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Financial, Macro and Micro Econometrics Using R
The scope of the handbook covers many topics of practical interest to quantitative scientists, especially in economics and finance
Hrishikesh D. Vinod (Volume editor), C.R. Rao (Volume editor)
9780128202500
Hardback, published 20 January 2020
349 pages
22.9 x 15.1 x 2.5 cm, 0.31 kg
Approx.333 pages
Part I: Finance 1. Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumps Arpita Mukherjee, Weijia Peng, Norman R. Swanson and Xiye Yang 2. Real time monitoring of asset markets: Bubbles and crises Peter C.B. Phillips and Shuping Shi 3. Component-wise AdaBoost algorithms for high-dimensional binary classification and class probability prediction Jianghao Chu, Tae-Hwy Lee and Aman Ullah Part II: Macro Econometrics 4. Mixed data sampling (MIDAS) regression models Eric Ghysels, Virmantas Kvedaras and Vaidotas Zemlys-Balevicius 5. Encouraging private corporate investment in India Hrishikesh Vinod, Honey Karun and Lekha S. Chakraborty 6. High-mixed frequency forecasting methods in R—With applications to Philippine GDP and inflation Roberto S. Mariano and Suleyman Ozmucur 7. Nonlinear time series in R: Threshold cointegration with tsDyn Matthieu Stigler Part III: Micro Econometrics 8. Econometric analysis of productivity: Theory and implementation in R Robin C. Sickles, Wonho Song and Valentin Zelenyuk 9. Stochastic frontier models using R Giancarlo Ferrara
Subject Areas: Stochastics [PBWL]
