Econometric forecasting and high-frequency data analysis

• 主要作者: TSE, Yiu Kuen
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2009
• 主題: Econometric Forecasting; High-Frequency Data; Time Series; Seasonality; Compound Autoregressive Processes; Affine Processes; Macroeconomic Modeling; Evaluating Forecast Uncertainty; Financial Data Analysis; Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research_all/9; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1008&context=soe_research_all

This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency...