Buch, Englisch, 392 Seiten, Format (B × H): 161 mm x 240 mm, Gewicht: 702 g
Buch, Englisch, 392 Seiten, Format (B × H): 161 mm x 240 mm, Gewicht: 702 g
ISBN: 978-0-19-967995-9
Verlag: Oxford University Press(UK)
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 Teräsvirta, 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 and econometric 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 for neglected 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 asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
Autoren/Hrsg.
Fachgebiete
Weitere Infos & Material
- Preface
- Testing for Linearity and Functional Form
- 1: Jin Seo Cho, Isao Ishida, and Halbert White: Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions
- 2: James Davidson and Andreea G. Halunga: Consistent Testing of Functional Form in Time Series Models
- 3: Robinson Kruse and Rickard Sandberg: Linearity Testing for Trending Data with an Application of the Wild Bootstrap
- Smooth Transition Models
- 4: Heather M. Anderson and Farshid Vahid: Common Non-linearities in Multiple Series of Stock Market Volatility
- 5: Katarina Juselius and Mikael Juselius: Balance Sheet Recessions and Time-Varying Coefficients in a Phillips Curve Relationship: An Application to Finnish Data
- 6: Cristina Amado and Helinä Laakkonen: Modelling Time-Varying Volatility in Financial Returns: Evidence from Bond Markets
- Model Selection and Econometric Methodology
- 7: Jennifer L. Castle and David F. Hendry: Semi-automatic Non-linear Model Selection
- 8: Helmut Lütkepohl: Fundamental Problems with Nonfundamental Shocks
- 9: Marcelo C. Medeiros and Eduardo F. Mendes: Penalized Estimation of Semi-parametric Additive Time Series Models
- 10: Laurent A. F. Callot and Anders Bredahl Kock: Oracle Efficient Estimation and Forecasting with the Adaptive Lasso and the Adaptive Group Lasso in Vector Autoregressions
- Applied Financial Econometrics
- 11: Robert Engle: Modeling Commodity Prices with Dynamic Conditional Beta
- 12: Marco Aiolfi, Marius Rodriguez, and Allan Timmermann: Bias and Uncertainty in Analyst Earnings Expectations at Different Forecast Horizons
- 13: Bård Støve and Dag Tjøstheim: Asymmetric Dependence Patterns in Financial Returns: An Empirical Investigation Using Local Gaussian Correlation
- 14: Eric Hillebrand, Tae-Hwy Lee, and Marcelo C. Medeiros: Bagging Constrained Equity Premium Predictors
