Econometric forecasting and high-frequency data analysis

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Title:

Econometric forecasting and high-frequency data analysis

Author:

Mariano, Roberto S.

ISBN:

9789812778956

Publication Information:

Singapore : World Scientific, c2008.

Physical Description:

ix, 189 p. : ill. (some col.) ; 24 cm.

Series:

Lecture notes series, Institute for Mathematical Sciences, National University of Singapore, v. 13.

Lecture notes series (National University of Singapore. Institute for Mathematical Sciences) ; v. 13.

Contents:

Forecast Uncertainty, its Representation and Evaluation / Kenneth F. Wallis -- The University of Pennsylvania Models for High-Frequency Macroeconomic and Modeling / Lawrence R. Klein and Suleyman Ozmucur -- Forecasting Seasonal Time Series / Philip Hans Franses -- Car and Affine Processes / Christium Gourieroux -- Multivariate Time Series Analysis and Forecasting / Manfred Deistler.

Abstract:

"This book consists of surveys of high-frequency financial data analysis and econometric forecasting. 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 Sciences, 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"--BOOK JACKET.

Subject Term:

Econometrics.

Finance -- Econometric models.

Added Author:

Mariano, Roberto S.

Tse, Yiu Kuen, 1952-

Copies:

Available:*

Library	Material Type	Item Barcode	Shelf Number	Copy	Status
Searching... 1:IIEMSA	1:GEN-BOOK	33168025494093	330.015195 M333E 2008	1	Searching... Unknown

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Summary

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.