Financial forecasting for business and economics:
Until recently a formidable gap separated practical business economists, who forecast economic growth and exchange and interest rate fluctuations, from academic researchers Academic journals focused on statistical techniques which were inappropriate for practical business forecasting. Economic theor...
Gespeichert in:
1. Verfasser: | |
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Format: | Buch |
Sprache: | English |
Veröffentlicht: |
London [u.a.]
Academic Press
1994
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Schlagworte: | |
Online-Zugang: | Inhaltsverzeichnis |
Zusammenfassung: | Until recently a formidable gap separated practical business economists, who forecast economic growth and exchange and interest rate fluctuations, from academic researchers Academic journals focused on statistical techniques which were inappropriate for practical business forecasting. Economic theory, especially in the field of business cycle research became more and more abstract and harder to apply. These twin developments drove many practitioners to technical analysis. Fortunately, the gap is being bridged. New scholarly research offers much more scope for useful forecasts of exchange rates and stock market indices. Advances in statistics, especially in the estimation of Kalman filters, allows for better treatment of non-stationary variables Financial Forecasting for Business and Economics summarizes the important new thinking on financial market forecasting and on the statistical modelling of non-stationary series in a clear and readable manner. The first four chapters deal with forecasting economic and financial indicators. In addition there are separate chapters on the forecasting of economic growth, stock market indices, exchange rates and on the relationship between short and long term interest rates. The emphasis throughout is on real-life examples using data from a wide variety of countries and sources. Readers who have a basic familiarity with statistical analysis will use this book to learn through practical examples which pitfalls to avoid in economic and financial forecasting and how to construct a sensible forecasting model |
Beschreibung: | X, 224 S. zahlr. graph. Darst. |
ISBN: | 0121128903 003099005X |
Internformat
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520 | 3 | |a Until recently a formidable gap separated practical business economists, who forecast economic growth and exchange and interest rate fluctuations, from academic researchers Academic journals focused on statistical techniques which were inappropriate for practical business forecasting. Economic theory, especially in the field of business cycle research became more and more abstract and harder to apply. These twin developments drove many practitioners to technical analysis. Fortunately, the gap is being bridged. New scholarly research offers much more scope for useful forecasts of exchange rates and stock market indices. Advances in statistics, especially in the estimation of Kalman filters, allows for better treatment of non-stationary variables | |
520 | |a Financial Forecasting for Business and Economics summarizes the important new thinking on financial market forecasting and on the statistical modelling of non-stationary series in a clear and readable manner. The first four chapters deal with forecasting economic and financial indicators. In addition there are separate chapters on the forecasting of economic growth, stock market indices, exchange rates and on the relationship between short and long term interest rates. The emphasis throughout is on real-life examples using data from a wide variety of countries and sources. Readers who have a basic familiarity with statistical analysis will use this book to learn through practical examples which pitfalls to avoid in economic and financial forecasting and how to construct a sensible forecasting model | ||
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Datensatz im Suchindex
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adam_text | Contents
Preface vii
CHAPTER ONE: INTRODUCTION 1
1.1 Same process—different statistics 1
1.2 Stationary versus nonstationary 7
1.3 Ergodicity 14
CHAPTER TWO: ANALYSIS OF A SINGLE TIME SERIES 18
1 2.1 Series that are almost random walks 18
2.2 Dangers of fitting deterministic trends 23
2.3 The use of a scale variable 29
2.4 Long term exponential growth? 32
2.5 Official forecasts of growth and inflation 34
2.6 The pooling of forecasts 41
CHAPTER THREE: ANALYSIS OF MULTIVARIATE TIME SERIES 44
3.1 A first example of linear regression 44
3.2 Reading the computer output of a linear
regression 49
3.3 Additional issues in multivariate linear
regression 56
3.4 Issues of specification 59
3.5 Formal requirements for linear regression 62
Appendix 1: Robust estimation 64
Appendix 2: Dummy variables 65
CHAPTER FOUR: INTRODUCING THE MULTIVARIATE KALMAN
FILTER 68
4.1 Recursive least squares 68
4.2 From recursive least squares to the Kalman
filter 73
4.3 General discrete time Kalman filter
specification 79
4.4 Estimating the hyperparameters in the
Kalman filter 84
4.5 An illustration of the Kalman filter 86
CHAPTER FIVE: FORECASTING ECONOMIC GROWTH 90
5.1 The three decompositions of economic
growth 90
5.2 Forecasts from large scale econometric
models 93
5.3 Theoretical models for the business cycle 97
5.4 Monetary influences on the business cycle 107
5.5 Short term economic growth in the US,
Japan and Germany 112
CHAPTER SIX: FORECASTING WITH THE TERM STRUCTURE OF
INTEREST RATES 9
6.1 Forecasting in efficient markets 119
6.2 Dynamics of interest rates 122
6.3 The term structure of interest rates 130
6.4 Using the term structure to forecast
economic growth 133
6.5 Interest rate patterns and the economy 138
