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Econometric Analysis of Financial and Economic Time Series

About Econometric Analysis of Financial and Economic Time Series

Talks about the time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, application of the technique of boosting in volatility forecasting, and more.

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  • Language:
  • English
  • ISBN:
  • 9780762312740
  • Binding:
  • Hardback
  • Pages:
  • 408
  • Published:
  • February 28, 2006
  • Dimensions:
  • 156x234x23 mm.
  • Weight:
  • 747 g.
Delivery: 2-4 weeks
Expected delivery: December 20, 2024

Description of Econometric Analysis of Financial and Economic Time Series

Talks about the time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, application of the technique of boosting in volatility forecasting, and more.

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