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Time Series Models: In econometrics, finance and other fields (Chapman & Hall/CRC Monographs on Statistics and Applied Probabili,Used
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The analysis prediction and interpolation of economic and other time series has a long history and many applications. Major new developments are taking place, driven partly by the need to analyze financial data. The five papers in this book describe those new developments from various viewpoints and are intended to be an introduction accessible to readers from a range of backgrounds.The book arises out of the second Seminaire European de Statistique (SEMSTAT) held in Oxford in December 1994. This brought together young statisticians from across Europe, and a series of introductory lectures were given on topics at the forefront of current research activity. The lectures form the basis for the five papers contained in the book.The papers by Shephard and Johansen deal respectively with time series models for volatility, i.e. variance heterogeneity, and with cointegration. Clements and Hendry analyze the nature of prediction errors. A complementary review paper by Laird gives a biometrical view of the analysis of short time series. Finally Astrup and Nielsen give a mathematical introduction to the study of option pricing. Whilst the book draws its primary motivation from financial series and from multivariate econometric modelling, the applications are potentially much broader.
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- Q: What topics are covered in 'Time Series Models'? A: The book covers various topics including volatility models, cointegration, prediction errors, and option pricing, providing a comprehensive introduction to time series analysis.
- Q: Who is the author of this book? A: The author of 'Time Series Models' is D.R. Cox, a notable figure in the field of statistics and econometrics.
- Q: What is the condition of the book? A: The book is listed as 'New', ensuring that it is in pristine condition for readers.
- Q: How many pages does the book have? A: The book contains 240 pages, making it a substantial resource for those interested in econometrics and statistics.
- Q: What type of binding does the book have? A: This book features a hardcover binding, which provides durability and a professional appearance.
- Q: When was 'Time Series Models' published? A: The book was published on January 1, 1996.
- Q: Is this book suitable for beginners in econometrics? A: Yes, the book is designed to be accessible to readers from various backgrounds, making it suitable for beginners as well as advanced learners.
- Q: What is the main focus of the papers included in the book? A: The papers focus on new developments in time series analysis, particularly in relation to financial data and econometric modeling.
- Q: Can this book help with understanding financial data analysis? A: Yes, the book provides insights into analyzing financial data through time series models, making it beneficial for those interested in finance.
- Q: What is the edition of 'Time Series Models'? A: This is the first edition of 'Time Series Models', providing foundational knowledge in the subject.