9780792386742 - a nonlinear time series workshop: a toolkit for detecting and identifying nonlinear serial dependence: 2 di ashley, richard a.; patterson, douglas m. (17 risultati)
Lingua: Inglese
Editore: Springer, 1999
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Serie: Libro 5 di 20 - Dynamic Modeling and Econometrics in Economics and Finance
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Condizione: New. Provides the reader with both the statistical background and the software tools for detecting nonlinear behavior in time series data. This book describes various detection techniques including Engle's LaGrange Multiplier test for conditional hetero-skedasticity and tests based on the correlation dimension and on… the estimated bispectrum. Series: Dynamic Modeling and Econometrics in Economics and Finance. Num Pages: 210 pages, biography. BIC Classification: KCH. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 234 x 156 x 14. Weight in Grams: 1080. . 1999. Hardback. . . . .
Lingua: Inglese
Editore: Springer, 1999
Serie: Libro 5 di 20 - Dynamic Modeling and Econometrics in Economics and Finance
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Lingua: Inglese
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Serie: Libro 5 di 20 - Dynamic Modeling and Econometrics in Economics and Finance
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Buch. Condizione: Neu. Druck auf Anfrage Neuware - Printed after ordering - The analysis ofwhat might be called 'dynamic nonlinearity' in time series has its roots in the pioneering work ofBrillinger (1965) - who first pointed out how the bispectrum and higher order polyspectra could, in principle, be used to test for nonlinear…serial dependence - and in Subba Rao and Gabr (1980) and Hinich (1982) who each showed how Brillinger's insight could be translated into a statistical test. Hinich's test, because ittakes advantage ofthe large sample statisticalpropertiesofthe bispectral estimates became the first usable statistical test for nonlinear serial dependence. We are forever grateful to Mel Hinich for getting us involved at that time in this fascinating and fruitful endeavor. With help from Mel (sometimes as amentor,sometimes as acollaborator) we developed and applied this bispectral test in the ensuing period. The first application ofthe test was to daily stock returns {Hinich and Patterson (1982, 1985)} yielding the important discovery of substantial nonlinear serial dependence in returns, over and above the weak linear serial dependence that had been previously observed. The original manuscript met with resistance from finance journals, no doubt because finance academics were reluctant to recognize the importance of distinguishing between serial correlation and nonlinear serial dependence. In Ashley, Patterson and Hinich (1986) we examined the power and sizeofthe test in finite samples.
Lingua: Inglese
Editore: Springer, 1999
Serie: Libro 5 di 20 - Dynamic Modeling and Econometrics in Economics and Finance
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Hardcover. Condizione: Brand New. 216 pages. 10.00x6.50x0.75 inches. In Stock.
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Editore: Kluwer Academic Publishers, 1999
Serie: Libro 5 di 20 - Dynamic Modeling and Econometrics in Economics and Finance
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Condizione: New. Provides the reader with both the statistical background and the software tools for detecting nonlinear behavior in time series data. This book describes various detection techniques including Engle's LaGrange Multiplier test for conditional hetero-skedasticity and tests based on the correlation dimension and on… the estimated bispectrum. Series: Dynamic Modeling and Econometrics in Economics and Finance. Num Pages: 210 pages, biography. BIC Classification: KCH. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 234 x 156 x 14. Weight in Grams: 1080. . 1999. Hardback. . . . . Books ship from the US and Ireland.
Lingua: Inglese
Editore: Springer, 1999
Serie: Libro 5 di 20 - Dynamic Modeling and Econometrics in Economics and Finance
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Condizione: Brand New. New. US edition. Print on demand title. Delivery takes 20-25 days. Excellent Customer Service.
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Lingua: Inglese
Editore: Springer US, 1999
Serie: Libro 5 di 20 - Dynamic Modeling and Econometrics in Economics and Finance
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Gebunden. Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Preface. 1. Nonlinearity in Stochastic Processes: What it Is and Why it Matters. 2. Detecting Nonlinear Serial Dependence. 3. How to Run the Toolkit Program on a PC. 4. Artificially Generated Data: Size Con…siderations. 5. Artificially Generated Data: Po.
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Lingua: Inglese
Editore: Springer US, 1999
Serie: Libro 5 di 20 - Dynamic Modeling and Econometrics in Economics and Finance
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Buch. Condizione: Neu. A Nonlinear Time Series Workshop | A Toolkit for Detecting and Identifying Nonlinear Serial Dependence | Richard A. Ashley (u. a.) | Buch | ix | Englisch | 1999 | Springer US | EAN 9780792386742 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hart…mann[at]springer[dot]com | Anbieter: preigu Print on Demand.
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Lingua: Inglese
Editore: Springer US Okt 1999, 1999
Serie: Libro 5 di 20 - Dynamic Modeling and Econometrics in Economics and Finance
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Buch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -The analysis ofwhat might be called 'dynamic nonlinearity' in time series has its roots in the pioneering work ofBrillinger (1965) - who first pointed out how the bispectrum and higher order polyspectra could, in principle, be used to tes…t for nonlinear serial dependence - and in Subba Rao and Gabr (1980) and Hinich (1982) who each showed how Brillinger's insight could be translated into a statistical test. Hinich's test, because ittakes advantage ofthe large sample statisticalpropertiesofthe bispectral estimates became the first usable statistical test for nonlinear serial dependence. We are forever grateful to Mel Hinich for getting us involved at that time in this fascinating and fruitful endeavor. With help from Mel (sometimes as amentor,sometimes as acollaborator) we developed and applied this bispectral test in the ensuing period. The first application ofthe test was to daily stock returns {Hinich and Patterson (1982, 1985)} yielding the important discovery of substantial nonlinear serial dependence in returns, over and above the weak linear serial dependence that had been previously observed. The original manuscript met with resistance from finance journals, no doubt because finance academics were reluctant to recognize the importance of distinguishing between serial correlation and nonlinear serial dependence. In Ashley, Patterson and Hinich (1986) we examined the power and sizeofthe test in finite samples. 220 pp. Englisch.
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Lingua: Inglese
Editore: Springer US, Springer US Okt 1999, 1999
Serie: Libro 5 di 20 - Dynamic Modeling and Econometrics in Economics and Finance
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Da: buchversandmimpf2000, Emtmannsberg, BAYE, Germaniabuchversandmimpf2000
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Buch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -The analysis ofwhat might be called 'dynamic nonlinearity' in time series has its roots in the pioneering work ofBrillinger (1965) - who first pointed out how the bispectrum and higher order polyspectra could, in principle, be used to test fo…r nonlinear serial dependence - and in Subba Rao and Gabr (1980) and Hinich (1982) who each showed how Brillinger's insight could be translated into a statistical test. Hinich's test, because ittakes advantage ofthe large sample statisticalpropertiesofthe bispectral estimates became the first usable statistical test for nonlinear serial dependence. We are forever grateful to Mel Hinich for getting us involved at that time in this fascinating and fruitful endeavor. With help from Mel (sometimes as amentor,sometimes as acollaborator) we developed and applied this bispectral test in the ensuing period. The first application ofthe test was to daily stock returns {Hinich and Patterson (1982, 1985)} yielding the important discovery of substantial nonlinear serial dependence in returns, over and above the weak linear serial dependence that had been previously observed. The original manuscript met with resistance from finance journals, no doubt because finance academics were reluctant to recognize the importance of distinguishing between serial correlation and nonlinear serial dependence. In Ashley, Patterson and Hinich (1986) we examined the power and sizeofthe test in finite samples.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 220 pp. Englisch.
