Econometric Forecasting and High-Frequency Data Analysis

Edited by Roberto Mariano and Yiu-Kuen Tse

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

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.

Keywords: Econometric Forecasting; High-Frequency Data; Time Series; Seasonality; Compound Autoregressive Processes; Affine Processes; Macroeconomic Modeling; Evaluating Forecast Uncertainty; Financial Data Analysis (search for similar items in EconPapers)
JEL-codes: C4 C5 C7 (search for similar items in EconPapers)
Date: 2008
ISBN: 9789812778956
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https://www.worldscientific.com/worldscibooks/10.1142/6664 (text/html)
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Chapters in this book:

Ch 1 FORECAST UNCERTAINTY, ITS REPRESENTATION AND EVALUATION , pp 1-51

Kenneth Wallis

Ch 2 THE UNIVERSITY OF PENNSYLVANIA MODELS FOR HIGH-FREQUENCY MACROECONOMIC MODELING , pp 53-91

Lawrence Klein and Suleyman Ozmucur

Ch 3 FORECASTING SEASONAL TIME SERIES , pp 93-130

Philip Hans Franses

Ch 4 CAR AND AFFINE PROCESSES , pp 131-158

Christian Gourieroux

Ch 5 MULTIVARIATE TIME SERIES ANALYSIS AND FORECASTING , pp 159-189

Manfred Deistler

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