Econometrics, statistics and mathematical economics

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Econometrics, Statistics and Mathematical EconomicsA selection of recent titles from Cambridge University Press

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2

Regression Analysis of Count DataSecond edition

A. Colin Cameron University of California, Davis

and Pravin Trivedi Indiana University, Bloomington

Students in both social and natural sciences often seek regression methods to explain the frequency

of events, such as visits to a doctor, auto accidents, or new patents awarded. This second edition provides the most comprehensive and up-to-date account of models and methods to interpret such data.

• Gives up-to-date and comprehensive coverage of different types of count data

• Provides a guide to implementation of models that is both systematic and amply illustrated with real empirical examples

• Supported by additional resources such as data, template programs and bibliographic materials valuable to instructors

July 2013 228 x 152 mm 587pp 17 b/w illus. 56 tables 978-1-107-01416-9 £ 80.00 HB 978-1-107-66727-3 £ 35.00 PB

Econometrics, Statistics and Mathematical Economics

eBook forthcoming

3www.cambridge.org/Econometrics

The Econometric Society Monographs series is designed to promote the publication of original research contributions of high quality in economic theory and theoretical and applied econometrics.

Visit www.cambridge.org/ESMseries for more information.

Series Editors: George J. Mailath, Rosa L. Matzkin

ESM 52

Dynam

ic Models for Volatility and Heavy Tails

Harvey

The volatility of financial returns changes over time and, for the last thirty years,

Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models

have provided the principal means of analyzing, modelling and monitoring

such changes. Taking into account that financial returns typically exhibit heavy

tails – that is, extreme values can occur from time to time – Andrew C. Harvey’s

new book shows how a small but radical change in the way GARCH models are

formulated leads to a resolution of many of the theoretical problems inherent

in the statistical theory. The approach can also be applied to other aspects of

volatility, such as those arising from data on the range of returns and the time

between trades. Furthermore, the more general class of Dynamic Conditional

Score models extends to robust modelling of outliers in the levels of time

series and to the treatment of time-varying relationships. As such, there are

applications not only to financial data but also to macroeconomic time series

and to time series in other disciplines. The statistical theory draws on basic

principles of maximum likelihood estimation and, by doing so, leads to an

elegant and unified treatment of nonlinear time-series modelling. The practical

value of the proposed models is illustrated by fitting them to real data sets.

AnDRew C. HARvey is Professor of econometrics at the University of

Cambridge and a Fellow of Corpus Christi College. He is a Fellow of the

econometric Society and of the British Academy. He has published more

than 100 articles in journals and edited volumes and is the author of three

books, The Econometric Analysis of Time Series, Time Series Models

and Forecasting and Structural Time Series Models and the Kalman Filter

(Cambridge University Press, 1989). He is one of the developers of the STAMP

computer package.Cover design: Newgen Knowledge Works Pvt Ltd

eCono

MeTR iC So

C i eTy Mo

noG

RAPHS

Dynamic Models for

Volatility and Heavy Tails

With Applications to Financial and Economic

Time Series

Andrew C. Harvey

9781107630024cvr.indd 1

3/13/13 5:48:24 PM

ES

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Reg

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Cam

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Praise for the first edition of Regression Analysis of Count Data

“[A]n impressive piece of work in all respects: it provides the first

comprehensive description of the subject, it is mathematically

rigorous and easy to read, and it contains useful discussions, interesting

applications, various exercises, and a precise presentation of a very

large bibliography. This book will become a basic reference for students

and researchers.”– Alain Monfort, Centre de Recherche en Economie et en

Statistique“. . . collects an extensive amount of material which has not been

treated before in a textbook. The text is well written and the examples

. . . are very illustrative. Although the book appears in the series of

econometric monographs it should also be studied by people from

other fields of applied statistics.”

– Mathematical ReviewsA. Colin CAmeron is Professor of Economics at the University of

California, Davis.PrAvin K. Trivedi is Professor of Economics, University of

Queensland, and Distinguished Professor Emeritus and J. H. Rudy

Professor Emeritus of Economics at Indiana University, Bloomington.

Professors Cameron and Trivedi are coauthors of the first edition of

Regression Analysis of Count Data (Cambridge University Press, 1998),

Microeconometrics: Methods and Applications (Cambridge University Press,

2005), and Microeconomics Using Stata Revised Edition (2010).

