The Econometric and Tinbergen Institutes Lectures7
Dennis Fok and Philip Hans Franses, Series Editors
Herman K. van Dijk, Advisory Editor
This lecture series is cosponsored by Princeton University Press, the Econometric Institute, and the Tinbergen Institute. The lectures are delivered annually by leading scholars in econometrics, and the resulting books cover a broad range of topics in the discipline for an academic and professional readership. The Econometric Institute is the leading research center in econometrics and management science in the Netherlands, founded in 1956. The Tinbergen Institute is the graduate school and research institute operated jointly by the Schools of Economics and Econometrics of the Erasmus University Rotterdam, University of Amsterdam, and VU University Amsterdam.
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The global financial crisis highlighted the impact on macroeconomic outcomes of recurrent events like business and financial cycles, highs and lows in volatility, and crashes and recessions. At the most basic level, such recurrent...
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Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy analysis at central banks. This book...
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This book reviews and develops Bayesian non-parametric and semi-parametric methods for applications in microeconometrics and quantitative marketing. Most econometric models used in microeconomics and marketing applications involve...
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Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting...
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Econometric models are widely used in the creation and evaluation of economic policy in the public and private sectors. But these models are useful only if they adequately account for the phenomena in question, and they can be quite...
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Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation...
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Economists have long sought to learn the effect of a "treatment" on some outcome of interest, just as doctors do with their patients. A central practical objective of research on treatment response is to provide decision makers with...