Econometric analysis of financial an...
Fomby, Thomas B.

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  • Econometric analysis of financial and economic time series
  • 紀錄類型: 書目-電子資源 : Monograph/item
    正題名/作者: Econometric analysis of financial and economic time series/ edited by Dek Terrell, Thomas B. Fomby.{me_controlnum}
    其他作者: Fomby, Thomas B.
    出版者: Bingley, U.K. :Emerald, : 2006.,
    面頁冊數: 1 online resource (xxv, 379 p.).
    內容註: A multivariate heavy-tailed distribution for ARCH/GARCH residuals / Dimitris N. Politis -- A portmanteau test for multivariate GARCH when the conditional mean is an ECM : theory and empirical applications / Chor-yiu Sin -- Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations / Elena Andreou, Eric Ghysels -- Model-based measurement of actual volatility in high-frequency data / Borus Jungbacker, Siem Jan Koopman -- Noise reduced realized volatility : a kalman filter approach / John P. Owens, Douglas G. Steigerwald -- Modeling the asymmetry of stock movements using price ranges / Ray Y. Chou -- On a simple two-stageclosed-form estimator for a stochastic volatility in a general linear regression / Jean-Marie Dufour, Pascale Valéry -- The Student's t /Maria S. Heracleous, Aris Spanos -- A flexible dynamic correlation model / Dirk Baur -- ARCH models for multi-period forecast uncertainty : areality check using a panel of density forecasts / Kajal Lahiri, Fushang Liu -- A multivariate skew-garch model / Giovanni De Luca, Marc G. Genton, Nicola Loperfido -- Necessary and sufficient restrictions for existence of a unique fourth moment of a univariate garch(p / Peter A. Zadrozny -- Semi-parametric modelling of correlation dynamics / ChristianM. Hafner, Dick van Dijk, Philip Hans Franses -- Introduction / Dell Terrell, Thomas B. Fomby -- Good ideas / Robert F. Engle -- The creativity process / Clive W.J. Granger.
    標題: Business & Economics - Econometrics. -
    電子資源: http://www.emeraldinsight.com/0731-9053/20 PART 1
    ISBN: 9781849503891 (electronic bk.)
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W9138881 電子資源 11.線上閱覽_V 電子書 EB HB139 .E26 2006 一般使用(Normal) 在架 0
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