A. Colin Cameron’s webpage: http://cameron.econ.ucdavis.edu/

Pravin Trivedi’s webpage: http://mypage.iu.edu/~trivedi/

Cover design: Newgen Knowledge Works Pvt Ltd

E C o n o M E T R I C S o C I E T y M o n o g R A P H SRegression Analysis

of Count DataSecond Edition

A. Colin Cameron Pravin K. Trivedi

ES

M 5

1

Ad

vances in

Eco

nom

ics and

Eco

nom

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me III

Acem

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Praise for Advances in Economics and Econometrics: Tenth World Congress“This collection of papers gives an up-to-date review of the literature in major fields of economics by influential scholars. Anyone interested in knowing the frontier of knowledge in economic science will profit from reading these essays.”– James J. Heckman, Nobel Laureate, Henry Schultz Distinguished Service Professor, University of Chicago, and President of the

Econometric Society 2013“Every five years a remarkable collective act of generosity takes place in the economics profession. More than fifty of the world’s top researchers – all at their most productive and with great demands on their time – agree to write essays on the state of their respective fields. Equally generous is the work put in by the editors of these volumes, Daron Acemoglu, Manuel Arellano, and Eddie Dekel, who masterminded the Tenth World Congress of the Econometric Society held in Shanghai in August 2010, and whose task it was to decide the frontier fields and select the pioneering authors. We are indebted to them all for their insights into what is happening at the cutting edge and for showing us where economics is heading.”

– John Moore, Edinburgh University and London School of Economics“These three volumes contain selected plenary papers from the 2010 World Congress of the Econometric Society, which is the premier global scientific society for economic analysis. Leading economists from all parts of the world meet in such a world congress only once every five years, and the plenary speakers there endeavor to summarize the best of current research in theory and applications. Together in these volumes, they offer us a broad view of the frontier of economic analysis today.”

– Roger Myerson, Nobel Laureate, University of ChicagoDARoN ACEMogLU is the Elizabeth and James Killian Professor of Economics at the Massachusetts Institute of Technology and the recipient of the John Bates Clark Medal in 2005.

MANUEL ARELLANo is Professor of Economics at CEMFI, Madrid.EDDIE DEKEL is the William R. Kenan, Jr., Professor of Economics at North- western University and the grace and Daniel Ross Professor of Economics at Tel Aviv University.

E C o N o M E T R I C S o C I E T y M o N o g R A P H S

Advances in Economics and EconometricsTenth World Congress, Volume III, Econometrics

Edited byDaron Acemoglu Manuel ArellanoEddie Dekel

9781107627314cvr.indd 1

4/2/13 1:18:16 PM

ESM

50

Advances in Econom

ics and Econom

etrics, Volum

e II

Acem

oglu, Arellano, and

Dekel

Praise for Advances in Economics and Econometrics: Tenth World Congress

“This collection of papers gives an up-to-date review of the lite

rature in major

fields of economics by influential scholars. Anyone interested in knowing the

frontier of knowledge in economic science will profit fro

m reading these essays.”

– James J. Heckman, Nobel Laureate, Henry Schultz Distinguished

Service Professor, University of Chicago, and President of th

e

Econometric Society 2013

“Every five years a remarkable collective act of generosity takes place in the

economics profession. More than fifty of the world’s top researchers – all at their

most productive and with great demands on their time – agree to write

essays

on the state of their re

spective fields. Equally generous is the work put in by the

editors of these volumes, Daron Acemoglu, M

anuel Arellano, and Eddie Dekel,

who masterminded the Tenth World Congress of the Econometric

Society held

in Shanghai in August 2010, and whose task it was to decide the fro

ntier fields

and select the pioneering authors. W

e are indebted to them all for th

eir insights

into what is happening at the cuttin

g edge and for showing us where economics

is heading.”– John Moore, Edinburgh University and London School of Economics

“These three volumes contain selected plenary papers from the 2010 World

Congress of the Econometric Society, which is the premier global scientific society

for economic analysis. Leading economists from all parts of th

e world meet in

such a world congress only once every five years, and the plenary speakers there

endeavor to summarize the best of current re

search in theory and applications.

Together in these volumes, they offer us a broad view of the fro

ntier of economic

analysis today.” – Roger Myerson, Nobel Laureate, University of Chicago

DARoN ACEMogLU is the Elizabeth and James Killian Professor of Economics

at the Massachusetts Institu

te of Technology and the recipient of the John Bates

Clark Medal in 2005.

MANUEL ARELLANo is Professor of Economics at CEMFI, Madrid.

EDDIE DEKEL is the William R. Kenan, Jr., P

rofessor of Economics at North-

western University and the grace and Daniel Ross Professor of Economics at Tel

Aviv University.

E C o N o M E T R I C S o C I E T y Mo N o g R A P H S

Advances in Economics

and Econometrics

Tenth World Congress, Volume II,

Applied Economics

Edited by

Daron Acemoglu

Manuel Arellano

Eddie Dekel

9781107674165cvr.indd 1

4/2/13 1:14:50 PM

ESM 49

Advances in Economics and Econom

etrics, Volume I

Acemoglu, Arellano, and Dekel

Praise

for A

dvanc

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Advances in Economics and EconometricsTenth World Congress

Volume 2: Applied Economics



Volume 1: Economic Theory

Edited by Daron Acemoglu Massachusetts Institute of Technology

Manuel Arellano Centro de Estudios Monetarios y Financieros (CEMFI), Madrid

and Eddie Dekel Northwestern University and Tel Aviv University

The first of three volumes containing edited versions of papers and commentaries presented at invited symposium sessions of the Tenth World Congress of the Econometric Society 2010. The papers interpret key developments in economics and econometrics and discuss future directions for a variety of topics, covering both theory and application.

