format (B × H): 152 mm x 229 mm, Gewicht: 396 g
Reihe: International Symposia in Economic Theory and Econometrics
Proceedings of the Eleventh International Symposium in Economic Theory
Buch, Englisch, Band 11, 239 Seiten, Format (B × H): 152 mm x 229 mm, Gewicht: 396 g
Reihe: International Symposia in Economic Theory and Econometrics
ISBN: 978-0-521-02868-4
Verlag: Cambridge University Press
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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Weitere Infos & Material
Series editor's preface; Contributors; 1. Introduction and overview William A. Barnett, David F. Hendry, Svend Hylleberg, Timo Teräsvirta, Dag Tjøstheim and Allan Würtz; 2. Time series cointegration tests and non-linearity William A. Barnett, Barry E. Jones and Travis D. Nesmith; 3. Risk-related asymmetries in foreign exchange markets Giampiero M. Gallo and Barbara Pacini; 4. Nonlinearity, structural breaks or outliers in economic time series? Gary Koop and Simon Potter; 5. Bayesian analysis of nonlinear time series models with a threshold Michael Lubrano; 6. Nonlinear time series models: consistency and asymptotic normality of NLS under new conditions Santiago Miro and Alvaro Escribano; 7. Asymptotic inference on nonlinear functions of the coefficients of infinite order cointegrated VAR processes Pentti Saikkonen and Helmut Lütkepohl; 8. Nonlinear error-correction models for interest rates in the Netherlands Dick van Dijk and Philip Hans Franses.
