Nonlinear Modeling Of Economic And Financial Time Series PDF Download

Nonlinear Modeling of Economic and Financial Time Series PDF
Author: Fredj Jawadi
Publisher: Emerald Group Publishing
Size: 71.94 MB
Format: PDF, ePub, Mobi
Category : Business & Economics
Languages : en
Pages : 211
View: 3129

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Presents researches in linear and nonlinear modelling of economic and financial time-series. This book provides a comprehensive understanding of financial and economic dynamics in various aspects using modern financial econometric methods. It also presents and discusses research findings and their implications.

The Econometric Modelling Of Financial Time Series PDF Download

The Econometric Modelling of Financial Time Series PDF
Author: Terence C. Mills
Publisher: Cambridge University Press
Size: 29.50 MB
Format: PDF, ePub, Mobi
Category : Business & Economics
Languages : en
Pages : 468
View: 1173

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Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.

Nonlinear Time Series Analysis Of Economic And Financial Data PDF Download

Nonlinear Time Series Analysis of Economic and Financial Data PDF
Author: Philip Rothman
Publisher: Springer Science & Business Media
Size: 42.83 MB
Format: PDF, ePub, Mobi
Category : Business & Economics
Languages : en
Pages : 373
View: 2547

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Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.

Recent Advances In Estimating Nonlinear Models PDF Download

Recent Advances in Estimating Nonlinear Models PDF
Author: Jun Ma
Publisher: Springer Science & Business Media
Size: 58.86 MB
Format: PDF, Mobi
Category : Business & Economics
Languages : en
Pages : 299
View: 4554

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Nonlinear models have been used extensively in the areas of economics and finance. Recent literature on the topic has shown that a large number of series exhibit nonlinear dynamics as opposed to the alternative--linear dynamics. Incorporating these concepts involves deriving and estimating nonlinear time series models, and these have typically taken the form of Threshold Autoregression (TAR) models, Exponential Smooth Transition (ESTAR) models, and Markov Switching (MS) models, among several others. This edited volume provides a timely overview of nonlinear estimation techniques, offering new methods and insights into nonlinear time series analysis. It features cutting-edge research from leading academics in economics, finance, and business management, and will focus on such topics as Zero-Information-Limit-Conditions, using Markov Switching Models to analyze economics series, and how best to distinguish between competing nonlinear models. Principles and techniques in this book will appeal to econometricians, finance professors teaching quantitative finance, researchers, and graduate students interested in learning how to apply advances in nonlinear time series modeling to solve complex problems in economics and finance.

Modelling And Forecasting Financial Data PDF Download

Modelling and Forecasting Financial Data PDF
Author: Abdol S. Soofi
Publisher: Springer Science & Business Media
Size: 39.26 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 488
View: 2372

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Modelling and Forecasting Financial Data brings together a coherent and accessible set of chapters on recent research results on this topic. To make such methods readily useful in practice, the contributors to this volume have agreed to make available to readers upon request all computer programs used to implement the methods discussed in their respective chapters. Modelling and Forecasting Financial Data is a valuable resource for researchers and graduate students studying complex systems in finance, biology, and physics, as well as those applying such methods to nonlinear time series analysis and signal processing.

Non Linear Time Series Models In Empirical Finance PDF Download

Non Linear Time Series Models in Empirical Finance PDF
Author: Philip Hans Franses
Publisher: Cambridge University Press
Size: 36.23 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 280
View: 1037

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Although many of the models commonly used in empirical finance are linear, the nature of financial data suggests that non-linear models are more appropriate for forecasting and accurately describing returns and volatility. The enormous number of non-linear time series models appropriate for modeling and forecasting economic time series models makes choosing the best model for a particular application daunting. This classroom-tested advanced undergraduate and graduate textbook, first published in 2000, provides a rigorous treatment of recently developed non-linear models, including regime-switching and artificial neural networks. The focus is on the potential applicability for describing and forecasting financial asset returns and their associated volatility. The models are analysed in detail and are not treated as 'black boxes'. Illustrated using a wide range of financial data, drawn from sources including the financial markets of Tokyo, London and Frankfurt.

Modelling Financial Time Series PDF Download

Modelling Financial Time Series PDF
Author: Stephen J. Taylor
Publisher: World Scientific
Size: 77.57 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 268
View: 2077

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This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts.This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends.

Business Cycles Theory And Empirical Methods PDF Download

Business Cycles  Theory and Empirical Methods PDF
Author: Willi Semmler
Publisher: Springer
Size: 65.37 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 407
View: 2498

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In macrodynamics and business cycle analysis we find nowadays a variety of approaches elaborating frameworks for studying the fluctuations in economic and financial data. These approaches are viewed from Keynesian, monetarist and rational expectations standpoints. There are now also numerous empirical methods for the testing of nonlinear data generating mechanisms. This volume brings together a selection of contributions on theories of the business cycle and new empirical methods and synopsizes the new results. The volume (i) gives an overview of current models and modern concepts and tools for analyzing the business cycle; (ii) demonstrates, where possible, the relation of those models to the history of business cycle analysis; and (iii) presents current work, surveys and original work, on new empirical methods of studying cycle generating mechanisms.

Artificial Neural Networks For Engineering Applications PDF Download

Artificial Neural Networks for Engineering Applications PDF
Author: Alma Y. Alanis
Publisher: Academic Press
Size: 10.11 MB
Format: PDF, ePub
Category : Science
Languages : en
Pages : 224
View: 1423

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Artificial Neural Networks for Engineering Applications presents current trends for the solution of complex engineering problems that cannot be solved through conventional methods. The proposed methodologies can be applied to modeling, pattern recognition, classification, forecasting, estimation, and more. Readers will find different methodologies to solve various problems, including complex nonlinear systems, cellular computational networks, waste water treatment, attack detection on cyber-physical systems, control of UAVs, biomechanical and biomedical systems, time series forecasting, biofuels, and more. Besides the real-time implementations, the book contains all the theory required to use the proposed methodologies for different applications. Presents the current trends for the solution of complex engineering problems that cannot be solved through conventional methods Includes real-life scenarios where a wide range of artificial neural network architectures can be used to solve the problems encountered in engineering Contains all the theory required to use the proposed methodologies for different applications