• The most important summative statements of key topics in today’s economies

• Written by world-class, internationally known scholars

• The most rigorous, focused analyses of these subjects available anywhere

July 2013 228 x 152 mm 507pp 14 b/w illus. 1 table 978-1-107-01604-0 £ 110.00 HB 978-1-107-63810-5 £ 38.00 PB


Volume 3: Econometrics


eBook forthcoming

eBook forthcoming

eBook forthcoming

4

Dynamic Models for Volatility and Heavy TailsWith Applications to Financial and Economic Time Series

Andrew C. Harvey University of Cambridge

The book presents a statistical theory for a class of nonlinear time-series models. It has particular relevance for the modeling of volatility in financial

time series but the overall approach will be of interest to econometricians and statisticians in a variety of disciplines.

• A new self-contained statistical theory for time series models of volatility

• Applies more generally to many aspects of nonlinear time series modeling

• Relevant to applied work in finance, macroeconomics and other disciplines that deal with the analysis and modeling of time series

June 2013 228 x 152 mm 278pp 43 b/w illus. 14 tables 978-1-107-03472-3 £ 65.00 HB 978-1-107-63002-4 £ 23.99 PB


3 volume paperback set

Edited by Daron Acemoglu Massachusetts Institute of Technology

Manuel Arellano Centro de Estudios Monetarios y Financieros (CEMFI), Madrid

and Eddie Dekel Northwestern University and Tel Aviv University

‘This collection of papers gives an up-to-date review of the literature in major fields of economics by influential scholars. Anyone interested in knowing the frontier of knowledge in economic science will profit from reading these essays.’ James J. Heckman, Nobel Laureate, Henry Schultz Distinguished Service Professor, University of Chicago, and President of the Econometric Society 2013

‘Every five years a remarkable collective act of generosity takes place in the economics profession. More than fifty of the world’s top researchers - all at their most productive and with great demands on their time - agree to write essays on the state of their respective fields. We are indebted to [the Editors of these volumes] for their insights into what is happening at the cutting edge and for showing us where economics is heading.’ John Moore, Edinburgh University and London School of Economics and Political Science


eBook available

eBook forthcoming


Generalized Vectorization, Cross-Products, and Matrix Calculus

Darrell A. Turkington University of Western Australia, Perth

Matrix calculus is an efficient procedure for obtaining many derivatives at once, used in statistics and econometrics. This book studies different concepts of matrix derivatives and a particular brand of mathematics behind matrix

calculus, including special matrices whose elements are all zero or one.

• The author is a leading expert in matrix calculus

• Includes end-of-chapter review questions

• Includes new matrix calculus results

‘A very neat treatment of matrix calculus. There is no doubt that the new operators and matrices presented in the book will see their applications in many areas of econometrics.’ Yong Bao, Purdue University

‘This book is very clearly written in a text style that conveys what needs to be said with no superfluous discussion. It represents a substantial contribution to our understanding of a difficult area. It is a beautiful book, and destined to become a classic.’ Ross Maller, Australian National University

April 2013 228 x 152 mm 275pp 4 tables 978-1-107-03200-2 £ 65.00 HB

eBook available

Econometric Modelling with Time SeriesSpecification, Estimation and Testing

Vance Martin University of Melbourne

Stan Hurn Queensland University of Technology

and David Harris Monash University, Victoria

Provides a general framework for specifying, estimating and testing time series econometric models. Special emphasis is given to estimation by maximum likelihood, but other methods are also discussed, including quasi-maximum likelihood estimation, generalized method of moments estimation, nonparametric estimation and estimation by simulation.

‘... an excellent text for advanced undergraduate and postgraduate courses in econometric time series. The statistical theory is clearly presented and many examples make the techniques readily accessible and illustrate their practical importance.’ Andrew Harvey, University of Cambridge

‘This book is exceptionally well done. The blending of theory, application and computation is sublimely done throughout. [It] will be a must-have for advanced graduate students working with economic and financial time series data, and will also form a definitive and up-to-date reference source for both academic and academic-related researchers in the field.’ Robert Taylor, University of Nottingham

Series: Themes in Modern Econometrics

March 2013 228 x 152 mm 937pp 104 b/w illus. 97 tables 978-0-521-19660-4 £ 90.00 HB 978-0-521-13981-6 £ 49.99 PB

eBook and inspection

copy available

6

Introduction to Bayesian EconometricsSecond edition

Edward Greenberg Washington University, St Louis

This textbook is an introduction to econometrics from the Bayesian viewpoint. New material includes a chapter on semiparametric regression and new sections on the ordinal probit, item

response, factor analysis, ARCH-GARCH and stochastic volatility models. The R programming language is also emphasized.

