Title: Nonlinear econometric modeling in time series : proceedings of the Eleventh International Symposium in Economic Theory
Abstract: Series editor's preface Contributors 1. Introduction and overview William A. Barnett, David F. Hendry, Svend Hylleberg, Timo Terasvirta, Dag Tjostheim and Allan Wurtz 2. Time series cointegration tests and non-linearity William A. Barnett, Barry E. Jones and Travis D. Nesmith 3. Risk-related asymmetries in foreign exchange markets Giampiero M. Gallo and Barbara Pacini 4. Nonlinearity, structural breaks or outliers in economic time series? Gary Koop and Simon Potter 5. Bayesian analysis of nonlinear time series models with a threshold Michael Lubrano 6. Nonlinear time series models: consistency and asymptotic normality of NLS under new conditions Santiago Miro and Alvaro Escribano 7. Asymptotic inference on nonlinear functions of the coefficients of infinite order cointegrated VAR processes Pentti Saikkonen and Helmut Lutkepohl 8. Nonlinear error-correction models for interest rates in the Netherlands Dick van Dijk and Philip Hans Franses.
Publication Year: 2006
Publication Date: 2006-01-01
Language: en
Type: book
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