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Handbook Of Financial Econometrics Applications

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Handbook of Financial Econometrics

Handbook of Financial Econometrics Book
Author : Yacine Ait-Sahalia,Lars Peter Hansen
Publisher : Elsevier
Release : 2009-10-21
ISBN : 9780444535498
Language : En, Es, Fr & De

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Book Description :

Applied financial econometrics subjects are featured in this second volume, with papers that survey important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. A landmark in its coverage, this volume should propel financial econometric research for years. Presents a broad survey of current research Contributors are leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections

Handbook of Financial Econometrics

Handbook of Financial Econometrics Book
Author : Lars Peter Hansen,Yacine Aït-Sahalia
Publisher : North-Holland
Release : 2010
ISBN : 9780444508973
Language : En, Es, Fr & De

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Book Description :

This collection of original articles - 8 years in the making - shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Ait-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. The book presents a broad survey of current research-from local characterizations of the Markov process dynamics to financial market trading activity. Contributors include Nobel Prize laureate Robert Engle and other leading econometricians. The book also offers a clarity of method and explanation unavailable in other financial econometrics collections.

Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes

Handbook Of Financial Econometrics  Mathematics  Statistics  And Machine Learning  In 4 Volumes  Book
Author : Cheng-few Lee,John C Lee
Publisher : World Scientific
Release : 2020-07-30
ISBN : 9811202400
Language : En, Es, Fr & De

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Book Description :

This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Handbook of Financial Econometrics and Statistics

Handbook of Financial Econometrics and Statistics Book
Author : Cheng-Few Lee,John C. Lee
Publisher : Springer
Release : 2014-09-28
ISBN : 9781461477495
Language : En, Es, Fr & De

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Book Description :

​The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.​

Handbook of Research on Emerging Theories Models and Applications of Financial Econometrics

Handbook of Research on Emerging Theories  Models  and Applications of Financial Econometrics Book
Author : Burcu Adıgüzel Mercangöz
Publisher : Springer Nature
Release : 2021-03-21
ISBN : 3030541088
Language : En, Es, Fr & De

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Book Description :

This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.

Handbook of Econometrics vol 7D

Handbook of Econometrics  vol  7D Book
Author : Steven Durlauf,Lars Peter Hansen,James J. Heckman,Rosa Liliana Matzkin
Publisher : Elsevier
Release : 2019-03-01
ISBN : 044463651X
Language : En, Es, Fr & De

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Book Description :

Our flourishing ability to address empirical problems in economics by using economic theory and statistical methods has driven the field of econometrics to places unimaginable a few years ago. By designing methods of inference from data based on models of human choice behavior and social interactions, econometricians have created new subfields now sufficiently mature to require sophisticated literature summaries. Volume 7 of the Handbook in Econometrics examines recent advances in foundational issues and "hot" topics within econometrics, such as inference for moment inequalities and estimation of high dimensional models. With its world-class editors and contributors, it succeeds in unifying leading studies of economic models, mathematical statistics, and economic data that form this distinct field of knowledge. Presents a broader and more comprehensive view of this expanding field than any other handbook Emphasizes connections between econometrics to economics Highlights current topics for which no good summaries exist

Handbook of Volatility Models and Their Applications

Handbook of Volatility Models and Their Applications Book
Author : Luc Bauwens,Christian M. Hafner,Sebastien Laurent
Publisher : John Wiley & Sons
Release : 2012-04-17
ISBN : 0470872519
Language : En, Es, Fr & De

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Book Description :

"The main purpose of this handbook is to illustrate the mathematically fundamental implementation of various volatility models in the banking and financial industries, both at home and abroad, through use of real-world, time-sensitive applications. Conceived and written by over two-dozen experts in the field, the focus is to cohesively demonstrate how "volatile" certain statistical decision-making techniques can be when solving a range of financial problems. By using examples derived from consulting projects, current research and course instruction, each chapter in the book offers a systematic understanding of the recent advances in volatility modeling related to real-world situations. Every effort is made to present a balanced treatment between theory and practice, as well as to showcase how accuracy and efficiency in implementing various methods can be used as indispensable tools in assessing volatility rates. Unique to the book is in-depth coverage of GARCH-family models, contagion, and model comparisons between different volatility models. To by-pass tedious computation, software illustrations are presented in an assortment of packages, ranging from R, C++, EXCEL-VBA, Minitab, to JMP/SAS"--

Handbook of Research Methods and Applications in Empirical Finance

Handbook of Research Methods and Applications in Empirical Finance Book
Author : Adrian R. Bell,Chris Brooks,Marcel Prokopczuk
Publisher : Edward Elgar Publishing
Release : 2013-01-01
ISBN : 0857936093
Language : En, Es, Fr & De

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Book Description :

This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.

