Nonlinear Econometric Modeling in Time Series
Nonlinear Econometric Modeling in Time Series
ISBN: 9780521028684
出版社: Cambridge Univ Pr
出版年: 2006-11
页数: 240
定价: $ 56.50
装帧: Pap
内容简介
Nonlinear Econometric Modeling in Time Series presents the more recent literature on nonlinear time series. Specific topics covered with respect to nonlinearity include cointegration tests, risk-related asymmetries, structural breaks and outliers, Bayesian analysis with a threshold, consistency and asymptotic normality, asymptotic inference and error-correction models. With a world-class panel of contributors, this volume addresses topics with major applications for fields such as foreign-exchange markets and interest rate analysis. Eleventh in this series of international symposia, this volume is also part of the European Conference Series in Quantitative Economics and Econometrics (EC)2.