Financial, macro and micro econometrics using R /

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Bibliographic Details
Imprint:	Amsterdam : North-Holland/Elsevier, [2020] ©2020
Description:	xv, 333 pages : illustrations ; 24 cm.
Language:	English
Series:	Handbook of statistics ; 42 Handbook of statistics (Amsterdam, Netherlands) ; 42.
Subject:	Econometrics. R (Computer program language) Econometrics. R (Computer program language)
Format:	Print Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12405128

Hidden Bibliographic Details
Other authors / contributors:	Vinod, Hrishikesh D., 1939- editor. Rao, C. Radhakrishna (Calyampudi Radhakrishna), 1920- editor.
ISBN:	9780128202500 0128202505 9780128202517
Notes:	Includes bibliographical references and index.
Summary:	Financial, Macro and Micro Econometrics Using R, Volume 42, provides state-of-the-art information on important topics in econometrics, including multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, financial market jumps and co-jumps, among other topics.

Table of Contents:

Part I. Finance
1. Financial econometrics and big data: a survey of volatility estimators and tests for the presence of jumps and co-jumps / Arpita Mukherjee, Weijia Peng, Norman R. Swanson, Xiye Yang
2. Real time monitoring of asset markets: bubbles and crises / Peter C.B. Phillips, Shuping Shi
3. Component-wise AdaBoost algorithms for high-dimensional binary classification and class probability prediction / Jianghao Chu, Tae-Hwy Lee, Aman Ullah
Part II. Macro Econometrics
4. Mixed data sampling (MIDAS) regression models / Eric Ghysels, Virmantas Kvedaras, Vaidotas Zemlys-Balevičius
5. Encouraging private corporate investment in India / Hrishikesh Vinod, Honey Karun, Lekha S. Chakraborty
6. High-mixed frequency forecasting methods in R
With applications to Philippine GDP and inflation / Roberto S. Mariano, Suleyman Ozmucur
7. Nonlinear time series in R: threshold cointegration with tsDyn / Matthieu Stigler
Part III. Micro Econometrics
8. Econometric analysis of productivity: theory and implementation in R / Robin C. Sickles, Wonho Song, Valentin Zelenyuk
9. Stochastic frontier models using R / Giancarlo Ferrara.

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