Econometric Analysis of Financial and Economic Time Series

Talks about the time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, application of the technique of boosting in volatility forecasting, and more.

Summary

Talks about the time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, application of the technique of boosting in volatility forecasting, and more.

Product details

• Assisted by: Thomas B. Fomby (Editor), Thomas B. B Fomby (Editor), R. Carter Hill (Editor), Dek Terrell (Editor)
• Publisher: Jai Press Inc.
• Languages: English
• Product format: Hardback
• Released: 01.03.2006
• EAN: 9780762312740
• ISBN: 978-0-7623-1274-0
• No. of pages: 408
• Dimensions: 161 mm x 240 mm x 26 mm
• Weight: 775 g
• Series: Advances in Econometrics; Advances in Econometrics
• Subject: Social sciences, law, business > Business > Miscellaneous