Volatility and Time Series Econometrics
Volatility and Time Series Econometrics

Author: Mark Watson

Publisher: Oxford University Press

Published: 2010-02-11

Total Pages: 432

ISBN-13: 0199549494

DOWNLOAD EBOOK

A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics

Essays in Econometrics
Essays in Econometrics

Author: Clive W. J. Granger

Publisher: Cambridge University Press

Published: 2001-07-23

Total Pages: 548

ISBN-13: 9780521774963

DOWNLOAD EBOOK

These are econometrician Clive W. J. Granger's major essays in spectral analysis, seasonality, nonlinearity, methodology, and forecasting.

Essays in Honor of Joon Y. Park
Essays in Honor of Joon Y. Park

Author: Yoosoon Chang

Publisher: Emerald Group Publishing

Published: 2023-04-24

Total Pages: 449

ISBN-13: 1837532125

DOWNLOAD EBOOK

Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.

Essays in Nonlinear Time Series Econometrics
Essays in Nonlinear Time Series Econometrics

Author: Niels Haldrup

Publisher: Oxford University Press, USA

Published: 2014-05

Total Pages: 393

ISBN-13: 0199679959

DOWNLOAD EBOOK

A book on nonlinear economic relations that involve time. It covers specification testing of linear versus non-linear models, model specification testing, estimation of smooth transition models, volatility modelling using non-linear model specification, analysis of high dimensional data set, and forecasting.

Generalized Method of Moments Estimation
Generalized Method of Moments Estimation

Author: Laszlo Matyas

Publisher: Cambridge University Press

Published: 1999-04-13

Total Pages: 332

ISBN-13: 9780521669672

DOWNLOAD EBOOK

The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.