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Time Series Models - In econometrics, finance and other fields (Paperback)
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Time Series Models - In econometrics, finance and other fields (Paperback)
Series: Chapman & Hall/CRC Monographs on Statistics and Applied Probability
Expected to ship within 12 - 17 working days
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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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