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OverviewThe 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. Full Product DetailsAuthor: D.R. Cox (Nuffield College, Oxford University, UK) , D.V. Hinkley (University of California, Santa Barbara, California, USA) , O.E. Barndorff-Nielsen (Aarhus University, Aarhus, Denmark) , O.E. Barndorff-Nielsen (Aarhus University, Aarhus, Denmark)Publisher: Taylor & Francis Ltd Imprint: Chapman & Hall/CRC Weight: 0.294kg ISBN: 9780367401320ISBN 10: 0367401320 Pages: 244 Publication Date: 17 October 2019 Audience: College/higher education , Professional and scholarly , Undergraduate , Postgraduate, Research & Scholarly Format: Paperback Publisher's Status: Active Availability: In Print This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us. Table of ContentsReviewsAuthor InformationD. R. Cox, D. V. Hinkley, O. E. Barndorff-Nielsen Tab Content 6Author Website:Countries AvailableAll regions |