Parametric Distributional Flexibility And Conditional Variance Models With An Application To Hourly Exchange Rates

Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates PDF
Author: Ms.Jenny N. Lye
Publisher: International Monetary Fund
ISBN: 1451844778
Size: 35.97 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 39
View: 7121

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Parametric Distributional Flexibility And Conditional Variance Models With An Application To Hourly Exchange Rates

by Ms.Jenny N. Lye, Parametric Distributional Flexibility And Conditional Variance Models With An Application To Hourly Exchange Rates Books available in PDF, EPUB, Mobi Format. Download Parametric Distributional Flexibility And Conditional Variance Models With An Application To Hourly Exchange Rates book, This paper builds on the ARCH approach for modeling distributions with time-varying conditional variance by using the generalized Student t distribution. The distribution offers flexibility in modeling both leptokurtosis and asymmetry (characteristics seen in high-frequency financial time series data), nests the standard normal and Student t distributions, and is related to the Gram Charlier and mixture distributions. An empirical ARCH model based on this distribution is formulated and estimated using hourly exchange rate returns for four currencies. The generalized Student t is found to better model the empirical conditional and unconditional distributions than other distributional specifications.



Parametric Distributional Flexibility And Conditional Variance Models With An Application To Hourly Exchange Rates

Parametric Distributional Flexibility and Conditional Variance Models with An Application to Hourly Exchange Rates PDF
Author: Ms. Jenny N. Lye
Publisher: International Monetary Fund
ISBN: 1451892330
Size: 56.85 MB
Format: PDF, Mobi
Category : Business & Economics
Languages : en
Pages : 39
View: 4098

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Parametric Distributional Flexibility And Conditional Variance Models With An Application To Hourly Exchange Rates

by Ms. Jenny N. Lye, Parametric Distributional Flexibility And Conditional Variance Models With An Application To Hourly Exchange Rates Books available in PDF, EPUB, Mobi Format. Download Parametric Distributional Flexibility And Conditional Variance Models With An Application To Hourly Exchange Rates book, This paper builds on the ARCH approach for modeling distributions with time-varying conditional variance by using the generalized Student t distribution. The distribution offers flexibility in modeling both leptokurtosis and asymmetry (characteristics seen in high-frequency financial time series data), nests the standard normal and Student t distributions, and is related to the Gram Charlier and mixture distributions. An empirical ARCH model based on this distribution is formulated and estimated using hourly exchange rate returns for four currencies. The generalized Student t is found to better model the empirical conditional and unconditional distributions than other distributional specifications.



Regimewechselmodelle

Regimewechselmodelle PDF
Author:
Publisher: Springer-Verlag
ISBN: 3663089185
Size: 74.65 MB
Format: PDF
Category : Business & Economics
Languages : de
Pages : 150
View: 1112

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Regimewechselmodelle

by , Regimewechselmodelle Books available in PDF, EPUB, Mobi Format. Download Regimewechselmodelle book, Frieder Knüpling stellt die wichtigsten Eigenschaften der Schwellen- und Markov-Modelle aus statistischer und ökonometrischer Sicht dar und erläutert die relevanten Schätz-, Test- und Prognoseverfahren.



External Evaluation Of Imf Economic Research Activities

External Evaluation of IMF Economic Research Activities PDF
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 9781557758620
Size: 32.86 MB
Format: PDF, ePub
Category : Business & Economics
Languages : en
Pages : 96
View: 3528

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External Evaluation Of Imf Economic Research Activities

by International Monetary Fund, External Evaluation Of Imf Economic Research Activities Books available in PDF, EPUB, Mobi Format. Download External Evaluation Of Imf Economic Research Activities book, This report, commissioned by the Executive Board, was prepared by a committee of academic economists. The report assesses the appropriateness of current research activities, the quality and added value of the IMF's economic research and its utility in the IMF among its member countries and within the wider economics community. This publication also includes responses to the report by the IMF's staff, Managing Director, and Executive Board.



