Time-Series Analysis: Components, Models, and Forecasting

Cheng Few Lee

Chapter 26 in Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning:(In 4 Volumes), 2020, pp 979-1024 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In this chapter, we first discuss the classical time-series component model, then we discuss the moving average and seasonally adjusted time-series. A discussion on linear and log-linear time trend regressions follows. The autoregressive forecasting model as well as the ARIMA model are both reviewed. Finally, composite forecasting is discussed.

Keywords: Financial Econometrics; Financial Mathematics; Financial Statistics; Financial Technology; Machine Learning; Covariance Regression; Cluster Effect; Option Bound; Dynamic Capital Budgeting; Big Data (search for similar items in EconPapers)
JEL-codes: C01 C1 G32 (search for similar items in EconPapers)
Date: 2020
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