‘Edward Greenberg’s Introduction to Bayesian Econometrics provides clear and concise coverage of Bayesian theory, computational methods, and important applications. Three years of teaching from its first edition convince me that it is a splendid textbook. The second edition is further enhanced by more applications and new guidance on use of free R software.’ John P. Burkett, University of Rhode Island

‘… Along with considerable new material, this second edition contains a thoughtful discussion of important models in time series and financial econometrics (including ARCH/GARCH and stochastic volatility models), as well as an introduction to flexible Bayesian techniques for distribution and regression function modeling. Throughout the text Greenberg engages the reader with an accessible writing style, real data applications, and references to the R programming language... Students and researchers in statistics, biostatistics, economics, and the social sciences will find this to be a tremendously valuable resource.’ Justin Tobias, Purdue University

Jan 2013 253 x 177 mm 264pp 29 b/w illus. 19 tables 978-1-107-01531-9 £ 35.00 HB


copy available

Currencies, Commodities and Consumption

Kenneth W. Clements University of Western Australia, Perth

Makes sense of the ongoing instability of exchange rates and commodity prices and contributes to the measurement of the relative economic size of countries. The book analyses the strengths and weaknesses of two alternatives to the widely used PPP exchange rates, the Big Mac Index and the food budget share.

‘This book is not only a very useful source to understand our changing economic world but it also provides a plethora of useful data from a variety of sources - and the output from Clements’ own research - to satisfy both the needs of academics and those analysing financial markets across asset classes. There is sufficient information in an accessible form for readers to extend their own research using Clements’ methodology.’ Ron Bewley, Woodhall Investment Research Pty Ltd and former Chief Investment Officer, Commonwealth Bank of Australia

‘This book has a broad sweep, analyzing diverse issues such as purchasing power parities, commodity and marihuana prices, income and consumption comparisons across countries. What makes reading this book so exciting is the constant moving from theory to practice and back to theory; and the discovery that understanding one subject helps to understand other, at first sight, unrelated subjects.’ Paul De Grauwe, London School of Economics and Political Science

Jan 2013 228 x 152 mm 397pp 52 b/w illus. 69 tables 978-1-107-01476-3 £ 70.00 HB

eBook available

www.cambridge.org/Econometrics 7

An Information Theoretic Approach to Econometrics

George G. Judge University of California, Berkeley

and Ron C. Mittelhammer Washington State University

Most econometric books do not recognize the ill-posed inverse nature of their econometric

models and the indirect noisy characteristics of their sample data. This book focuses on these problems and provides a basis for dealing with estimation and inference issues that typically arise in a range of traditional and nontraditional econometric models.

‘By showing how very general information-theoretic methods can be used in a natural way to solve such problems, Judge and Mittelhammer break new ground and set a new standard for the econometric community.’ David Giles, University of Victoria, Canada

‘This beautifully written book pushes the frontiers of econometrics in three ways. First, it provides a clear connection between the more traditional econometric and information-theoretic estimation methods. Second, it provides a detailed state of the art presentation of information-theoretic methods within econometrics. Third, it illustrates the wide applicability of information-theoretic methods for learning from data.’ Amos Golan, Info-Metrics Institute, American University

Feb 2012 228 x 152 mm 248pp 13 b/w illus. 7 tables 978-0-521-86959-1 £ 65.00 HB 978-0-521-68973-1 £ 24.99 PB

eBook available

An Introduction to Mathematics for Economics

Akihito Asano Sophia University, Tokyo

A concise, accessible introduction to quantitative methods for economics and finance for students who are new to the subject. This textbook contains lots of practical applications to show why maths is necessary and relevant to

economics, as well as worked examples and exercises to help students learn and revise.

‘This outstanding textbook is the by-product of lecture notes written by a dedicated teacher. Mathematics is carefully exposited for first-year students using familiar applications drawn from economics and finance. By working through the problems provided, students can overcome any fear they might have of mathematics to make it an enjoyable companion.’ Chris Jones, Australian National University

‘In this well-written text, mathematical techniques are introduced together with basic economic ideas, underlining the fact that mathematics should not be treated separately, but is an integral and essential part of economics. The style is friendly and conversational, and the mathematical techniques are treated rigorously, with many clearly presented examples. Dr Asano is adept in pinpointing those areas which students find difficult, making this a very useful and comprehensive text for anyone undertaking the study of economics.’ Valerie Haggan-Ozaki, Sophia University

Nov 2012 246 x 189 mm 281pp 110 b/w illus. 20 tables 978-1-107-00760-4 £ 60.00 HB 978-0-521-18946-0 £ 19.99 PB


copy available

8

Collecting, Managing, and Assessing Data Using Sample Surveys

Peter Stopher University of Sydney

Requiring no prior knowledge of statistics or surveys, this book provides a thorough, step-by-step guide to the design and implementation of surveys. It is an excellent introduction to the use of surveys for graduate students as well as a useful reference work for scholars and professionals.