Research Activities Of The Imf January 1991 December 1999

Research Activities of the IMF  January 1991 December 1999 PDF
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 9781557759801
Size: 39.94 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 139
View: 6407

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Research Activities Of The Imf January 1991 December 1999

by International Monetary Fund, Research Activities Of The Imf January 1991 December 1999 Books available in PDF, EPUB, Mobi Format. Download Research Activities Of The Imf January 1991 December 1999 book, Research activity in the IMF emphasizes the links between the organization's policy and operational concerns. The main objectives of research is IMF staff understanding of policy and operational issues relevant to the institution, and to improve the analytical quality of the work prepared for management and the Executive Board and the advice provided to member countries. The scope of research in the IMF is defined by the purposes and functions of the institution. In order to foster innovation and ensure quality control, the IMF makes much of its research available outside the institution and encourages staff to interact with academia and other research organizations through conferences, seminars, and occasional joint research projects. The visiting scholar’s program has also enhanced the quality of research done in the IMF. This program brings in leading members of the economics profession from around the world to assist in the preparation of papers for the Executive Board and to conduct research on IMF-related issues.



Research Activities Of The Imf January 1991 December 1998

Research Activities of the IMF  January 1991 December 1998 PDF
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 9781557758606
Size: 53.42 MB
Format: PDF
Category : Business & Economics
Languages : en
Pages : 124
View: 7114

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Research Activities Of The Imf January 1991 December 1998

by International Monetary Fund, Research Activities Of The Imf January 1991 December 1998 Books available in PDF, EPUB, Mobi Format. Download Research Activities Of The Imf January 1991 December 1998 book, A selective index of major research papers prepared by IMF staff in 1991-98.



Imf Staff Papers Volume 45 No 2

IMF Staff papers  Volume 45 No  2 PDF
Author: International Monetary Fund. Research Dept.
Publisher: International Monetary Fund
ISBN: 1451974167
Size: 48.70 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 204
View: 7604

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Imf Staff Papers Volume 45 No 2

by International Monetary Fund. Research Dept., Imf Staff Papers Volume 45 No 2 Books available in PDF, EPUB, Mobi Format. Download Imf Staff Papers Volume 45 No 2 book, This paper analyzes contagion and volatility with imperfect credit markets. The paper interprets contagion effects as an increase in the volatility of shocks impinging on the economy. The implications of this approach are analyzed in a model in which domestic banks borrow at a premium on world capital markets, and domestic producers borrow at a premium from domestic banks. Financial spreads depend on a markup that compensates lenders, in particular, for the expected cost of contract enforcement. Higher volatility increases financial spreads and the producers’ cost of capital.



Research Activities Of The International Monetary Fund

Research Activities of the International Monetary Fund PDF
Author: International Monetary Fund. Interdepartmental Working Group on Fund Policy Advice
Publisher:
ISBN:
Size: 14.75 MB
Format: PDF, ePub, Docs
Category :
Languages : en
Pages :
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Research Activities Of The International Monetary Fund

by International Monetary Fund. Interdepartmental Working Group on Fund Policy Advice, Research Activities Of The International Monetary Fund Books available in PDF, EPUB, Mobi Format. Download Research Activities Of The International Monetary Fund book,



Imf Survey

IMF Survey PDF
Author: International Monetary Fund
Publisher:
ISBN:
Size: 29.94 MB
Format: PDF, ePub
Category : International finance
Languages : en
Pages :
View: 3236

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Imf Survey

by International Monetary Fund, Imf Survey Books available in PDF, EPUB, Mobi Format. Download Imf Survey book,



Publications Catalog

Publications Catalog PDF
Author: International Monetary Fund
Publisher:
ISBN:
Size: 32.77 MB
Format: PDF, ePub
Category : International finance
Languages : en
Pages :
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Publications Catalog

by International Monetary Fund, Publications Catalog Books available in PDF, EPUB, Mobi Format. Download Publications Catalog book,



Current Index To Statistics Applications Methods And Theory

Current Index to Statistics  Applications  Methods and Theory PDF
Author:
Publisher:
ISBN:
Size: 38.76 MB
Format: PDF, Docs
Category : Mathematical statistics
Languages : en
Pages :
View: 988

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Current Index To Statistics Applications Methods And Theory

by , Current Index To Statistics Applications Methods And Theory Books available in PDF, EPUB, Mobi Format. Download Current Index To Statistics Applications Methods And Theory book, The Current Index to Statistics (CIS) is a bibliographic index of publications in statistics, probability, and related fields.



