Econometric Analysis of Financial and Economic Time Series

by Thomas B. Fomby

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.

• Format: Hardcover
• Language: English
• ISBN: 0762312742
• ISBN13: 9780762312740
• Release Date: March 2006
• Publisher: Jai Press Inc.
• Length: 408 Pages
• Weight: 1.57 lbs.
• Dimensions: 1.4" x 6.1" x 9.3"