Econometric Forecasting And High-frequency Data Analysis
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Compound Autoregressive Processes
Econometric Forecasting
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Evaluating Forecast Uncertainty
Financial Data Analysis
High-Frequency Data
Macroeconomic Modeling
Seasonality
Time Series
Product details
- ISBN 9789812778956
- Publication Date: 06 Mar 2008
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
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This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research.