Extreme Events in Finance

Extreme Events in Finance Book
Author : Francois Longin
Publisher : John Wiley & Sons
Release : 2016-10-17
ISBN : 1118650190
Language : En, Es, Fr & De

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Book Description :

A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: • Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management • Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets • Extensive references in order to provide readers with resources for further study • Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance. François Longin, PhD, is Professor in the Department of Finance at ESSEC Business School, France. He has been working on the applications of extreme value theory to financial markets for many years, and his research has been applied by financial institutions in the risk management area including market, credit, and operational risks. His research works can be found in scientific journals such as The Journal of Finance. Dr. Longin is currently a financial consultant with expertise covering risk management for financial institutions and portfolio management for asset management firms.

Financial Econometrics

Financial Econometrics Book
Author : Svetlozar T. Rachev,Stefan Mittnik,Frank J. Fabozzi,Sergio M. Focardi,Teo Jašić
Publisher : John Wiley & Sons
Release : 2007-03-22
ISBN : 0470121521
Language : En, Es, Fr & De

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Book Description :

A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.

Handbook of Economic Forecasting

Handbook of Economic Forecasting Book
Author : Graham Elliott,Allan Timmermann
Publisher : Elsevier
Release : 2013-08-23
ISBN : 0444627405
Language : En, Es, Fr & De

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Book Description :

The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics

Handbook of Quantitative Finance and Risk Management

Handbook of Quantitative Finance and Risk Management Book
Author : Cheng-Few Lee,John Lee
Publisher : Springer Science & Business Media
Release : 2010-06-14
ISBN : 9780387771175
Language : En, Es, Fr & De

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Book Description :

Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.

Handbook of Empirical Economics and Finance

Handbook of Empirical Economics and Finance Book
Author : Aman Ullah,David E. A. Giles
Publisher : CRC Press
Release : 2016-04-19
ISBN : 9781420070361
Language : En, Es, Fr & De

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Book Description :

Handbook of Empirical Economics and Finance explores the latest developments in the analysis and modeling of economic and financial data. Well-recognized econometric experts discuss the rapidly growing research in economics and finance and offer insight on the future direction of these fields. Focusing on micro models, the first group of chapters describes the statistical issues involved in the analysis of econometric models with cross-sectional data often arising in microeconomics. The book then illustrates time series models that are extensively used in empirical macroeconomics and finance. The last set of chapters explores the types of panel data and spatial models that are becoming increasingly significant in analyzing complex economic behavior and policy evaluations. This handbook brings together both background material and new methodological and applied results that are extremely important to the current and future frontiers in empirical economics and finance. It emphasizes inferential issues that transpire in the analysis of cross-sectional, time series, and panel data-based empirical models in economics, finance, and related disciplines.

The Oxford Handbook of the Economics of Networks

The Oxford Handbook of the Economics of Networks Book
Author : Andrea Galeotti,Brian Rogers
Publisher : Oxford University Press
Release : 2016-04-01
ISBN : 0199948275
Language : En, Es, Fr & De

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Book Description :

The Oxford Handbook of the Economics of Networks represents the frontier of research into how and why networks they form, how they influence behavior, how they help govern outcomes in an interactive world, and how they shape collective decision making, opinion formation, and diffusion dynamics. From a methodological perspective, the contributors to this volume devote attention to theory, field experiments, laboratory experiments, and econometrics. Theoretical work in network formation, games played on networks, repeated games, and the interaction between linking and behavior is synthesized. A number of chapters are devoted to studying social process mediated by networks. Topics here include opinion formation, diffusion of information and disease, and learning. There are also chapters devoted to financial contagion and systemic risk, motivated in part by the recent financial crises. Another section discusses communities, with applications including social trust, favor exchange, and social collateral; the importance of communities for migration patterns; and the role that networks and communities play in the labor market. A prominent role of networks, from an economic perspective, is that they mediate trade. Several chapters cover bilateral trade in networks, strategic intermediation, and the role of networks in international trade. Contributions discuss as well the role of networks for organizations. On the one hand, one chapter discusses the role of networks for the performance of organizations, while two other chapters discuss managing networks of consumers and pricing in the presence of network-based spillovers. Finally, the authors discuss the internet as a network with attention to the issue of net neutrality.