CHAPTER SEVEN: FORECASTING RETURNS ON THE STOCK
MARKET INDEX 141
7.1 Rationality in the stock market 141
7.2 Expected stock market returns—the Fama
French study 149
7.3 Predicting returns on the US stock market 150
7.4 Dynamics of the US stock market 152
CHAPTER EIGHT: FORECASTING EXCHANGE RATES 158
8.1 The dynamics of exchange rates 158
8.2 Floating rates and purchasing power parity 162
8.3 Forecasting floating exchange rates 167
8.4 Real interest rates and exchange rates 171
8.5 Exchange rates in the European Monetary
System 179
CHAPTER NINE: FOUR ECONOMETRIC FASHIONS AND THE
KALMAN FILTER ALTERNATIVE 184
9.1 Introduction 184
9.2 Experiments with artificial random walks 187
9.3 A multivariate Kalman filter 189
9.4 Results for pairs of nonstationary time series 193
9.5 Artificial experiments with cyclical data 197
9.6 Analysis of cyclical data 199
9.7 Four fashions in econometrics revisited 202
Bibliography 212
Index 217
|
any_adam_object | 1 |
author | Bomhoff, Eduard Jan 1944- |
author_GND | (DE-588)124822916 |
author_facet | Bomhoff, Eduard Jan 1944- |
author_role | aut |
author_sort | Bomhoff, Eduard Jan 1944- |
author_variant | e j b ej ejb |
building | Verbundindex |
bvnumber | BV010573555 |
callnumber-first | H - Social Science |
callnumber-label | HB3730 |
callnumber-raw | HB3730 |
callnumber-search | HB3730 |
callnumber-sort | HB 43730 |
callnumber-subject | HB - Economic Theory and Demography |
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ctrlnum | (OCoLC)31942318 (DE-599)BVBBV010573555 |
dewey-full | 338.544 |
dewey-hundreds | 300 - Social sciences |
dewey-ones | 338 - Production |
dewey-raw | 338.544 |
dewey-search | 338.544 |
dewey-sort | 3338.544 |
dewey-tens | 330 - Economics |
discipline | Wirtschaftswissenschaften |
format | Book |
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id | DE-604.BV010573555 |
illustrated | Illustrated |
indexdate | 2024-07-09T17:55:16Z |
institution | BVB |
isbn | 0121128903 003099005X |
language | English |
oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007048448 |
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owner_facet | DE-945 DE-1046 |
physical | X, 224 S. zahlr. graph. Darst. |
publishDate | 1994 |
publishDateSearch | 1994 |
publishDateSort | 1994 |
publisher | Academic Press |
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spelling | Bomhoff, Eduard Jan 1944- Verfasser (DE-588)124822916 aut Financial forecasting for business and economics Eduard J. Bomhoff London [u.a.] Academic Press 1994 X, 224 S. zahlr. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Until recently a formidable gap separated practical business economists, who forecast economic growth and exchange and interest rate fluctuations, from academic researchers Academic journals focused on statistical techniques which were inappropriate for practical business forecasting. Economic theory, especially in the field of business cycle research became more and more abstract and harder to apply. These twin developments drove many practitioners to technical analysis. Fortunately, the gap is being bridged. New scholarly research offers much more scope for useful forecasts of exchange rates and stock market indices. Advances in statistics, especially in the estimation of Kalman filters, allows for better treatment of non-stationary variables Financial Forecasting for Business and Economics summarizes the important new thinking on financial market forecasting and on the statistical modelling of non-stationary series in a clear and readable manner. The first four chapters deal with forecasting economic and financial indicators. In addition there are separate chapters on the forecasting of economic growth, stock market indices, exchange rates and on the relationship between short and long term interest rates. The emphasis throughout is on real-life examples using data from a wide variety of countries and sources. Readers who have a basic familiarity with statistical analysis will use this book to learn through practical examples which pitfalls to avoid in economic and financial forecasting and how to construct a sensible forecasting model Business forecasting Economic forecasting Wirtschaft (DE-588)4066399-1 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Prognoseverfahren (DE-588)4358095-6 gnd rswk-swf Prognoseverfahren (DE-588)4358095-6 s Wirtschaft (DE-588)4066399-1 s Finanzierung (DE-588)4017182-6 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007048448&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
spellingShingle | Bomhoff, Eduard Jan 1944- Financial forecasting for business and economics Business forecasting Economic forecasting Wirtschaft (DE-588)4066399-1 gnd Finanzierung (DE-588)4017182-6 gnd Prognoseverfahren (DE-588)4358095-6 gnd |
subject_GND | (DE-588)4066399-1 (DE-588)4017182-6 (DE-588)4358095-6 |
title | Financial forecasting for business and economics |
title_auth | Financial forecasting for business and economics |
title_exact_search | Financial forecasting for business and economics |
title_full | Financial forecasting for business and economics Eduard J. Bomhoff |
title_fullStr | Financial forecasting for business and economics Eduard J. Bomhoff |
title_full_unstemmed | Financial forecasting for business and economics Eduard J. Bomhoff |
title_short | Financial forecasting for business and economics |
title_sort | financial forecasting for business and economics |
topic | Business forecasting Economic forecasting Wirtschaft (DE-588)4066399-1 gnd Finanzierung (DE-588)4017182-6 gnd Prognoseverfahren (DE-588)4358095-6 gnd |
topic_facet | Business forecasting Economic forecasting Wirtschaft Finanzierung Prognoseverfahren |
url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007048448&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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