Nonlinear Econometric Modeling in Time Series presents the more recent literature on nonlinear time series. Specific topics covered with respect to nonlinearity include cointegration tests, risk-related asymmetries, structural breaks and outliers, Bayesian analysis with a threshold, consistency and asymptotic normality, asymptotic inference and error-correction models. With a world-class panel of contributors, this volume addresses topics with major applications for fields such as foreign-exchange markets and interest rate analysis. Eleventh in this series of international symposia, this volume is also part of the European Conference Series in Quantitative Economics and Econometrics (EC)2.
- ISBN:
- 9780521028684
- 9780521028684
-
Category:
- Econometrics
- Format:
- Paperback
- Publication Date:
-
02-11-2006
- Language:
- English
- Publisher:
- Cambridge University Press
- Country of origin:
- United Kingdom
- Pages:
- 240
- Dimensions (mm):
- 229x151x14mm
- Weight:
- 0.38kg
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