Handbook of Behavioral Economics Foundations and Applications 1

Handbook of Behavioral Economics   Foundations and Applications 1 Book
Author : Anonim
Publisher : Elsevier
Release : 2018-09-27
ISBN : 0444633898
Language : En, Es, Fr & De

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Book Description :

Handbook of Behavioral Economics: Foundations and Applications presents the concepts and tools of behavioral economics. Its authors are all economists who share a belief that the objective of behavioral economics is to enrich, rather than to destroy or replace, standard economics. They provide authoritative perspectives on the value to economic inquiry of insights gained from psychology. Specific chapters in this first volume cover reference-dependent preferences, asset markets, household finance, corporate finance, public economics, industrial organization, and structural behavioural economics. This Handbook provides authoritative summaries by experts in respective subfields regarding where behavioral economics has been; what it has so far accomplished; and its promise for the future. This taking-stock is just what Behavioral Economics needs at this stage of its so-far successful career. Helps academic and non-academic economists understand recent, rapid changes in theoretical and empirical advances within behavioral economics Designed for economists already convinced of the benefits of behavioral economics and mainstream economists who feel threatened by new developments in behavioral economics Written for those who wish to become quickly acquainted with behavioral economics

Market Risk Analysis Practical Financial Econometrics

Market Risk Analysis  Practical Financial Econometrics Book
Author : Carol Alexander
Publisher : John Wiley & Sons
Release : 2008-04-30
ISBN : 0470771038
Language : En, Es, Fr & De

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Book Description :

Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.

Applications of Copula Theory in Financial Econometrics

Applications of Copula Theory in Financial Econometrics Book
Author : Andrew John Patton
Publisher : Unknown
Release : 2002
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Applications of Copula Theory in Financial Econometrics book written by Andrew John Patton, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Review Of Financial Economics

Review Of Financial Economics Book
Author : R. DeYoung
Publisher : Unknown
Release : 2003
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Review Of Financial Economics book written by R. DeYoung, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

The VaR Modeling Handbook Practical Applications in Alternative Investing Banking Insurance and Portfolio Management

The VaR Modeling Handbook  Practical Applications in Alternative Investing  Banking  Insurance  and Portfolio Management Book
Author : Greg N. Gregoriou
Publisher : McGraw Hill Professional
Release : 2010-02-22
ISBN : 0071713646
Language : En, Es, Fr & De

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Book Description :

Value-at-Risk (VaR) is a powerful tool for assessing market risk in real time— a critical insight when making trading and hedging decisions. The VaR Modeling Handbook is the most complete, up-to-date reference on the subject for today’s savvy investors, traders, portfolio managers, and other asset and risk managers. Unlike market risk metrics such as the Greeks, or beta, which are applicable to only certain asset categories and sources of market risk, VaR is applicable to all liquid assets, making it a reliable indicator of total market risk. For this reason, among many others, VaR has become the dominant method for estimating precisely how much money is at risk each day in the financial markets. The VaR Modeling Handbook is a profound volume that delivers practical information on measuring and modeling risk specifically focused on alternative investments, banking, and the insurance sector. The perfect primer to The VaR Implementation Handbook (McGraw- Hill), this foundational resource features The experience of 40 internationally recognized experts Useful perspectives from a wide range of practitioners, researchers, and academics Coverage on applying VaR to hedge fund strategies, microcredit loan portfolios, and economic capital management approaches for insurance companies Each illuminating chapter in The VaR Modeling Handbook presents a specific topic, complete with an abstract and conclusion for quick reference, as well as numerous illustrations that exemplify covered material. Practitioners can gain in-depth, cornerstone knowledge of VaR by reading the handbook cover to cover or take advantage of its user-friendly format by using it as a go-to resource in the real world. Financial success in the markets requires confident decision making, and The VaR Modeling Handbook gives you the knowledge you need to use this state-of-the-art modeling method to successfully manage financial risk.

Handbook of Applied Economic Statistics

Handbook of Applied Economic Statistics Book
Author : Aman Ullah
Publisher : CRC Press
Release : 1998-02-03
ISBN : 9780824701291
Language : En, Es, Fr & De

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Book Description :

This work examines theoretical issues, as well as practical developments in statistical inference related to econometric models and analysis. This work offers discussions on such areas as the function of statistics in aggregation, income inequality, poverty, health, spatial econometrics, panel and survey data, bootstrapping and time series.