Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, Greg N. Gregoriou; Razvan Pascalau

Автор: G. Gregoriou; R. Pascalau
Название: Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models
ISBN: 1349328960 ISBN-13(EAN): 9781349328963
Издательство: Springer
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Цена: 13974.00 р.
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Описание: This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinear models for hedging purposes, and proposes new computational techniques to estimate financial processes.

Автор: James D. Hamilton; Baldev Raj
Название: Advances in Markov-Switching Models
ISBN: 3642511848 ISBN-13(EAN): 9783642511844
Издательство: Springer
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Цена: 13974.00 р.
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Описание: This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis.

Автор: Hans-Martin Krolzig
Название: Markov-Switching Vector Autoregressions
ISBN: 3540630732 ISBN-13(EAN): 9783540630739
Издательство: Springer
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Цена: 12157.00 р.
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Описание: This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. This study is intended to provide a systematic and operational ap- proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switching vector autoregressive model.