‘Drawing on the author’s wealth of knowledge and experience, this excellent book provides a comprehensive treatment of every aspect involved in preparing for, carrying out, cleaning and archiving data from a population survey. It is very clearly written, fully illustrated and enables the reader to jump the learning curve.’ Peter Jones, University College London

‘Peter Stopher’s new book is an extensive, accessible and highly informative reference work for those engaged in data acquisition from human subjects. Covering all aspects of survey design and distribution, data management and archiving, this unique treatise is more comprehensive than one can find elsewhere. Offering something new for the most accomplished of data gatherers, this book serves as a remarkable reference, as well as a textbook.’ Kara Kockelman, University of Texas, Austin

Jan 2012 247 x 174 mm 560pp 82 b/w illus. 70 tables 978-0-521-86311-7 £ 60.00 HB 978-0-521-68187-2 £ 30.00 PB

eBook available

Large-Scale InferenceEmpirical Bayes Methods for Estimation, Testing, and Prediction

Bradley Efron Stanford University, California

Modern scientific technology (e.g. microarrays, fMRI machines) produces data in vast quantities. Bradley Efron explains the empirical Bayes methods that help make sense of a new statistical world. This is essential reading for professional

statisticians and graduate students wishing to use and understand important new techniques like false discovery rates.

‘In the last decade, Efron has played a leading role in laying down the foundations of large-scale inference ... We are indebted to him for this timely, readable and highly informative monograph, a book he is uniquely qualified to write. It is a synthesis of many of Efron’s own contributions over the last decade with that of closely related material, together with some connecting theory, valuable comments, and challenges for the future.’ Terry Speed, International Statistical Review

Series: Institute of Mathematical Statistics Monographs, 1

Nov 2012 228 x 152 mm 280pp 65 b/w illus. 10 colour illus. 105 exercises 978-1-107-61967-8 £ 24.99 PB

Statistical Theory and Methods

eBook available


Statistical Analysis of Stochastic Processes in Time

J.K. Lindsey Université de Liège, Belgium

This book introduces practical methods of applying stochastic processes to an audience knowledgeable only in basic statistics. It covers almost all aspects of the subject and presents the theory in an easily accessible form that is

highlighted by application to many examples. Complementing these are exercise sets making the book suited for introductory courses in stochastic processes. Software (available from www.cambridge.org) is provided for the freely available R system for the reader to apply to all the models presented.

‘This book is an extraordinary piece of literature … It is simply a masterpiece and even the most experienced statistician will learn a thing or two … The book is well written and would be good reading for applied statisticians as well as all post-graduate and faculty members who interact with data. Libraries should purchase a copy.’ Journal of the Royal Statistical Society, Series A

‘… fills a gap between the more fundamental, topical volumes around, and more popular texts on these matters. it is very well readable, and it provides both an excellent introduction and a good overview over much of stochastic methods applicable in longitudinal data.’ Environmental and Ecological Statistics

Series: Cambridge Series in Statistical and Probabilistic Mathematics

July 2012 228 x 152 mm 354pp 978-1-107-40532-5 £ 30.00 PB

eBook available

Regression for Categorical Data

Gerhard Tutz Ludwig-Maximilians-Universität Munchen

This book introduces basic and advanced concepts of categorical regression with a focus on the structuring constituents of regression and recent developments in flexible and high-dimensional regression. Among the topics treated are nonparametric regression; the hurdle model

and zero-inflated regression models for count data; and non-standard tree-based ensemble methods.

• Covers modern topics such as high-dimensional regression and nonparametric models

• Can be used as a text for courses on categorical data for students from different fields

• Written from the perspective of an applied statistician for a focus on basic concepts and applications, rather than formal mathematical theory

Series: Cambridge Series in Statistical and Probabilistic Mathematics

Feb 2012 253 x 215 mm 572pp 98 b/w illus. 102 tables 77 exercises 978-1-107-00965-3 £ 55.00 HB

eBook available

10

Handbook of Financial Data and Risk Information IPrinciples and Context

Volume 1

Edited by Margarita S. Brose

Mark D. Flood

Dilip Krishna

and Bill Nichols

This comprehensive resource explores the different issues involved in collecting, measuring and managing data in the financial services industry. Written by experts and leading figures in risk management and analysis, it sets out a clear vision for a structural and operational framework for a financial risk data repository.

• Meets the need for financial industry-wide data

• Brings together contributions from a diverse group of experts from the various fields required for effective risk information management

• Takes a holistic view of the subject across the spectrum of financial institutions

November 2013 247 x 174 mm 615pp 6 b/w illus. 50 colour illus. 40 tables 978-1-107-01201-1 £ 95.00 HB

Mathematical Finance and Risk Analysis

Introduction to Mathematical Portfolio Theory

Mark S. Joshi University of Melbourne

and Jane M. Paterson

A concise yet comprehensive guide to the mathematics of portfolio theory from a modelling perspective, with discussion of the assumptions,

limitations and implementations of the models as well as the theory underlying them. Aimed at advanced undergraduates, this book can be used for self-study or as a course text.

