Advances in Econometrics

ISSN: 0731-9053
Series editor(s): Thomas B. Fomby, R. Carter Hill, Ivan Jeliazkov, Juan Carlos Escanciano and Eric Hillebrand

Subject Area: Economics

Content: Series Volumes | Current Volume RSS

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Volume 20 part 2 - Econometric Analysis of Financial and Economic Time Series

ISBN: 978-0-76231-273-3
eISBN: 978-1-84950-388-4
Edited by: Thomas B. Fomby, Dek Terrell
Published: 2006

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Chapters
Chapter Id:	Chapter Information:
1771297	Contents (pp. v - vii) Article type: Conclusion Please login \| Abstract [ HTML & PDF (50kb) ] \| Reprints & permissions
1771300	Good Ideas Robert F. Engle (pp. xix - xxii) Article type: Editorial Please login \| Abstract [ HTML & PDF (52kb) ] \| Reprints & permissions
1771301	The Creativity Process Clive W.J. Granger (pp. xxiii - xxv) Article type: Editorial Please login \| Abstract [ HTML & PDF (49kb) ] \| Reprints & permissions
1771299	Introduction Thomas B. Fomby, Dek Terrell (pp. xiii - xviii) Article type: Full length article Please login \| Abstract [ HTML & PDF (63kb) ] \| Reprints & permissions
1771298	List of Contributors (pp. xi - xii) Article type: Index Please login \| Abstract [ HTML & PDF (45kb) ] \| Reprints & permissions
1771296	Dedication (pp. ix - x) Article type: Personal Report Please login \| Abstract [ HTML & PDF (65kb) ] \| Reprints & permissions
1771282	Realized Beta: Persistence and Predictability Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Ginger Wu (pp. 1 - 39) Article type: Chapter Item Please login \| Abstract & purchase [ HTML & PDF (755kb) ] \| Reprints & permissions
1771283	Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison Yong Bao, Tae-Hwy Lee (pp. 41 - 62) Article type: Chapter Item Please login \| Abstract & purchase [ HTML & PDF (202kb) ] \| Reprints & permissions
1771284	Flexible Seasonal Time Series Models Zongwu Cai, Rong Chen (pp. 63 - 87) Article type: Chapter Item Please login \| Abstract & purchase [ HTML & PDF (268kb) ] \| Reprints & permissions
1771285	Estimation of Long-Memory Time Series Models: a Survey of Different Likelihood-Based Methods Ngai Hang Chan, Wilfredo Palma (pp. 89 - 121) Article type: Chapter Item Please login \| Abstract & purchase [ HTML & PDF (293kb) ] \| Reprints & permissions
1771286	Boosting-Based Frameworks in Financial Modeling: Application to Symbolic Volatility Forecasting Valeriy V. Gavrishchaka (pp. 123 - 151) Article type: Chapter Item Please login \| Abstract & purchase [ HTML & PDF (249kb) ] \| Reprints & permissions
1771287	Overlaying Time Scales in Financial Volatility Data Eric Hillebrand (pp. 153 - 178) Article type: Chapter Item Please login \| Abstract & purchase [ HTML & PDF (329kb) ] \| Reprints & permissions
1771288	Evaluating the ‘Fed Model’ of Stock Price Valuation: An out-of-sample forecasting perspective Dennis W. Jansen, Zijun Wang (pp. 179 - 204) Article type: Chapter Item Please login \| Abstract & purchase [ HTML & PDF (365kb) ] \| Reprints & permissions
1771289	Structural Change as an Alternative to Long Memory in Financial Time Series Tze Leung Lai, Haipeng Xing (pp. 205 - 224) Article type: Chapter Item Please login \| Abstract & purchase [ HTML & PDF (290kb) ] \| Reprints & permissions
1771290	Time Series Mean Level and Stochastic Volatility Modeling by Smooth Transition Autoregressions: A BAYESIAN Approach Hedibert Freitas Lopes, Esther Salazar (pp. 225 - 238) Article type: Chapter Item Please login \| Abstract & purchase [ HTML & PDF (180kb) ] \| Reprints & permissions
1771291	Estimating Taylor-Type Rules: An Unbalanced Regression? Pierre L. Siklos, Mark E. Wohar (pp. 239 - 276) Article type: Chapter Item Please login \| Abstract & purchase [ HTML & PDF (382kb) ] \| Reprints & permissions
1771292	Bayesian Inference on Mixture-of-Experts for Estimation of Stochastic Volatility Alejandro Villagran, Gabriel Huerta (pp. 277 - 296) Article type: Chapter Item Please login \| Abstract & purchase [ HTML & PDF (313kb) ] \| Reprints & permissions
1771293	A MODERN TIME SERIES ASSESSMENT OF “A STATISTICAL MODEL FOR SUNSPOT ACTIVITY” BY C. W. J. GRANGER (1957) Gawon Yoon (pp. 297 - 314) Article type: Chapter Item Please login \| Abstract & purchase [ HTML & PDF (276kb) ] \| Reprints & permissions
1771294	Personal Comments on Yoon's Discussion of My 1957 Paper Clive W.J. Granger (pp. 315 - 316) Article type: Chapter Item Please login \| Abstract & purchase [ HTML & PDF (54kb) ] \| Reprints & permissions
1771295	A New Class of Tail-dependent Time-Series Models and Its Applications in Financial Time Series Zhengjun Zhang (pp. 317 - 352) Article type: Chapter Item Please login \| Abstract & purchase [ HTML & PDF (528kb) ] \| Reprints & permissions

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