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Concepts and tools for nonlinear time series modelling

Amendola, Alessandra and Christian, Francq (2009): Concepts and tools for nonlinear time series modelling. Forthcoming in: Handbook of Computational Econometrics (July 2009)

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Abstract

Tools and approaches are provided for nonlinear time series modelling in econometrics. A wide range of topics is covered, including probabilistic properties, statistical inference and computational methods. The focus is on the applications but the ideas of the mathematical arguments are also provided. Techniques and concepts are illustrated by various examples, Monte Carlo experiments and a real application.

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