Econometrics category: 430 books

This textbook explains the basic ideas of subjective probability and shows how subjective probabilities must obey the usual rules of probability to ensure coherency. It defines the likelihood function, prior distributions and posterior distributions. It explains how posterior distributions are the...

This is the seventh book in a series of discussions about the great minds in the history and theory of finance. While the series addresses the contributions of scholars in our understanding of financial decisions and markets, this seventh book describes how econometrics developed and how its underlying...

This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights...

​This book provides an overview of three generations of spatial econometric models: models based on cross-sectional data, static models based on spatial panels and dynamic spatial panel data models. The book not only presents different model specifications and their corresponding estimators, but...

Pioneered by American economist Paul Samuelson, revealed preference theory is based on the idea that the preferences of consumers are revealed in their purchasing behavior. Researchers in this field have developed complex and sophisticated mathematical models to capture the preferences that are 'revealed'...

Applied econometric analysis is used across many disciplines and in many branches of economics. Increasingly, data is becoming more readily available and software has become more powerful, enabling the analysis of numerous economic phenomenon. The aim of this ebook is to guide the student through...

This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.

Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law. Random change of time is key to understanding the nature of various stochastic...

This book provides a comprehensive overview of the fruitful achievement of China's Quantitative Economics during the past 30 years, assembling pioneering contributions of prominent quantitative economists in China. It chronicles significant events and the detailed evolution of Quantitative Economics...

The 30th Volume of Advances in Econometrics is in honor of the two individuals whose hard work has helped ensure thirty successful years of the series, Thomas Fomby and R. Carter Hill. This volume began with a history of the Advances series by Asli Ogunc and Randall Campbell summarizing the prior...

This volume is dedicated to the memory and the achievements of Professor Sir Clive Granger, economics Nobel laureate and one of the great econometricians and applied economists of the twentieth and early twenty-first centuries. It comprises contributions from leading econometricians and applied economists...

This book is intended to provide the reader with a firm conceptual and empirical understanding of basic information-theoretic econometric models and methods. Because most data are observational, practitioners work with indirect noisy observations and ill-posed econometric models in the form of stochastic...

This conference proceedings volume presents advanced methods in time series estimation models that are applicable various areas of applied economic research such as international economics, macroeconomics, microeconomics, finance economics and agricultural economics. Featuring contributions presented...

This book offers a unified approach to the study of crises, large fluctuations, dependence and contagion effects in economics and finance. It covers important topics in statistical modeling and estimation, which combine the notions of copulas and heavy tails — two particularly valuable tools of...