Time Series Models

In Econometrics, Finance and Other Fields (Monographs on Statistics and Applied Probability)

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Last edited by Tom Morris
March 27, 2023 | History

Time Series Models

In Econometrics, Finance and Other Fields (Monographs on Statistics and Applied Probability)

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.

Publish Date
Publisher
Chapman & Hall/CRC
Language
English
Pages
240

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Edition Availability
Cover of: Time Series Models
Cover of: Time series models in econometrics, finance and other fields
Time series models in econometrics, finance and other fields
1996, Chapman & Hall
in English - 1st ed.

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Book Details


First Sentence

"Research into time series models of changing variance and covariance, which I will collectively call volatility models, has exploded in the last ten years."

ID Numbers

Open Library
OL7479083M
ISBN 10
041272930X
ISBN 13
9780412729300
Library Thing
5165167
Goodreads
2338688

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March 27, 2023 Edited by Tom Morris merge authors
September 17, 2021 Edited by ImportBot import existing book
February 19, 2019 Created by MARC Bot import existing book