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Econometric Forecasting and High-Frequency Data Analysis

Editor

Listed:
  • Roberto S Mariano
    (Singapore Management University, Singapore)

  • Yiu-Kuen Tse
    (University of Pennsylvania, USA)

Abstract

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.

Individual chapters are listed in the "Chapters" tab

Suggested Citation

  • Roberto S Mariano & Yiu-Kuen Tse (ed.), 2008. "Econometric Forecasting and High-Frequency Data Analysis," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6664, January.
    • Handle: RePEc:wsi:wsbook:6664
    as

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    File URL: https://www.worldscientific.com/worldscibooks/10.1142/6664
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    Book Chapters

    The following chapters of this book are listed in IDEAS

    More about this item

    Keywords

    Econometric Forecasting; High-Frequency Data; Time Series; Seasonality; Compound Autoregressive Processes; Affine Processes; Macroeconomic Modeling; Evaluating Forecast Uncertainty; Financial Data Analysis;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory

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