• Tailored to the CT8 actuarial syllabus in the UK

• Extensive collection of problems with detailed solutions

• Authors’ exposition is clear and succinct

Series: International Series on Actuarial Science

July 2013 247 x 174 mm 325pp 30 b/w illus. 170 exercises 978-1-107-04231-5 £ 40.00 HB


Handbook on Systemic Risk

Edited by Jean-Pierre Fouque University of California, Santa Barbara

and Joseph A. Langsam University of Maryland, College Park

Written by experts in the field, this book provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. It is the editors’ aim

to stimulate greater interdisciplinary academic research on this critically important topic with immense societal implications.

• Readily accessible to researchers, regulators and financial market risk managers

• Authors comprise experts in finance, economics, mathematics, statistics, financial market regulation, accounting, data management and computer science

• Encourages greater interaction between multiple academic disciplines

May 2013 247 x 174 mm 992pp 25 b/w illus. 140 colour illus. 75 tables 978-1-107-02343-7 £ 100.00 HB

eBook available

Financial Enterprise Risk Management

Paul Sweeting University of Kent, Canterbury

An excellent resource for actuarial students studying for examinations in enterprise risk management; for risk management practitioners involved with banks, insurance companies and pension schemes; and for academics looking for an up-to-date reference. This book covers the

full range of qualitative and quantitative techniques needed and includes various case studies.

• Part of the core reading for the UK Actuarial Profession’s specialist technical examination in enterprise risk management, ST9

• Worked examples illustrate how to implement the techniques described

• Case studies highlight previous failures to help the reader avoid the same errors

‘Provides all the tools required to build and maintain a comprehensive ERM framework, covering a range of qualitative and quantitative techniques and their uses in identifying, assessing, modelling and measuring risk.’ Actuary Magazine

Series: International Series on Actuarial Science

Sept 2011 228 x 152 mm 562pp 120 b/w illus. 25 tables 978-0-521-11164-5 £ 70.00 HB

eBook available

12

Themes in Modern Econometrics

Series Editors: Peter C. B. Phillips, Richard J. Smith, Eric Ghysels

Themes in Modern Econometrics provides an organized sequence of textbooks in econometrics aimed directly at the student population, and is the first series in the discipline to have this as its express aim. Written at a level accessible to students with an introductory course in econometrics behind them, each book addresses topics or themes that students and researchers encounter daily. While each book is able to stand alone as an authoritative survey in its own right, the distinct emphasis throughout is on pedagogic excellence.

Visit our website for a comprehensive list of titles in this series: www.cambridge.org/TMEseries

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

Jean-Pierre Fouque University of California, Santa Barbara

George Papanicolaou Stanford University, California

Ronnie Sircar Princeton University, New Jersey

and Knut Sølna University of California, Irvine

Building on previous and current research by the authors, this book demonstrates that the introduction of fast and slow time scales in volatility, is needed for efficient capturing of the main features of the observed term structure of implied volatility. This is crucial for practitioners. Detailed presentation of the analysis as well as the modeling approach makes this an excellent text for second level graduates in financial mathematics but also as an ‘off-the-shelf’ reference for practitioners. This research monograph in financial mathematics can also be used as a graduate-level textbook.

• Suitable for a graduate course in financial and applied mathematics

• Addresses problems important to researchers in financial mathematics and to practitioners in the industry

• Written by leading authorities in stochastic modelling

Sept 2011 228 x 152 mm 456pp 65 b/w illus. 978-0-521-84358-4 £ 60.00 HB

eBook available


Translated by

Josef Perktold and Marine Carrasco

Foreword by James J. Heckman

Jean-Pierre Florens

Vêlayoudom Marimoutou

Anne Péguin-Feissolle

Florens

Marim

outou

Péguin-Feissolle

t h emes i n mode rn e conome t r i c s

Econometric

Modeling

and Inference

Econometric M

odeling and Inference

Praise for Econometric Modeling and Inference

“This excellent new graduate text in

troduces m

odern econometric theory in a

manner that is

careful and rigorous, y

et is also self-c

ontained and accessib

le to

students w

ithout much mathematica

l background. It contains m

uch interesting

and novel material and should prove a valuable reference for st

udents,

practitioners, a

nd researchers a

like.”

– James Davidson, Universit

y of Exeter

“This book, lik

e the Gouriéroux and Monfort books in

the series, covers a

lot

of material ty

pically not found in many econometric

s textbooks and provides a

state-of-the-art o

verview of structu

ral econometrics. T

he presentation is lucid

and the transitio

n from one topic t

o another is illu

minating. It is th

erefore highly

recommended to both students a

nd scholars.”

