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Time Series Models: In econometrics, finance and other fields: 65 (Chapman & Hall/CRC Monographs on Statistics and Applied Probability) - Tapa dura

 
9780412729300: Time Series Models: In econometrics, finance and other fields: 65 (Chapman & Hall/CRC Monographs on Statistics and Applied Probability)
Tapa dura
ISBN 10: 041272930X ISBN 13: 9780412729300
Editorial: Chapman and Hall/CRC, 1996

Sinopsis

The five papers in this book describe recent developments in the analysis, prediction, and interpolation of economic time series from various viewpoints. Topics include time series models for volatility, the nature of prediction errors, a biometrical perspective on the analysis of short time series, and the study of option pricing.

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Acerca del autor

D. R. Cox, D. V. Hinkley, O. E. Barndorff-Nielsen

De la contraportada

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.

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Editorial
Chapman and Hall/CRC
Año de publicación
1996
Idioma
Inglés
ISBN 10 
041272930X
ISBN 13 
9780412729300
Encuadernación
Tapa dura
Número de edición
1
Número de páginas
242
Editor
Cox D.R., Hinkley D.V., Barndorff-Nielsen O.E.
Contacto del fabricante
Taylor and Francis, GPSR Taylor and Francis
gpsr@taylorandfrancis.com

Taylor & Francis Verlag GmbH, Kaufingerstraße 24
München
80331
Alemania