Item description for Econometric Forecasting And High-Frequency Data Analysis (Lecture Notes Seres, Institute for Mathematical Sciences National University of Singapore) by Roberto S. Mariano & Yiu-kuen Tse...
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 Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research.
Forecasting Uncertainty, Its Representation and Evaluation (K F Wallis)
The University of Pennsylvania Models for High-Frequency Macroeconomic Modeling (L R Klein & S Ozmucur)
Forecasting Seasonal Time Series (P H Franses)
Car and Affine Processes (C Gourieroux)
Multivariate Time Series Analysis and Forecasting (M Deistler)
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Studio: World Scientific Publishing Company
Est. Packaging Dimensions: Length: 0.75" Width: 6.25" Height: 9.25" Weight: 1.15 lbs.
Release Date Mar 4, 2008
Publisher World Scientific Publishing Company
ISBN 9812778950 ISBN13 9789812778956
Reviews - What do customers think about Econometric Forecasting And High-Frequency Data Analysis (Lecture Notes Seres, Institute for Mathematical Sciences National University of Singapore)?
Eighty bucks? Apr 26, 2009
My rating bears on the tactics of World Scientific, who
(a) collect five econometrics papers that do not really tie in with each other;
(b) select title "Econometric forecasting and high-frequency data analysis" despite only two of the papers addressing forecasting, and the highest frequency found in the volume being monthly;
(c) invoke "financial data analysis" and "financial econometrics" based solely on a finance-themed example in Gourieroux's paper - presenting a model that, I believe, does not have special relevance to financial time series, high-frequency or not;
(d) charge $82 (less this site's commission) for the product.
I liked some of the papers - discussion of density-forecast evaluation in Wallis's paper was instructive, and Franses's survey of seasonality models pretty good - but am confident that most of the material is available online.