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Econometric Forecasting And High-Frequency Data Analysis
Econometric Forecasting And High-Frequency Data Analysis By Roberto S. Mariano, Yiu-kuen Tse, Roberto S. Mariano, Yiu-kuen Tse
2008 | 200 Pages | ISBN: 9812778950 | PDF | 2 MB
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. Contents: Forecasting Uncertainty, Its Representation and Evaluation (K F Wallis) The University of Pennsylvania Models for High-Frequency Macroeconomic Modeling (L R Klein & S Ozmucur) Forecasting Seasonal Time Series (P H Franses) Car and Affine Processes (C Gourieroux) Multivariate Time Series Analysis and Forecasting (M Deistler)
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