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Deutscher Universitätsverlag Nichtlineare Abhängigkeiten bei finanzwirtschaftlichen Zeitreihen: Aktuelle Testverfahren am Beispiel einer Wechselkursanalyse

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Description

Seit jeher nutzt die Betriebswirtschaftslehre formale Modelle zur Analyse marktlicher oder betrieblicher Phänomene und als praktische Entscheidungshilfe. Ein zentraler Punkt ist dabei die Identifikation von Zusammenhängen zwischen den ökonomischen Größen. Um die Qualität dieser Modelle zu gewährleisten, müssen in zunehmendem Maße nichtlineare Abhängigkeiten berücksichtigt werden. Ingo Möller bietet neben allgemeinen Hilfen zur Modellbildung und Datenanalyse eine detaillierte Zusammenstellung und Einordnung der Fülle statistischer Tests. Anschließend stellt er mit dem Lambda-Test ein neues statistisches Verfahren zur Analyse nichtlinearer Abhängigkeiten vor. Die umfangreichen und praxisnahen Simulationsstudien zeigen, dass bereits mit geringen Stichprobenumfängen erstaunliche Güteeigenschaften erreicht werden. Eine Fallstudie zu Determinanten der Wechselkursentwicklung belegt den hohen praktischen Nutzen des Testverfahrens.

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
30 October 2003
Listed Since
08 April 2012

Barcode

No barcode data available

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