000			04461cam a2200337 i 4500
001			ocn889726638
005			20160307122057.0
008			160307s2014 enkad fr 001 0 eng d
020			_a0199679959
020			_a9780199679959
040			_aCo-BoUCM _bspa _cSaul Niño _dSaul Niño
041	0		_aeng
245	0	0	_aEssays in nonlinear time series econometrics _cedited by Niels Haldrup, Mika Meitz, and Pentti Saikkonen
250			_a5th ed
260			_aOxford (Inglaterra) _bOxford University Press _c2014
300			_axxiii, 367 páginas _bilustraciones, gráficas
500			_aIncluye índice
505	0		_gPt. I Testing for Linearity and Functional Form. -- _t1.Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions / _rJin Seo Cho, Isao Ishida, and Halbert White. -- _t2.Consistent Testing of Functional Form in Time Series Models / _rJames Davidson and Andreea G. Halunga. -- _t3.Linearity Testing for Trending Data with an Application of the Wild Bootstrap / _rRobinson Kruse and Rickard Sandberg. -- _tpt. II Smooth Transition Models. -- _t4.Common Nonlinearities in Multiple Series of Stock Market Volatility / _rHeather M. Anderson and Farshid Vahid. -- _t5.Balance Sheet Recessions and Time-Varying Coefficients in a Phillips Curve Relationship: An Application to Finnish Data / _rKatarina Juselius and Mikael Juselius. -- _t6.Modeling Time-Varying Volatility in Financial Returns: Evidence from the Bond Markets / _rCristina Amado and Helina Laakkonen. -- _tpt. III Model Selection and Econometric Methodology. -- _t7.Semi-Automatic Nonlinear Model Selection / _rJennifer L. Castle and David F. Hendry. -- _t8.Fundamental Problems with Nonfundamental Shocks / _rHelmut Lutkepohl
505	0		_g9.Penalized Estimation of Semi-Parametric Additive Time-Series Models / _rMarcelo C. Medeiros and Eduardo F. Mendes. -- _t10.Oracle Efficient Estimation and Forecasting With the Adaptive Lasso and the Adaptive Group Lasso in Vector Autoregressions / _rLaurent A.F. Callot and Anders Bredahl Kock. -- _tpt. IV Applied Financial Econometrics. -- _t11.Modeling Commodity Prices with Dynamic Conditional Beta / _rRobert Engle. -- _t12.Bias and Uncertainty in Analyst Earnings Expectations at Different Forecast Horizons / _rMarco Aiolfi, Marius Rodriguez, and Allan Timmermann. -- _t13.Asymmetric Dependence Patterns in Financial Returns: An Empirical Investigation Using Local Gaussian Correlation / _rBard Støve and Dag Tjøstheim. -- _t14.Bagging Constrained Equity Premium Predictors / _rEric Hillebrand, Tae-Hwy Lee, and Marcelo C. Medeiros.
520			_aThis edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
546			_aTexto en ingles
650		7	_aEconometría _913653 _xAnálisis
650		7	_aTeorías no lineales _925338
650		7	_aAnálisis de series de tiempo _98970
690		0	_aEconometría _913653
700	1		_aHaldrup, Niels _eeditor _976052
700	1		_aMeitz, Mika _eeditor _976053
700	1		_aSaikkonen, Pentti _eeditor _976054
942			_2DEWEY _a7 _cLIBRO _e5 _h330.18 _mE781es
999			_c302581 _d302581