– Eric Ghysels, U

niversity of N

orth Carolina at Chapel Hill

“Econometric Modeling and Inference presents t

he modern way of performing

statistical id

entification and inference for st

ructural econometric

models using

semiparametric or nonparametric

approaches. Thanks to

the unifying principles

of generalized method of moments a

nd kernel smoothing, it

is the firs

t intro

duc-

tory econometrics te

xtbook to cover in one place nonparametric

and structu

ral

econometrics. It

will be useful both for advanced econometric

s teaching and as a

reference source for re

searchers in

empirical economics.

”

– Eric Renault, U

niversity of N

orth Carolina at Chapel Hill

Jean-Pierre Florens is Professo

r of Mathematics

at the Universit

y of Toulouse I,

where he holds the Chair in

Statistics

and Econometrics, a

nd a senior member of

the Institut U

niversitaire de France. He is a

lso a member of the IDEI and GREMAQ

research groups.

Vêlayoudom Marimoutou is P

rofessor of Economics

at the Universit

y of Aix-

Marseille 2 and a member of G

REQAM.

Anne Péguin-Feissolle

is Research

Director of th

e National Center of Scientific

Research (CNRS) and a member of G

REQAM.

www.cambridge.org

Herman J. Bierens

Bierenst h emes i n

mode rn e conome t r i c s

Introduction to the

Mathematical and

Statistical Foundations

of Econometrics

Introduction to the Mathem

atical and

Statistical Foundations of Econometrics

Introduction to the Mathematica

l and

Statistical Foundations of Econometric

s

Herman J. Bierens

Advance Praise

This book is i

ntended for use in a rigorous in

troductory Ph.D.-le

vel course in

econometrics, o

r in a fie

ld course in econometric theory. I

t covers t

he measure –

theoretical fo

undation of probability theory, t

he multivariate normal distr

ibution

with its applica

tion to classic

al linear re

gression analysis,

various laws of la

rge

numbers, central lim

it theorems and related results f

or independent ra

ndom vari-

ables as well a

s for st

ationary time series, w

ith applications to

asymptotic inference

of M-estim

ators, and maximum lik

elihood theory. Some chapters h

ave their own

appendices containing the more advanced topics

and/or difficult p

roofs. Moreover,

there are three appendices with material th

at is supposed to be known. Appendix I

contains a comprehensive review of linear algebra, in

cluding all the proofs.

Appendix II reviews a variety of m

athematical to

pics and concepts t

hat are used

throughout the main text, a

nd Appendix III reviews co

mplex analysis. Therefore,

this book is u

niquely self-contained.

HERMAN J. BIERENS is P

rofessor of Economics at th

e Pennsylvania State University and

part-time Professor of Econometric

s at Tilburg University, T

he Netherlands. He is

Associate Editor of the Journal of Econometric

s and Econometirc Reviews, and has

been an Associate Editor of Econometrica. Professor Bierens has w

ritten tw

o mono-

graphs, Robust M

ethods and Asymptotic Theory in Nonlinear Economet-ric

s and

Topics in Advanced Econometric

s (Cambridge University Press 1

994), as w

ell as

numerous journal artic

les. His c

urrent research

interests are model (m

is)specific

ation

analysis in econometric

s and its applica

tion in empirical re

search, tim

e series econo-

metrics, a

nd the econometric analysis o

f dynamic stochastic

general equilibrium models.

Vance Martin

Stan Hurn

David Harris

Martin

Hurn

Harris

themes in modern economet r i c s

Econometric

Modelling with

Time Series

Specification,

Estimation and Testin

gEconometric M

odelling with Tim

e Series

This textbook provides a

general framework fo

r specify

ing,

estimatin

g and testing tim

e series e

conometric models,

with an emphasis

on estimatio

n by maximum likelihood,

but with

other methods a

lso discu

ssed. Uniquely, it

demonstrates e

conometric methods b

y means of a su

ite

of programs w

ritten in GAUSS, M

ATLAB and R.

“This textbook str

ikes an excellent balance between explaining the underlying

concepts and intuitio

n, containing the requisit

e amount of rigor, a

nd providing

sufficient guidance for st

udents to be able to apply the methods descri

bed to a

variety of time series si

tuations. It is e

xtremely clearly writt

en and should instantly

find a wide audience. The book’s emphasis

on maximum likelihood as a unifying

guiding principle is well ju

stified and provides th

e right co

ntext for st

udents to

understand how seemingly disparate econometric

methods are fundamentally

related.”

– Yacin

e Ait-Sahalia, Prin

ceton University

“This book takes an im

portant step forward relative to existi

ng time–series

econometrics te

xts.... In

addition, re

aders will b

enefit immensely fro

m the complete

sets of in

cluded R and MATLAB routines. Well d

one!”

