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Título : Unobserved components and time series econometrics
Tipo de documento: TEXTO IMPRESO
Autores: Siem Jan Koopman, Editor científico ; Neil Shephard, Editor científico
Editorial: Oxford [Inglaterra] : Oxford University Press
Fecha de publicación: 2015
Número de páginas: xvii, 370 p.
Dimensiones: 24 cm.
ISBN/ISSN/DL: 978-0-19-968366-6
Idioma : Inglés (eng)
Descriptores: Econometría ; Series temporales
Clasificación: 330.43 Econometría
Nota de contenido: 1. Introduction, Siem Jan Koopman and Neil Shephard - 2. The Development of a Time Series Methodology: from Recursive Residuals to Dynamic Conditional Score Models, Andrew Harvey - 3. A State-Dependent Model for Inflation Forecasting, Andrea Stella and James H. Stock - 4. Measuring the Tracking Error of Exchange Traded Funds, Giuliano De Rossi - 5. Measuring the Dynamics of Global Business Cycle Connectedness, Francis X. Diebold and Kamil Yilmaz -
6. Inferring and Predicting Global Temperature Trends, Craig Ansley and Piet de Jong - 7. Forecasting the Boat Race, Geert Mesters and Siem Jan Koopman - 8. Tests for Serial Dependence in Static, Non-Gaussian Factor Models, Gabriele Fiorentini and Enrique Sentana - 9. Inference for Models with Asymmetric α-Stable Noise Processes, Tatjana Lemke and Simon J. Godsill - 10. Martingale Unobserved Component Models, Neil Shephard - 11. More is Not Always Better: Kalman Filtering in Dynamic Factor Models, Pilar Poncela and Esther Ruiz - 12. On Detecting End-of-Sample Instabilities, Fabio Busetti - 13. Improved Frequentist Prediction Intervals for Autoregressive Models by Simulation, Jouni Helske and Jukka Nyblom - 14. The Superiority of the LM Test in a Class of Econometric Models Where the Wald Test Performs Poorly, Jun Ma and Charles R. Nelson - 15. Generalised Linear Spectral Models, Tommaso Proietti and Alessandra Luati
Ubicación : 330.43 K75
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