Erhältlich:
Nicht auf Lager
Buch (Softcover): Fachbuch
Econometrics, Finance, and Time Series Analysis
Verlag:
Springer EN Unsere-Artikel-Nr.: P35590437
EAN: 9789819580446
Erhältlich:
Nicht auf Lager
Zustellung: Di, 13.10.2026
Versand: Kostenlos
-6.5 %
CHF 69.–
CHF 64.50
Beschreibung
This book provides a new contemporary time series approach for econometrics and finance. In a concrete manner a very general divergence between spectra is introduced, resulting in the development of a statistical inference that is efficient and robust, and leads to a new perspective. A measure of systemic risk is also developed in the energy market,which quantifies the cost of energy asset distress vis-à-vis the broader economy during crises, and examines the dynamic interaction between solvency and funding liquidity risk in banks using a panel vector autoregressive (VAR) model. This step shows that a forward-looking measure of capital shortfall under stress is both a predictor and an outcome of funding liquidity risk. Additionally, a new integrated likelihood-based approach for estimating nonlinear panel data models is described. Unlike existing integrated likelihoods, the new integrated likelihood is closer to a genuine likelihood. The book explains why this is due to first-order information unbiasedness, and why it seems to matter more for inference than for estimation. Results of studies in econometrics are provided for support.
Spezifikationen
Sprache
- Englisch
Autor
- Martin Schumann
- Thomas A Severini
- Masanobu Taniguchi
- Diane Pierret
- Gautam Tripathi
- Yujie Xue
Zielgruppe
- Research
Erscheinungsjahr
- 2026
Format
- Buch (Softcover)
Anzahl Seiten
- 124