advanced time series analysis methods
Arch Model
Assessing Forecast Accuracy
Category=KCH
Category=PBT
Cointegrating Rank
Cointegrating Relations
Cointegrating Vectors
Conditional Expectation
Conditional Log Odds Ratios
Data Generation Process
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Equilibrium Correction Model
Equivalent Martingale Measure
Error Correction Model
Exponential Dispersion Models
financial econometrics
Forecast Error
Forecast Error Variance
GARCH Model
Intercept Corrections
Long Run Relations
longitudinal analysis
macroeconomic forecasting
Marginal Regression Models
Martingale Measure
option pricing theory
PPP Relation
Self-financing Trading Strategy
Squared Forecast Error
statistical inference
SV Model
Vector Autoregression
Vector Equilibrium Correction Model
volatility modeling
Product details
- ISBN 9780367401320
- Weight: 294g
- Dimensions: 138 x 216mm
- Publication Date: 17 Oct 2019
- Publisher: Taylor & Francis Ltd
- Publication City/Country: GB
- Product Form: Paperback
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The analysis prediction and interpolation of economic and other time series has a long history and many applications. Major new developments are taking place, driven partly by the need to analyze financial data. The five papers in this book describe those new developments from various viewpoints and are intended to be an introduction accessible to readers from a range of backgrounds.
The book arises out of the second Seminaire European de Statistique (SEMSTAT) held in Oxford in December 1994. This brought together young statisticians from across Europe, and a series of introductory lectures were given on topics at the forefront of current research activity. The lectures form the basis for the five papers contained in the book.
The papers by Shephard and Johansen deal respectively with time series models for volatility, i.e. variance heterogeneity, and with cointegration. Clements and Hendry analyze the nature of prediction errors. A complementary review paper by Laird gives a biometrical view of the analysis of short time series. Finally Astrup and Nielsen give a mathematical introduction to the study of option pricing. Whilst the book draws its primary motivation from financial series and from multivariate econometric modelling, the applications are potentially much broader.
D. R. Cox, D. V. Hinkley, O. E. Barndorff-Nielsen
