Biblioteca Especializada

Essays in econometrics / Eric Ghysels

Público ISBD Título : Essays in econometrics : collected papers of Clive W.J. Granger. v.1 Spectral nalysis, seasonality, nonlinearity, methodology, and forecasting Tipo de documento: texto impreso Autores: Eric Ghysels, Censor ; Norman R. Swanson, Censor ; Mark W. Watson, Censor Editorial: Cambridge : Cambridge University Press Fecha de publicación: 2001 Colección: Econometric Society monographs num. 32 Número de páginas: 523p Nota general: ISBN 0 521 79697 0 (set :pbk) Clasificación: 330.0182 Essays in econometrics : collected papers of Clive W.J. Granger. v.1 Spectral nalysis, seasonality, nonlinearity, methodology, and forecasting [texto impreso] / Eric Ghysels, Censor ; Norman R. Swanson, Censor ; Mark W. Watson, Censor . - Cambridge : Cambridge University Press, 2001 . - 523p. - (Econometric Society monographs; 32) . ISBN 0 521 79697 0 (set :pbk) Clasificación: 330.0182

Contenido :

• The ET interview : professor Clive Granger / Eric Ghysels
• Reprinted in the random character of stock market prices / Clive William John Granger
• The typical spectral shape of an economic variable / Clive William John Granger
• Seasonality : causation, interpretation and implications / Clive William John Granger
• Is seasonal adjustment a linear or nonlinear data-filtering process? / Eric Ghysels
• Non-linear time series modeling / Clive William John Granger
• Using the correlation exponent to decide whether an economic series in chaotic / Clive William John Granger
• Testing for neglected nonlinearity in time series models : a comparison of neural network methods and alternative tests / Tae-Hwy Lee
• Semiparametric estimates of the relation between weather and electricity sales / Clive William John Granger
• Time series modeling and interpretation / Clive William John Granger
• On the invertibility of time series models / Clive William John Granger
• The time series approach to econometric model building / Clive William John Granger
• Near normality and some econometric models / Clive William John Granger
• Comments on the evaluation of policy models / Clive William John Granger
• Implications of aggregation with common factors / Clive William John Granger
• Estimating the probability of flooding on a Tidal River / Clive William John Granger
• Prediction with a generalized cost of error function / Clive William John Granger
• Some comments on the evaluation of economic forecasts / Clive William John Granger
• The combination of forecasts / Clive William John Granger
• Invited review : combining forecasts - twenty years later / Clive William John Granger

20 registros indicados sobre 25, ver los 5 autores

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Código de barras	Signatura	Tipo de medio	Ubicación	Sección	Estado
35659	330.0182 GHYe	Libro	Biblioteca Especializada	Colección general	Disponible

Essays in econometrics / Eric Ghysels

Público ISBD Título : Essays in econometrics : collected papers of Clive W.J. Granger. v.2 Causality, integration and cointegration, and long memory Tipo de documento: texto impreso Autores: Eric Ghysels, Censor ; Norman R. Swanson, Censor ; Mark W. Watson, Censor Editorial: Cambridge : Cambridge University Press Fecha de publicación: 2001 Colección: Econometric Society monographs num. 33 Número de páginas: 378p Nota general: ISBN 0 521 79697 0 (set : pbk) Clasificación: 330.0182 Essays in econometrics : collected papers of Clive W.J. Granger. v.2 Causality, integration and cointegration, and long memory [texto impreso] / Eric Ghysels, Censor ; Norman R. Swanson, Censor ; Mark W. Watson, Censor . - Cambridge : Cambridge University Press, 2001 . - 378p. - (Econometric Society monographs; 33) . ISBN 0 521 79697 0 (set : pbk) Clasificación: 330.0182

Contenido :

• Investigating causal relations by econometric models and cross-spectral methods / Clive William John Granger
• Testing for causality : a personal viewpoint / Clive William John Granger
• Some recent developments in a concept of causality / Clive William John Granger
• Advertising and aggregate consumption : an analysis of causality / Richard Ashley
• Spurious regression in econometrics / Clive William John Granger
• Some properties of time series data and their use in econometric model specification / Clive William John Granger
• Time series analysis of error correction models / Clive William John Granger
• Co-integration and error-correction : representation, estimation, and testing / Robert F. Engle
• Developments in the study of cointegrated economic variables / Clive William John Granger
• Seasonal integration and cointegration / Robert F. Engle
• A cointegration analysis of treasury bill yields / Anthony D. Hall
• Estimation of common long memory components in cointegrated systems / Jesús Gonzalo
• Separation in cointegrated systems and persistent-transitory decompositions / Clive William John Granger
• Nonlinear transformations of integrated time series / Clive William John Granger
• Long memory series with attractors / Clive William John Granger
• Further developments in the study of cointegrated variables / Clive William John Granger
• An introduction to long-memory time series models and fractional differencing / Clive William John Granger
• Long memory relationships and the aggregation of dynamic models / Clive William John Granger
• A long memory property of stock market returns and a new model / Zhuanxin Ding

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Código de barras	Signatura	Tipo de medio	Ubicación	Sección	Estado
35660	330.0182 GHYe	Libro	Biblioteca Especializada	Colección general	Disponible

Estimation of stochastic volatility models for the purpose of option pricing / Mikhail Chernov

Público ISBD en Computational Finance 1999 / Yaser S. Abu-Mostafa Título : Estimation of stochastic volatility models for the purpose of option pricing Tipo de documento: texto manuscrito Autores: Mikhail Chernov, Autor ; Eric Ghysels, Autor Número de páginas: pp. 567-582 en Computational Finance 1999 / Yaser S. Abu-Mostafa Estimation of stochastic volatility models for the purpose of option pricing [texto manuscrito] / Mikhail Chernov, Autor ; Eric Ghysels, Autor . - [s.d.] . - pp. 567-582.

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Forecasting with Mixed-Frequency Data / Elena Andreou

Público ISBD en The Oxford Handbook of Economic Forecasting / Michael P. Clements Título : Forecasting with Mixed-Frequency Data Tipo de documento: texto manuscrito Autores: Elena Andreou, Autor ; Eric Ghysels, Autor ; Andros Kourtellos, Autor Número de páginas: pp. 225-246 en The Oxford Handbook of Economic Forecasting / Michael P. Clements Forecasting with Mixed-Frequency Data [texto manuscrito] / Elena Andreou, Autor ; Eric Ghysels, Autor ; Andros Kourtellos, Autor . - [s.d.] . - pp. 225-246.

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High frequency financial time series data : some stylized facts and models of sotchastic volatility / Eric Ghysels

Público ISBD en Nonlinear modelling of high frequency financial time series / Christian Dunis Título : High frequency financial time series data : some stylized facts and models of sotchastic volatility Tipo de documento: texto manuscrito Autores: Eric Ghysels, Autor ; Christian Gouriéroux, Autor ; Joanna Jasiak, Autor Número de páginas: pp. 127-160 en Nonlinear modelling of high frequency financial time series / Christian Dunis High frequency financial time series data : some stylized facts and models of sotchastic volatility [texto manuscrito] / Eric Ghysels, Autor ; Christian Gouriéroux, Autor ; Joanna Jasiak, Autor . - [s.d.] . - pp. 127-160.

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Is seasonal adjustment a linear or nonlinear data-filtering process? / Eric Ghysels

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Sampling Frecuency and Window Length Trade-Offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations / Elena Andreou

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Stochastic volatility / Eric Ghysels

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The Econometric Analysis of Seasonal Time Series / Eric Ghysels

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The ET interview : professor Clive Granger / Eric Ghysels

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