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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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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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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
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Unit Root Tests in Time Series : Extensions and Developments
Patterson, Kerry - 2012
Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases,...
Persistent link: https://www.econbiz.de/10012054308
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Unit Root Tests in Time Series : Key Concepts and Problems
Patterson, Kerry - 2011
Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing
Persistent link: https://www.econbiz.de/10012053904
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Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models
Repplinger, Detlef (contributor); Fandel, G. (contributor);  … - 2008
A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage relations through the correlation structure of...
Persistent link: https://www.econbiz.de/10013521005
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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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Integration und Volatilität bei Emerging Markets
Herrmann, Frank - 2005 - Gabler Edition Wissenschaft
Charakteristisch für Emerging Markets sind hohe Aktienrenditen und eine geringe Korrelation mit den Aktienrenditen der entwickelten Märkte, so dass durch Diversifikation der Investmentanlagen eine Verringerung des Portfoliorisikos erreicht werden kann. Die zunehmende Integration...
Persistent link: https://www.econbiz.de/10013517438
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New Introduction to Multiple Time Series Analysis
Lütkepohl, Helmut - 2005
Persistent link: https://www.econbiz.de/10013520820