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Author:   Yoosoon Chang (Indiana University, USA) ,  Sokbae Lee (Columbia University, USA) ,  J. Isaac Miller (University of Missouri, USA)
Publisher:   Emerald Publishing Limited
Imprint:   Emerald Publishing Limited
Dimensions:   Width: 15.20cm , Height: 2.90cm , Length: 22.90cm
Weight:   0.767kg
ISBN:  

9781837532131

ISBN 10:   1837532133
Pages:   448
Publication Date:   24 April 2023
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print  
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Table of Contents

Introduction Part I: Macroeconometrics Chapter 1. Aggregate output measurement: A common trend approach; Martín Almuzara, Gabriele Fiorentini, and Enrique Sentana Chapter 2. Markov switching rationality; Florens Odendahl, Barbara Rossi, and Tatevik Sekhposyan Chapter 3. The econometrics of oil market VAR models; Lutz Kilian and Xiaoqing Zhou Part II: Financial Econometrics Chapter 4. Quantile impulse response analysis with applications in macroeconomics and finance; Whayoung Jung and Ji Hyung Lee Chapter 5. Risk neutral density estimation with a functional linear model; Marine Carrasco and Idriss Tsafack Chapter 6. Estimating diffusion models of interest rates at the Zero Lower Bound: From the Great Depression to the Great Recession and beyond; Lealand Morin Chapter 7. A market crash or tail risk? Heavy tails and asymmetry of returns in the Chinese stock market; Zheyu Xing and Rustam Ibragimov Part III: Pandemic, Climate, and Disaster Chapter 8. Predicting crashes in oil price during the COVID-19 pandemic with mixed causal-noncausal models; Alain Hecq and Elisa Voisin Chapter 9. Depth-weighted forecast combination: Application to COVID-19 cases; Yoonseok Lee and Donggyu Sul Chapter 10. Identification of beliefs in the presence of disaster risk and misspecification; Saraswata Chaudhuri, Eric Renault, and Oscar Wahlstrom Chapter 11. A new model for agricultural land use modelling and prediction in England using spatially high-resolution data; Namhyun Kim, Patrick Wongsa-art, and Ian J. Bateman Chapter 12. Local climate sensitivity: What can time series of distributions reveal about spatial heterogeneity of climate change?; J. Isaac Miller Part IV: Microeconometrics and Panel Data Chapter 13. Maximum likelihood estimation of dynamic panel data models with interactive effects: Quasi-differencing over time or across individuals?; Chang Hsiao and Qiankun Zhou Chapter 14. Informational content of factor structures in simultaneous binary response models; Shakeeb Khan, Arnaud Maurel, and Yichong Zhang Part V: Retrospective Chapter 15. Forty years of Advances in Econometrics; Asli Ogunc and Randall C. Campbell

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Author Information

Yoosoon Chang is Professor of Economics at Indiana University, USA, with a Ph.D. in Economics from Yale. Dr Chang's current research interests include the application of various time series, panel data and machine learning models. Sokbae Lee is Professor of Economics at Columbia University, USA. Professor Lee’s research focuses on theoretical and applied econometrics. J. Isaac Miller is Professor and Associate Chair of the Economics Department at University of Missouri USA. Professor Miller’s research focuses on econometrics, energy, climate, and time series.

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