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Multivariate Modelling of Non-Stationary Economic Time Series
Hunter, John - 2017 - 2nd ed. 2017
This book examines conventional time series in the context of stationary data prior to a discussion of cointegration … Analysis (SSA), the Kalman Filter and Structural Time Series, all in relation to cointegration. Using single equations methods … to develop topics, and as examples of the notion of cointegration, Burke, Hunter, and Canepa provide direction and …
Persistent link: https://www.econbiz.de/10012398276
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Kointegrationskonzepte für die Kreditrisikomodellierung : Systematische Kreditrisiken und makroökonomische Theorienbildung
Wagatha, Matthias - 2005 - Gabler Edition Wissenschaft
In den letzten Jahren sind die Messung und die Steuerung von Kreditrisiken aufgrund der verschlechterten makroökonomischen Rahmenbedingungen und der daraus resultierenden Zunahme der Insolvenzen ins Zentrum des Interesses gerückt. Verstärkt wird diese Entwicklung durch die vom Baseler...
Persistent link: https://www.econbiz.de/10013517344
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New Introduction to Multiple Time Series Analysis
Lütkepohl, Helmut - 2005
Persistent link: https://www.econbiz.de/10013520820
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Topics in Dynamic Model Analysis : Advanced Matrix Methods and Unit-Root Econometrics Representation Theorems
Faliva, Mario (contributor); Zoia, Maria Grazia (contributor) - 2006
Provides an analysis of dynamic modelling in econometrics by bridging the unit-root gap between structural and time series approaches and focusing on representation theorems of (co)integrated processes.The book also presents an analytical setting to guide the formulation and solution in closed...
Persistent link: https://www.econbiz.de/10013520512
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Modelling Non-Stationary Time Series : A Multivariate Approach
Burke, Simon P.; Hunter, John - 2005
Co-integration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real …. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural …
Persistent link: https://www.econbiz.de/10012053773
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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
Gregoriou, Greg N. (ed.); Pascalau, Razvan (ed.) - 2011
This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets
Persistent link: https://www.econbiz.de/10012053890
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Money, Capital Formation and Economic Growth : International Comparison with Time Series Analysis
Amano, Masanori - 2013
nominal income changes into changes in output and prices. Amano builds on established traditions of macro-dynamics and the …
Persistent link: https://www.econbiz.de/10012106356
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Money, Stock Prices and Central Banks : A Cointegrated VAR Analysis
Wiedmann, Marcel - 2011
This contribution applies the cointegrated vector autoregressive (CVAR) model to analyze the long-run behavior and short-run dynamics of stock markets across five developed and three emerging economies. The main objective is to check whether liquidity conditions play an important role in stock...
Persistent link: https://www.econbiz.de/10014015328
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Time Series Econometrics
Neusser, Klaus - 2016
application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of … VAR Models -- 13. Forecasting with VAR Models -- 14. Interpretation of VAR Models -- 15. Co-integration -- 16. The Kalman …
Persistent link: https://www.econbiz.de/10012397877
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Dynamic Model Analysis : Advanced Matrix Methods and Unit-Root Econometrics Representation Theorems
Faliva, Mario (contributor); Zoia, Maria Grazia (contributor) - 2009
Persistent link: https://www.econbiz.de/10013521068