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...
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| Format: | Tagungsbericht Buch |
| Sprache: | English |
| Veröffentlicht: |
Boca Raton
CRC Press
2019
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| Schriftenreihe: | Monographs on statistics and applied probability
65 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| 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, 240 Seiten |
| ISBN: | 9780367401320 9780412729300 |
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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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Datensatz im Suchindex
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| adam_text | Contents List of contributors Preface 1 2 Statistical aspects of ARCH and stochastic volatility Neil Shephard 1.1 Introduction 1.2 ARCH 1.3 Stochastic volatility 1.4 Multivariate models 1.5 Option pricing with changing volatility 1.6 Continuous-time models 1.7 Concluding remarks 1.8 Appendix 1.9 Computing and data sources Acknowledgements References xi xiii 1 1 8 22 41 46 49 51 52 54 54 55 Likelihood-based inference for cointegration of some nonstationary time series Søren Johansen 69 2.1 Introduction 69 2.2 Granger’s representation theorem 75 2.3 Purchasing power parity: an illustrative example 78 2.4 Formulation of the reduced-form error correction model and various hypotheses on the cointegrating relations 82 2.5 Estimation of cointegrating relations and calculation of test statistics 86 2.6 The empirical example continued 90 2.7 Asymptotic theory 93
CONTENTS 2.8 Conclusion Acknowledgements References 3 Forecasting in macro-economics Michael P. Clements and David F. Hendry 3.1 Introduction 3.2 A framework for economic forecasting 3.3 Alternative methods of forecasting 3.4 The economic system and forecasting models 3.5 Measuring forecast accuracy 3.6 A taxonomy of forecast errors 3.7 Parameter constancy 3.8 Parameter non-constancy 3.9 Intercept corrections 3.10 Conclusions Acknowledgements References 9 101 101 103 105 107 112 118 124 120 130 134 130 130 4 Longitudinal panel data: an overview of current methodology Nan M. Laird 143 4.1 Introduction 143 4.2 General formulation 143 4.3 The GEE approach to longitudinal data analysis 147 4.4 Likelihood-based approaches to longitudinaldata analysis 153 4.5 Estimation with incomplete data 137 4.6 Example: childhood obesity Ю1 4.7 Random effects models Ю4 4.8 Discussion 109 Acknowledgements 172 References 172 5 Pricing by no arbitrage Bjarne Astrup Jensen and Jørgen Aase Nielsen 5.1 Introduction 5.2 Notation 5.3 The‘no arbitrage’condition 5.4 Equivalent martingale measures and risk-neutralized price processes 5.5 Change of numéraire 5.6 Attainability 122 177 180 181 185 187 187
CONTENTS 5.7 5.8 5.9 5.10 5.11 5.12 5.13 Multiperiod model in discrete time Complete market and splitting index Complete market and martingale basis Continuous-time models: basic assumptions Relatíve price processes and change of numéraire Complete market in continuous time Equivalent martingale measures and absence of ‘approximate arbitrage’ 5.14 Concluding remarks Acknowledgements References 191 197 204 209 212 218 221 222 223 223
|
| any_adam_object | 1 |
| author2 | Cox, David R. 1924-2022 |
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| dewey-full | 519.55 330.015195 |
| dewey-hundreds | 500 - Natural sciences and mathematics 300 - Social sciences |
| dewey-ones | 519 - Probabilities and applied mathematics 330 - Economics |
| dewey-raw | 519.55 330.015195 |
| dewey-search | 519.55 330.015195 |
| dewey-sort | 3519.55 |
| dewey-tens | 510 - Mathematics 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Conference Proceeding Book |
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| spelling | Time series models in econometrics, finance and other fields edited by D.R. Cox, D.V. Hinkley and O.E. Barndorff-Nielsen Boca Raton CRC Press 2019 © 1996 XIV, 240 Seiten 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 (DE-588)1071861417 Konferenzschrift 1994 Oxford gnd-content Zeitreihenanalyse (DE-588)4067486-1 s DE-604 Cox, David R. 1924-2022 (DE-588)119013169 edt Séminaire Européen de Statistique 2 1994 Oxford Sonstige (DE-588)5173988-4 oth Monographs on statistics and applied probability 65 (DE-604)BV002494005 65 Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=031836120&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| 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 |
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| 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_full | Time series models in econometrics, finance and other fields edited by D.R. Cox, D.V. Hinkley and O.E. Barndorff-Nielsen |
| title_fullStr | Time series models in econometrics, finance and other fields edited by D.R. Cox, D.V. Hinkley and O.E. Barndorff-Nielsen |
| title_full_unstemmed | Time series models in econometrics, finance and other fields edited by D.R. Cox, D.V. Hinkley and O.E. Barndorff-Nielsen |
| title_short | Time series models |
| title_sort | time series models in econometrics finance and other fields |
| title_sub | 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 |
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