Essays in Nonlinear Time Series Econometrics (Hardcover)
Language: English
Published by Oxford University Press, Oxford, 2014
- Hardcover
- New
Seller: CitiRetail, Stevenage, United KingdomCitiRetail
AbeBooks seller since June 29, 2022
Condition: New
£ 172.49
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Add to basketItem description from seller
Hardcover. 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 Teraesvirta, 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 andeconometric 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 forneglected 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 asymmetricreturn dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teraesvirta has had andwill continue to have, on the profession. A book on nonlinear economic relations that involve time. It covers specification testing of linear versus non-linear models, model specification testing, estimation of smooth transition models, volatility modelling using non-linear model specification, analysis of high dimensional data set, and forecasting. This item is printed on demand. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.…
Seller Inventory # 9780199679959
- Title
- Essays in Nonlinear Time Series Econometrics (Hardcover)
- Author
- Niels Haldrup
- Publisher
- Oxford University Press, Oxford
- Publication year
- 2014
- Condition
- new
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0199679959
- ISBN 13
- 9780199679959
"Synopsis" may belong to another edition of this title.
About the Author
Mika Meitz is Assistant Professor of Economics at University of Helsinki. He has published in journals such as Econometric Theory, Journal of Business and Economic Statistics, Journal of Multivariate Analysis, and Journal of Time Series Analysis.
Pentti Saikkonen is Professor of Statistics at the University of Helsinki. He has published on various aspects of time series analysis and econometrics in journals such as Biometrika, Econometrica, Econometric Theory, Journal of the American Statistical Association, Journal of Business and Economic Statistics, Journal of Econometrics, and Journal of Time Series Analysis. He is currently Co-Editor of Econometric Theory
"About the title" may belong to another edition of this title.
CitiRetail
Stevenage, United Kingdom
AbeBooks seller since June 29, 2022
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