Econometric Methods and Their Applications in Finance, Macro by Kaddour Hadri, William Mikhail

By Kaddour Hadri, William Mikhail

The quantity goals at supplying an outlet for the very best papers provided on the fifteenth Annual convention of the African Econometric Society, that's one of many "chapters" of the foreign Econometric Society. lots of those papers signify the state-of-the-art in monetary econometrics and utilized econometric modeling, and a few additionally offer beneficial simulations that make clear the types' skill to generate significant eventualities for forecasting and coverage research.

Readership: Graduate scholars and researchers within the fields of econometrics, fiscal concept, utilized econometrics.

Show description

Read or Download Econometric Methods and Their Applications in Finance, Macro and Related Fields PDF

Similar econometrics books

Long Memory in Economics

Whilst using the statistical concept of lengthy variety based (LRD) strategies to economics, the robust complexity of macroeconomic and monetary variables, in comparison to typical LRD approaches, turns into obvious. on the way to get a greater figuring out of the behaviour of a few fiscal variables, the ebook assembles 3 diversified strands of lengthy reminiscence research: statistical literature at the homes of, and checks for, LRD tactics; mathematical literature at the stochastic strategies concerned; versions from financial thought supplying believable micro foundations for the occurence of lengthy reminiscence in economics.

The Theory and Practice of Econometrics, Second Edition (Wiley Series in Probability and Statistics)

This greatly established graduate-level textbook covers the main versions and statistical instruments at the moment utilized in the perform of econometrics. It examines the classical, the choice idea, and the Bayesian techniques, and comprises fabric on unmarried equation and simultaneous equation econometric versions. contains an intensive reference checklist for every subject.

The Reciprocal Modular Brain in Economics and Politics: Shaping the Rational and Moral Basis of Organization, Exchange, and Choice

The current paintings is an extension of my doctoral thesis performed at Stanford within the early Nineteen Seventies. in a single transparent experience it responds to the decision for consilience via Edward O. Wilson. I consider Wilson that there's a urgent desire within the sciences at the present time for the unification of the social with the common sciences.

Analogies and Theories: Formal Models of Reasoning

The e-book describes formal versions of reasoning which are aimed toward shooting the way in which that financial brokers, and choice makers ordinarily take into consideration their atmosphere and make predictions in response to their prior adventure. the focal point is on analogies (case-based reasoning) and common theories (rule-based reasoning), and at the interplay among them, in addition to among them and Bayesian reasoning.

Additional info for Econometric Methods and Their Applications in Finance, Macro and Related Fields

Sample text

We found that the time-varying effects in the conditional SJC copula are significant. Also significant is the asymmetry in the tail dependences implied by the copula. From the fitted tail dependence coefficients, we found that the evolution of the conditional tail dependencies noticeably coincide with that of the interest rates themselves. A similar correlation was also found for the conditional linear correlation coefficients implied by the conditional copula. b1595-ch01 December 17, 2013 5:55 9in x 6in Econometric Methods and Their Applications .

Proof of (14) Based on the transition pdf in Eq. (13) and the definition of Iq (·), we have E[rtm |rt−∆ ] ∞ = 0 rtm 1 rt1−2γ −u−v v ce 2 |1 − γ| u m m × p=0 0 ∞ m = [2|1 − γ|] 1−γ c− 2(1−γ) ∞ ∞ m = [2|1 − γ|] 1−γ c− 2(1−γ) 0 q/2 Iq [2(uv)1/2 ]drt v u m v 2(1−γ) e−u−v q/2 Iq [2(uv)1/2 ]dv m e−u−v v q/2+ 2(1−γ) u−q/2 (uv)q/2 (uv)p dv Γ(p + 1)Γ(p + 1 + q) 6 See A¨ ıt-Sahalia (1996b) for the definitions of the speed and scale densities, the speed and scale measures and the conditions for stationarity for a general diffusion process.

Examples include Diebold et al. (2006, 2008), Christensen et al. (2009, 2011), Hautsch and Ou (2008), and Koopman et al. (2010). The Diebold and Li (2006) is referred to in the literature as the dynamic Nelson–Siegel (DNS) model. These newly-introduced models can be classified as either independent-factors or correlated-factor models. 1 This assumption is important for model tractability, but may not be empirically plausible. The objective of this chapter is to extend the DNS correlated-factors model by allowing for a time-varying dependence structure among the factors.

Download PDF sample

Rated 4.04 of 5 – based on 19 votes