Datenanalyse Mit Python

Datenanalyse mit Python PDF
Author: Wes McKinney
Publisher: O'Reilly
ISBN: 3960102135
Size: 52.82 MB
Format: PDF, ePub, Mobi
Category : Computers
Languages : de
Pages : 542
View: 3404

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Datenanalyse Mit Python

by Wes McKinney, Datenanalyse Mit Python Books available in PDF, EPUB, Mobi Format. Download Datenanalyse Mit Python book, Erfahren Sie alles über das Manipulieren, Bereinigen, Verarbeiten und Aufbereiten von Datensätzen mit Python: Aktualisiert auf Python 3.6, zeigt Ihnen dieses konsequent praxisbezogene Buch anhand konkreter Fallbeispiele, wie Sie eine Vielzahl von typischen Datenanalyse-Problemen effektiv lösen. Gleichzeitig lernen Sie die neuesten Versionen von pandas, NumPy, IPython und Jupyter kennen. Geschrieben von Wes McKinney, dem Begründer des pandas-Projekts, bietet Datenanalyse mit Python einen praktischen Einstieg in die Data-Science-Tools von Python. Das Buch eignet sich sowohl für Datenanalysten, für die Python Neuland ist, als auch für Python-Programmierer, die sich in Data Science und Scientific Computing einarbeiten wollen. Daten und zugehöriges Material des Buchs sind auf GitHub verfügbar. Aus dem Inhalt: Nutzen Sie die IPython-Shell und Jupyter Notebook für das explorative Computing Lernen Sie Grundfunktionen und fortgeschrittene Features von NumPy kennen Setzen Sie die Datenanalyse-Tools der pandasBibliothek ein Verwenden Sie flexible Werkzeuge zum Laden, Bereinigen, Transformieren, Zusammenführen und Umformen von Daten Erstellen Sie interformative Visualisierungen mit matplotlib Wenden Sie die GroupBy-Mechanismen von pandas an, um Datensätzen zurechtzuschneiden, umzugestalten und zusammenzufassen Analysieren und manipulieren Sie verschiedenste Zeitreihen-Daten Für diese aktualisierte 2. Auflage wurde der gesamte Code an Python 3.6 und die neuesten Versionen der pandas-Bibliothek angepasst. Neu in dieser Auflage: Informationen zu fortgeschrittenen pandas-Tools sowie eine kurze Einführung in statsmodels und scikit-learn.



Konometrische Analyse Von Zeitreihen

  konometrische Analyse von Zeitreihen PDF
Author: Andrew C. Harvey
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 348678580X
Size: 24.31 MB
Format: PDF, Docs
Category : Business & Economics
Languages : de
Pages : 408
View: 3834

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Konometrische Analyse Von Zeitreihen

by Andrew C. Harvey, Konometrische Analyse Von Zeitreihen Books available in PDF, EPUB, Mobi Format. Download Konometrische Analyse Von Zeitreihen book, Lehrbuch über die statistischen Aspekte ökonomischer Modellbildung. Zudem ein international als hervorragend geschätztes Buch.



Regression

Regression PDF
Author: Ludwig Fahrmeir
Publisher: Springer-Verlag
ISBN: 3642018378
Size: 59.10 MB
Format: PDF, Kindle
Category : Business & Economics
Languages : de
Pages : 502
View: 3203

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Regression

by Ludwig Fahrmeir, Regression Books available in PDF, EPUB, Mobi Format. Download Regression book, In dem Band beschreiben die Autoren erstmals klassische Regressionsansätze und moderne nicht- und semiparametrische Methoden in einer integrierten und anwendungsorientierten Form. Um Lesern die Analyse eigener Fragestellungen zu ermöglichen, demonstrieren sie die praktische Anwendung der Konzepte und Methoden anhand ausführlicher Fallstudien. Geeignet für Studierende der Statistik sowie für Wissenschaftler und Praktiker, zum Beispiel in den Wirtschafts- und Sozialwissenschaften, der Bioinformatik und -statistik, Ökonometrie und Epidemiologie.



Die Langen Wellen Der Konjunktur

Die langen Wellen der Konjunktur PDF
Author: Nikolai Kondratieff
Publisher:
ISBN: 9783961401895
Size: 10.26 MB
Format: PDF, Docs
Category :
Languages : de
Pages : 160
View: 6804

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Die Langen Wellen Der Konjunktur

by Nikolai Kondratieff, Die Langen Wellen Der Konjunktur Books available in PDF, EPUB, Mobi Format. Download Die Langen Wellen Der Konjunktur book,