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Reissuing works originally published between 1929 and 1991, this collection of 17 volumes presents a variety of considerations on Econometrics, from introductions to specific research works on particular industries. With some volumes on models for macroeconomics and international economies, this is a widely interesting set of economic texts. Input/Output methods and databases are looked at in some volumes while others look at Bayesian techniques, linear and non-linear models. This set will be of use to those in industry and business studies, geography and sociology as well as politics and economics.
The field of financial mathematics has developed tremendously over the past thirty years, and the underlying models that have taken shape in interest rate markets and bond markets, being much richer in structure than equity-derivative models, are particularly fascinating and complex. This book introduces the tools required for the arbitrage-free modelling of the dynamics of these markets. Andrew Cairns addresses not only seminal works but also modern developments. Refreshingly broad in scope, covering numerical methods, credit risk, and descriptive models, and with an approachable sequence of opening chapters, Interest Rate Models will make readers--be they graduate students, academics, or practitioners--confident enough to develop their own interest rate models or to price nonstandard derivatives using existing models. The mathematical chapters begin with the simple binomial model that introduces many core ideas. But the main chapters work their way systematically through all of the main developments in continuous-time interest rate modelling. The book describes fully the broad range of approaches to interest rate modelling: short-rate models, no-arbitrage models, the Heath-Jarrow-Morton framework, multifactor models, forward measures, positive-interest models, and market models. Later chapters cover some related topics, including numerical methods, credit risk, and model calibration. Significantly, the book develops the martingale approach to bond pricing in detail, concentrating on risk-neutral pricing, before later exploring recent advances in interest rate modelling where different pricing measures are important.
This collection of papers represents the state of the art in the applicationof recent econometric methods to the analysis of financial markets. From a methodological point of view the main emphasis is on cointegration analysis and ARCH modelling. In cointegration analysis the links between long-runcomponents of time series are studied. The methods used can be applied to the determination of equilibrium relationships between the variables, whereas ARCH models are concerned with the measurement and analysis of changing variances in time series. These econometric models have been the most significant innovations for the empirical analysis of financial time series in recent years. Other econometric methods and models applied in the papers include factor analysis, vector autoregressions, and Markov-switching models. The papers cover a wide range of issues and theories in financial and international economics: the term structure ofinterest rates, exchange-rate determination, target-zone dynamics, stock-market efficiency, and option pricing.
Evaluation of Econometric Models presents approaches to assessing and enhancing the progress of applied economic research. This book discusses the problems and issues in evaluating econometric models, use of exploratory methods in economic analysis, and model construction and evaluation when theoretical knowledge is scarce. The data analysis by partial least squares, prediction analysis of economic models, and aggregation and disaggregation of nonlinear equations are also elaborated. This text likewise covers the comparison of econometric models by optimal control techniques, role of time series analysis in econometric model evaluation, and hypothesis testing in spectral regression. Other topics include the relevance of laboratory experiments to testing resource allocation theory and token economy and animal models for the experimental analysis of economic behavior. This publication is intended for students and researchers interested in evaluating econometric models.
Some volumes accompanied by addenda.
Originally published in 1979. This study focuses primarily on the development of a structural model for the U. S. Government securities market, ie. the specification and estimation of the demands for disaggregated maturity classes of U.S. Government securities by the individual investor groups participating in the market. A particularly important issue addressed involves the extent of the substitution relationship among different maturity classes of U.S. Government securities.
Section headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Forecasting Methods.'.