Time Series Models: In econometrics, finance and other fields, 1st Edition (Hardback) book cover

Time Series Models

In econometrics, finance and other fields, 1st Edition

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

Chapman and Hall/CRC

240 pages

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Hardback: 9780412729300
pub: 1996-05-15
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Description

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.

Table of Contents

Statistical Aspects of ARCH and Scholastic Volatility

Likelihood-Based Inference for Cointegration of Some Non-Stationary Time Series

Forecasting in Macroeconomics

Longitudinal Panel Data: An Overview of Current Methodology

About the Editors

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

About the Series

Chapman & Hall/CRC Monographs on Statistics and Applied Probability

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Subject Categories

BISAC Subject Codes/Headings:
MAT029000
MATHEMATICS / Probability & Statistics / General