000 02498cam a2200229 a 4500
999 _c193604
_d193604
008 131024s2014 enka b 001 0 eng d
020 _a9780199679959
020 _a9780191760136
082 0 4 _aER000401
245 0 0 _aEssays in nonlinear time series econometrics
260 _aOxford
_b Oxford University Press
_c2014
300 _axxiii, 367 p.
520 _aThis book is a collection of 14 original research articles presented at the conference Nonlinear Time Series Econometrics that was held in Ebeltoft, Denmark, in June 2012. The conference gathered several eminent time series econometricians to celebrate the work and outstanding career of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The book is divided into four broad themes that all reflect Timo Teräsvirta’s work and methodology: testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent the state of the art in econometrics, such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had, and will continue to have, on the profession. (http://www.oxfordscholarship.com/view/10.1093/acprof:oso/9780199679959.001.0001/acprof-9780199679959)
650 0 _aEconometrics
_9312065
650 0 _aNonlinear theories
_9312066
650 0 _aTime-series analysis
_9312067
700 1 _aHaldrup, Niels
_eEditor
_9312068
700 1 _aMeitz, Mika
_eEditor
_9312069
700 1 _aSaikkonen, Pentti
_eEditor
_9312070
856 _3E-Book
_uhttps://oxford.universitypressscholarship.com/view/10.1093/acprof:oso/9780199679959.001.0001/acprof-9780199679959
_2Unlimited (Internet)
942 _cER