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Author:   Siem Jan Koopman (Professor of Econometrics, VU University Amsterdam) ,  Neil Shephard (Professor of Economics and of Statistics, Harvard University)
Publisher:   Oxford University Press
Imprint:   Oxford University Press
Dimensions:   Width: 17.40cm , Height: 3.00cm , Length: 24.00cm
Weight:   0.778kg
ISBN:  

9780199683666

ISBN 10:   0199683662
Pages:   390
Publication Date:   19 November 2015
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   To order  
Stock availability from the supplier is unknown. We will order it for you and ship this item to you once it is received by us.

Table of Contents

1: Siem Jan Koopman and Neil Shephard: Introduction 2: Andrew Harvey: The Development of a Time Series Methodology: from Recursive Residuals to Dynamic Conditional Score Models 3: Andrea Stella and James H. Stock: A State-Dependent Model for Inflation Forecasting 4: Giuliano De Rossi: Measuring the Tracking Error of Exchange Traded Funds 5: Francis X. Diebold and Kamil Yilmaz: Measuring the Dynamics of Global Business Cycle Connectedness 6: Craig Ansley and Piet de Jong: Inferring and Predicting Global Temperature Trends 7: Geert Mesters and Siem Jan Koopman: Forecasting the Boat Race 8: Gabriele Fiorentini and Enrique Sentana: Tests for Serial Dependence in Static, Non-Gaussian Factor Models 9: Tatjana Lemke and Simon J. Godsill: Inference for Models with Asymmetric *a-Stable Noise Processes 10: Neil Shephard: Martingale Unobserved Component Models 11: Pilar Poncela and Esther Ruiz: More is Not Always Better: Kalman Filtering in Dynamic Factor Models 12: Fabio Busetti: On Detecting End-of-Sample Instabilities 13: Jouni Helske and Jukka Nyblom: Improved Frequentist Prediction Intervals for Autoregressive Models by Simulation 14: Jun Ma and Charles R. Nelson: The Superiority of the LM Test in a Class of Econometric Models Where the Wald Test Performs Poorly 15: Tommaso Proietti and Alessandra Luati: Generalised Linear Spectral Models

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Author Information

Siem Jan Koopman is a Professor of Econometrics at the VU University Amsterdam and Research Fellow at the Tinbergen Institute. Furthermore, he is a Visiting Professor at CREATES, University of Aarhus and a Visiting Researcher at the European Central Bank, Financial Research. He has held positions at LSE and Tilburg University, and has been a Research Fellow at the US Bureau of the Census, Washington DC, and a Fernand Braudel Senior Fellow at the European University Institute, Florence. Neil Shephard is Professor of Economics and of Statistics at Harvard University. He previously was a faculty member at the LSE and Oxford University. He was elected a Fellow of the Econometric Society in 2004 and a Fellow of the British Academy in 2006. He received an honourary doctorate in economics from Aarhus University in 2009. He was award the Richard Stone Prize in Applied Econometrics in 2012. He has been an associate editor of the academic journal Econometrica since 2002. He has previously been on the editorial boards of, for example, Review of Economic Studies, Biometrika and JRSSB.

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