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Information Spillover Effect and Autoregressive Conditional Duration Models

This book studies the information spillover among financial markets and explores the intraday effect and ACD models with high frequency;

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Information Spillover Effect and Autoregressive Conditional Duration Models

This book studies the information spillover among financial markets and explores the intraday effect and ACD models with high frequency;

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Time Series Econometrics

volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic;

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Dynamic Models for Volatility and Heavy Tails

The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional;

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Dynamic Models for Volatility and Heavy Tails

The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional;

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Essays in Honor of Peter C. B. Phillips

distributions of incumbents and newly hired employees, long-horizon predictive tests in financial markets, new developments in information matrix;

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Non-Gaussian Autoregressive-Type Time Series

This book brings together a variety of non-Gaussian autoregressive-type models to analyze time-series data. This book collects and collates;

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Modelling Nonlinear Economic Time Series

This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic;

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Time Series and Panel Data Econometrics

This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial;

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Volatility and Time Series Econometrics

. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect;

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Regression And Time Series Model Selection

wavelets) and semiparametric regression models, and quasi-likelihood and robust regression models. Information-based model selection criteria are;

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Probability and Conditional Expectation

respect to a conditional probability measure and the concept of conditional effect functions, which are crucial in the analysis of causal effects;

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An Econometric Analysis of Individual Unemployment Duration in West Germany

duration in West Germany. Based on a search theoretic framework unemployment duration is considered as a stochastic process whose;

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Time Series Algorithms Recipes

This book teaches the practical implementation of various concepts for time series analysis and modeling with Python through problem;

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Statistical Topics and Stochastic Models for Dependent Data with Applications

This book is a collective volume authored by leading scientists in the field of stochastic modelling, associated statistical topics and;

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Probability Models for Economic Decisions

-doing approach, teaching the student to use spreadsheets to represent and simulate uncertainty and to analyze the effect of such uncertainty on;

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Econometric Model Specification

modeling and inference. This book consists of two parts. The first part discusses consistent tests of functional form of regression and conditional;

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Graphical Models in Applied Multivariate Statistics

description and modeling of multivariate systems covers conditional independence, several types of independence graphs, Gaussian models, issues;

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Time Series Econometrics Analysis

main principles of time series models and show how they can be used to understand the process of macroeconomic variables and the way they;

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Internet Teletraffic Modeling and Estimation

Network traffic has fractal properties such as impulsiveness, selfsimilarity, and long-range dependence over several time scales, from;

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Applied Economic Forecasting using Time Series Methods

Economic forecasting is a key ingredient of decision making both in the public and in the private sector. Because economic outcomes are the;

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Econometrics of Financial High-frequency Data

conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic;

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The Blackwell Encyclopedia of Management

of behavioral finance (loss aversion, the housemoney effect, and momentum, for example), advances in asset pricing and methods in finance such as the;

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Diagnostic Checks in Time Series

ARMA, threshold type, and bilinear models to conditional non-Gaussian and autoregressive heteroscedasticity (ARCH) models. Because of its broad;

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Estimation in Conditionally Heteroscedastic Time Series Models

, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price;

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Econometric Society Monographs

This book presents statistical methods for analysis of the duration of events. The primary focus is on models for single-spell data, events;

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Structural Vector Autoregressive Analysis

Structural vector autoregressive (VAR) models are important tools for empirical work in macroeconomics, finance, and related fields. This;

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