Handbook of Statistics Vol.42 Financial, Macro and Micro Econometrics Using R

Edited by Hrishikesh D. Vinod, C.R. Rao
Volume 42, 2020

Chapter 1 - Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumps
Arpita Mukherjee, Weijia Peng, Norman R. Swanson, Xiye Yang

Chapter 2 - Real time monitoring of asset markets: Bubbles and crises☆
Peter C.B. Phillips, Shuping Shi

Chapter 3 - Component-wise AdaBoost algorithms for high-dimensional binary classification and class probability prediction
Jianghao Chu, Tae-Hwy Lee, Aman Ullah

Chapter 4 - Mixed data sampling (MIDAS) regression models
Eric Ghysels, Virmantas Kvedaras, Vaidotas Zemlys-Balevičius

Chapter 5 - Encouraging private corporate investment in India
Hrishikesh Vinod, Honey Karun, Lekha S. Chakraborty

Chapter 6 - High-mixed frequency forecasting methods in R—With applications to Philippine GDP and inflation
Roberto S. Mariano, Suleyman Ozmucur

Chapter 7 - Nonlinear time series in R: Threshold cointegration with tsDyn
Matthieu Stigler

Chapter 8 - Econometric analysis of productivity: Theory and implementation in R
Robin C. Sickles, Wonho Song, Valentin Zelenyuk

Chapter 9 - Stochastic frontier models using R
Giancarlo Ferrara