TY - BOOK ID - 26229380 TI - Econometric analysis of financial and economic time series AU - Terrell, Dek AU - Hill, R Carter AU - Fomby, Thomas B PY - 2009 SN - 0762312734 9780762312733 0762312742 9780762312740 1849503893 9786610629947 1280629940 0080462367 1849503885 9786610629930 1280629932 0080462375 9781849503884 9781849503891 9780080462363 9780080462370 PB - Bingley Emerald Group Publishing Limited DB - UniCat KW - Mathematical statistics KW - Quantitative methods (economics) KW - Econometric models KW - Finance KW - -Time-series analysis KW - 330.015195 KW - Analysis of time series KW - Autocorrelation (Statistics) KW - Harmonic analysis KW - Probabilities KW - Econometrics KW - Mathematical models KW - Funding KW - Funds KW - Economics KW - Currency question KW - Econometric models. KW - Time-series analysis. KW - Business & Economics KW - Econometrics. KW - General. KW - Economics, Mathematical KW - Statistics UR - https://www.unicat.be/uniCat?func=search&query=sysid:26229380 AB - The editors are pleased to offer the following papers to the reader in recognition and appreciation of the contributions to our literature made by Robert Engle and Sir Clive Granger, winners of the 2003 Nobel Prize in Economics. The basic themes of this part of Volume 20 of Advances in Econometrics are time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, the application of the technique of boosting in volatility forecasting, the use of different time scales in GARCH modelling, out-of-sample evaluation of the Fed Model in stock price valuation, structural change as an alternative to long memory, the use of smooth transition auto-regressions in stochastic volatility modelling, the analysis of the balanced-ness of regressions analyzing Taylor-Type rules of the Fed Funds rate, a mixture-of-experts approach for the estimation of stochastic volatility, a modern assessment of Clives first published paper on Sunspot activity, and a new class of models of tail-dependence in time series subject to jumps. This series aids in the diffusion of new econometric techniques. Emphasis is placed on expositional clarity and ease of assimilation for readers who are unfamiliar with a given topic of a volume. It illustrates new concepts. ER -