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Econometric Analysis of Financial and Economic Time Series

Bag om 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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  • Sprog:
  • Engelsk
  • ISBN:
  • 9780762312740
  • Indbinding:
  • Hardback
  • Sideantal:
  • 408
  • Udgivet:
  • 1. marts 2006
  • Størrelse:
  • 156x234x23 mm.
  • Vægt:
  • 747 g.
  • 8-11 hverdage.
  • 9. december 2024

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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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