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E-raamat: Empirical Economic and Financial Research: Theory, Methods and Practice

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The purpose of this book is to establish a connection between the traditional field of empirical economic research and the emerging area of empirical financial research and to build a bridge between theoretical developments in these areas and their application in practice. Accordingly, it covers broad topics in the theory and application of both empirical economic and financial research, including analysis of time series and the business cycle; different forecasting methods; new models for volatility, correlation and of high-frequency financial data and new approaches to panel regression, as well as a number of case studies. Most of the contributions reflect the state-of-art on the respective subject. The book offers a valuable reference work for researchers, university instructors, practitioners, government officials and graduate and post-graduate students, as well as an important resource for advanced seminars in empirical economic and financial research.
Introduction 1(8)
Jan Beran
Yuanhua Feng
Hartmut Hebbel
Part I Empirical Economic Research
Decomposition of Time Series Using the Generalised Berlin Method (VBV)
9(36)
Hartmut Hebbel
Detlef Steuer
Time Series Segmentation Procedures to Detect, Locate and Estimate Change-Points
45(16)
Ana Laura Badagian
Regina Kaiser
Daniel Pena
Regularization Methods in Economic Forecasting
61(20)
Gunther Schauberger
Gerhard Tutz
Investigating Bavarian Beer Consumption
81(8)
Michael Bruckner
Roland Jeske
The Algebraic Structure of Transformed Time Series
89(16)
Tucker McElroy
Osbert Pang
Reliability of the Automatic Identification of ARIMA Models in Program TRAMO
105(18)
Agustin Maravall
Roberto Lopez-Pavon
Domingo Perez-Canete
Panel Model with Multiplicative Measurement Errors
123(22)
Hans Schneeweiss
Gerd Ronning
Matthias Schmid
A Modified Gauss Test for Correlated Samples with Application to Combining Dependent Tests or P-Values
145(14)
Joachim Hartung
Barbel Elpelt-Hartung
Guido Knapp
Panel Research on the Demand of Organic Food in Germany: Challenges and Practical Solutions
159(14)
Paul Michels
The Elasticity of Demand for Gasoline: A Semi-parametric Analysis
173(22)
Pin T. Ng
James L. Smith
The Pitfalls of Ignoring Outliers in Instrumental Variables Estimations: An Application to the Deep Determinants of Development
195(20)
Catherine Dehon
Rodolphe Desbordes
Vincenzo Verardi
Evaluation of Job Centre Schemes: Ideal Types Versus Statistical Twins
215(8)
Rainer Schlittgen
The Precision of Binary Measurement Methods
223(16)
Peter-Th. Wilrich
Part II Empirical Financial Research
On EFARIMA and ESEMIFAR Models
239(16)
Jan Beran
Yuanhua Feng
Sucharita Ghosh
Prediction Intervals in Linear and Nonlinear Time Series with Sieve Bootstrap Methodology
255(20)
Hector Allende
Gustavo Ulloa
Hector Allende-Cid
Do Industrial Metals Prices Exhibit Bubble Behavior?
275(12)
Walter Assenmacher
Robert Czudaj
Forecasting Unpredictable Variables
287(18)
Helmut Lutkepohl
Dynamic Modeling of the Correlation Smile
305(22)
Alfred Hamerle
Christian Scherr
Findings of the Signal Approach: A Case Study for Kazakhstan
327(14)
Klaus Abberger
Wolfgang Nierhaus
Double Conditional Smoothing of High-Frequency Volatility Surface Under a Spatial Model
341(16)
Christian Peitz
Yuanhua Feng
Zillmer's Population Model: Theory and Application
357(16)
Peter Pflaumer
Part III New Econometric Approaches
Adaptive Estimation of Regression Parameters for the Gaussian Scale Mixture Model
373(6)
Roger Koenker
The Structure of Generalized Linear Dynamic Factor Models
379(22)
Manfred Deistler
Wolfgang Scherrer
Brian D.O. Anderson
Forecasting Under Structural Change
401(20)
Liudas Giraitis
George Kapetanios
Mohaimen Mansur
Simon Price
Distribution of the Durbin--Watson Statistic in Near Integrated Processes
421(16)
Uwe Hassler
Mehdi Hosseinkouchack
Testing for Cointegration in a Double-LSTR Framework
437(14)
Claudia Grote
Philipp Sibbertsen
Fitting Constrained Vector Autoregression Models
451(20)
Tucker McElroy
David Findley
Minimax Versions of the Two-Step Two-Sample-Gaus- and t-Test
471(16)
Wolf Krumbholz
Ingo Starke
Dimensionality Reduction Models in Density Estimation and Classification
487(10)
Alexander Samarov
On a Craig--Sakamoto Theorem for Orthogonal Projectors
497(6)
Oskar Maria Baksalary
Gotz Trenkler
A Note of Appreciation: High Standards with Heart
503
Beatrix Dart
Jan Beran is a Professor of Statistics at the University of Konstanz (Department of Mathematics and Statistics). After completing his PhD in Mathematics at the ETH Zurich, he worked at several U.S. universities and the University of Zurich. He has a broad range of interests, from long-memory processes and asymptotic theory to applications in finance, biology and musicology.

Yuanhua Feng is a Professor of Econometrics at the University of Paderborns Department of Economics. He previously worked at the Heriot-Watt University, UK, after completing his PhD and postdoctoral studies at the University of Konstanz. His research interests include financial econometrics, time series and semiparametric modeling.

Hartmut Hebbel is a Professor (emeritus) of Empirical Economic Research at the University of the Federal Armed Forces in Hamburg, Germany. He studied Mathematics at the Technische Universität Berlin and previously worked at different German universities after receiving his PhD and German PD in Statistics from the University of Dortmund. His research interests include space and time series analysis and applications of statistical methods in the natural and environmental sciences.