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Description - Nonlinear Econometric Modeling in Time Series by William A. Barnett

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.

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Book Details

ISBN: 9780521028684
ISBN-10: 052102868X
Format: Paperback
(228mm x 152mm x 14mm)
Pages: 240
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 31-Jul-2006
Country of Publication: United Kingdom

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