Economic Data and Other Time-Series Analysis

Graham Giller

Chapter 3 in Adventures in Financial Data Science:The Empirical Properties of Financial and Economic Data, 2022, pp 141-225 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The way I approach the analysis of time-series is to try to model as much of the data as possible. To build a “universal” model. As a physicist by training, I’m interested in enduring truths. I don’t require that all properties of data are eternally constant, but I do want to know what the “stylized facts” are, as they say in finance…

Keywords: Data Science; Finance; Quant Research; Econometrics; Trading Strategy; Survey Research; Political Science; Time-Series Analysis; Volatility; Stock Market; Bond Market; Interest Rates; Empirical Finance; Probability Distributions; Statistics; Estimation; Empirical Science; Hypothesis Testing; Biography; Coronavirus; Epidemiology; Geospatial Analysis; Index Futures; Index Options; Morgan Stanley; Process Driven Trading; Quant Trading; Climate; Temperature; Demographics; Machine Learning (search for similar items in EconPapers)
JEL-codes: C01 C22 C58 G1 (search for similar items in EconPapers)
Date: 2022
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