Screen LibraryEconometric forecasting and high-frequency data analysis /
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...
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| Corporate Authors: | |
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| Group Author: | ; |
| Published: |
World Scientific Pub. Co.,
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| Publisher Address: | Singapore ; Hackensack, N.J. : |
| Publication Dates: | 2008. |
| Literature type: | eBook |
| Language: | English |
| Series: |
Lecture notes series (National University of Singapore. Institute for Mathematical Sciences) ;
v. 13. |
| Subjects: | |
| Online Access: |
http://www.worldscientific.com/worldscibooks/10.1142/6664#t=toc |
| 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. |
| Carrier Form: | 1 online resource (ix,189pages) : illustrations (some color). |
| Bibliography: | Includes bibliographical references. |
| ISBN: |
9812778969 (electronic bk.) 9789812778963 (electronic bk.) |
| CLC: | F224.0 |
| 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 / Christian Gourieroux -- Multivariate time series analysis and forecasting / Manfred Deistler. |