– Francis X. Diebold, Universit

y of Pennsylvania

“This book will b

e an excellent text fo

r advanced undergraduate and postgraduate

courses in

econometric tim

e series. The sta

tistical th

eory is clearly presented and

the many examples make the techniques re

adily accessib

le and illustra

te their

practical im

portance.”– A

ndrew Harvey, University of C

ambridge

“This book is e

xceptionally well done. The blending of th

eory, application and

computation is sublim

ely done throughout. This b

ook will be a must-h

ave for

… graduate students w

orking with economic and fin

ancial time series data, and

will also form a definitiv

e and up-to-date reference source for both academic

and academic-related research

ers in the fie

ld.”

– Robert T

aylor, Universit

y of Nottin

gham

Figures and tables from the book

in PowerPoint

Gauss, MATLAB® and R file

s for

exercises

econmo

delling

978052

113981

6cvr.q

xd:Lay

out 1

10/25

/12 1

:26 PM

Page

1

14

Network Science is a new journal for a new discipline – one using the network paradigm, focusing on actors and relational linkages, to inform research, methodology, and applications from many fields across the natural, social, engineering and information sciences. Network methods are an increasingly recognized way to research aspects of modern society along with the individuals, organizations, and other actors within it. The journal welcomes contributions from researchers in all areas working on network theory, methods, and data.

EditorsLada Adamic, University of Michigan, USA | Editor for Information ScienceUlrik Brandes, University of Konstanz, Germany | Editor for Computer Science and MathematicsNoshir Contractor, Northwestern University, USA | Editor for Communication, Engineering, and ManagementSanjeev Goyal, University of Cambridge, UK | Editor for EconomicsGarry Robins, University of Melbourne, Australia | Editor for Psychology and Political ScienceThomas Valente, University of Southern California, USA | Editor for Public Health and MedicineAlessandro Vespignani, Northeastern University, USA | Editor for PhysicsStanley Wasserman, Indiana University, USA |Editor for Statistics and Sociology and Coordinating Editor

http://journals.cambridge.org/nws

Network Science is seeking manuscript submissions in economics.From the journal’s Editor for Economics: In the field of economics, we are seeking articles which explore the economic origins and consequences of networks. We are also keen to publish articles which explore network themes that lie at the intersection of economics and other disciplines such as computer science, physics, statistics, psychology, and sociology

Submit your manuscript today: http://mc.manuscriptcentral.com/nws


Network Science is a new journal for a new discipline – one using the network paradigm, focusing on actors and relational linkages, to inform research, methodology, and applications from many fields across the natural, social, engineering and information sciences. Network methods are an increasingly recognized way to research aspects of modern society along with the individuals, organizations, and other actors within it. The journal welcomes contributions from researchers in all areas working on network theory, methods, and data.

EditorsLada Adamic, University of Michigan, USA | Editor for Information ScienceUlrik Brandes, University of Konstanz, Germany | Editor for Computer Science and MathematicsNoshir Contractor, Northwestern University, USA | Editor for Communication, Engineering, and ManagementSanjeev Goyal, University of Cambridge, UK | Editor for EconomicsGarry Robins, University of Melbourne, Australia | Editor for Psychology and Political ScienceThomas Valente, University of Southern California, USA | Editor for Public Health and MedicineAlessandro Vespignani, Northeastern University, USA | Editor for PhysicsStanley Wasserman, Indiana University, USA |Editor for Statistics and Sociology and Coordinating Editor

http://journals.cambridge.org/nws

Network Science is seeking manuscript submissions in economics.From the journal’s Editor for Economics: In the field of economics, we are seeking articles which explore the economic origins and consequences of networks. We are also keen to publish articles which explore network themes that lie at the intersection of economics and other disciplines such as computer science, physics, statistics, psychology, and sociology

Submit your manuscript today: http://mc.manuscriptcentral.com/nws

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Special issue on Enterprise Risk ManagementEditorialEnterprise Risk ManagementAlexander J. McNeil 1

Dependence modelling in multivariate claims run-off trianglesMichael Merz, Mario V. Wüthrich, Enkelejd Hashorva 3

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Redefi ning the deviance objective for generalised linear modelsA. C. Lovick and P. K. W. Lee 491

Abstract of the London discussion 510

Abstract of the Norwich discussion 538

Uncertain UncertaintyM. Corder and M. Weale 542

Insurance accounting: a new era?K. Foroughi, C. R. Barnard, R.W. Bennett, D. K. Clay, E. L. Conway, S. R. Corfi eld, A. J. Coughlan, J. S. Harrison, G. J. Hibbett, I. V. Kendix, M. Lanari-Boisclair, C. D. O’ Brien and J. S. K. Straker 562


Abstract of the Edinburgh discussion 645

Second International comparative study of mortality tables for pension fund retireesT. Z. Sithole, S. Haberman and R. J. Verrall 650


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Econometrics, statistics and mathematical economics