Time series models in econometrics, finance and other fields:
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 an...
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
London [u.a.]
Chapman & Hall
1996
|
| Ausgabe: | 1. ed. |
| Schriftenreihe: | Monographs on statistics and applied probability
65 |
| Schlagworte: | |
| Zusammenfassung: | 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 |
| Beschreibung: | XIV, 225 S. |
| ISBN: | 041272930X |
Internformat
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| 520 | 3 | |a 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 | |
| 520 | |a 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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| discipline | Mathematik Wirtschaftswissenschaften |
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| genre_facet | Konferenzschrift 1994 Oxford |
| id | DE-604.BV022145791 |
| illustrated | Not Illustrated |
| index_date | 2024-07-02T16:17:52Z |
| indexdate | 2024-07-09T20:51:20Z |
| institution | BVB |
| isbn | 041272930X |
| language | English |
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| series | Monographs on statistics and applied probability |
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| spelling | Time series models in econometrics, finance and other fields ed. by D. R. Cox ... 1. ed. London [u.a.] Chapman & Hall 1996 XIV, 225 S. txt rdacontent n rdamedia nc rdacarrier Monographs on statistics and applied probability 65 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 Econometrie gtt Estatistica aplicada a economia larpcal Finances - Modèles mathématiques - Congrès Finances rasuqam Modèle économétrique rasuqam Modèles économétriques - Congrès ram Série chronologique - Modèles mathématiques - Congrès Série chronologique rasuqam Séries chronologiques - Congrès ram Tijdreeksen gtt Économétrie rasuqam Ökonometrisches Modell Econometric models Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf 1\p (DE-588)1071861417 Konferenzschrift 1994 Oxford gnd-content Zeitreihenanalyse (DE-588)4067486-1 s DE-604 Cox, David R. 1924-2022 Sonstige (DE-588)119013169 oth Monographs on statistics and applied probability 65 (DE-604)BV002494005 65 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Time series models in econometrics, finance and other fields Monographs on statistics and applied probability Econometrie gtt Estatistica aplicada a economia larpcal Finances - Modèles mathématiques - Congrès Finances rasuqam Modèle économétrique rasuqam Modèles économétriques - Congrès ram Série chronologique - Modèles mathématiques - Congrès Série chronologique rasuqam Séries chronologiques - Congrès ram Tijdreeksen gtt Économétrie rasuqam Ökonometrisches Modell Econometric models Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4067486-1 (DE-588)1071861417 |
| title | Time series models in econometrics, finance and other fields |
| title_auth | Time series models in econometrics, finance and other fields |
| title_exact_search | Time series models in econometrics, finance and other fields |
| title_exact_search_txtP | Time series models in econometrics, finance and other fields |
| title_full | Time series models in econometrics, finance and other fields ed. by D. R. Cox ... |
| title_fullStr | Time series models in econometrics, finance and other fields ed. by D. R. Cox ... |
| title_full_unstemmed | Time series models in econometrics, finance and other fields ed. by D. R. Cox ... |
| title_short | Time series models in econometrics, finance and other fields |
| title_sort | time series models in econometrics finance and other fields |
| topic | Econometrie gtt Estatistica aplicada a economia larpcal Finances - Modèles mathématiques - Congrès Finances rasuqam Modèle économétrique rasuqam Modèles économétriques - Congrès ram Série chronologique - Modèles mathématiques - Congrès Série chronologique rasuqam Séries chronologiques - Congrès ram Tijdreeksen gtt Économétrie rasuqam Ökonometrisches Modell Econometric models Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Econometrie Estatistica aplicada a economia Finances - Modèles mathématiques - Congrès Finances Modèle économétrique Modèles économétriques - Congrès Série chronologique - Modèles mathématiques - Congrès Série chronologique Séries chronologiques - Congrès Tijdreeksen Économétrie Ökonometrisches Modell Econometric models Time-series analysis Zeitreihenanalyse Konferenzschrift 1994 Oxford |
| volume_link | (DE-604)BV002494005 |
| work_keys_str_mv | AT coxdavidr timeseriesmodelsineconometricsfinanceandotherfields |