Econometric Analysis of Financial and Economic Time Series

By Thomas B. Fomby

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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.

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"

Related Subjects

Business Business & Investing

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Econometric Analysis of Financial and Economic Time Series

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