Nonlinear Econometric Modeling In Time Series
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Nonlinear Time Series Analysis of Economic and Financial Data
Author: Philip Rothman
language: en
Publisher: Springer Science & Business Media
Release Date: 1999-01-31
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.
Nonlinear Econometric Modeling in Time Series
Author: William A. Barnett
language: en
Publisher: Cambridge University Press
Release Date: 2000-05-22
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.
Modelling Nonlinear Economic Time Series
A comprehensive assessment of many recent developments in the modelling of time series, this text introduces various nonlinear models and discusses their practical use, encouraging the reader to apply nonlinear models to their practical modelling problems.