Time Series Models: In econometrics, finance and other fields

Front Cover
D.R. Cox, D.V. Hinkley, O.E. Barndorff-Nielsen
CRC Press, May 15, 1996 - Mathematics - 240 pages
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.

What people are saying - Write a review

We haven't found any reviews in the usual places.


List of contributors xi
Likelihoodbased inference for cointegration of some nonstationary
Forecasting in macroeconomics
Pricing by no arbitrage

Other editions - View all

Common terms and phrases

Popular passages

Page 2 - Williams (1995) 39 Analog Estimation Methods in Econometrics CF Manski (1988) 40 Subset Selection in Regression AJ Miller (1990) 41 Analysis of Repeated Measures MJ Crowder and DJ Hand (1990) 42 Statistical Reasoning with Imprecise Probabilities P.
Page 2 - Glazebrook (1986) 29 Tensor Methods in Statistics P. McCullagh (1987) 30 Transformation and Weighting in Regression RJ Carroll and D. Ruppert (1988...
Page 2 - Snell (1989) 33 Analysis of Infectious Disease Data NG Becker (1989) 34 Design and Analysis of Cross-Over Trials B. Jones and MG Kenward (1989) 35 Empirical Bayes Methods, 2nd edition JS Maritz and T.
Page 2 - Rice (1993) 49 Markov Models and Optimization MHA Davis (1993) 50 Networks and Chaos — Statistical and Probabilistic Aspects OE Barndorff-Nielsen, JL Jensen and WS Kendall (1993) 51 Number-Theoretic Methods in Statistics K.-T.

About the author (1996)

D. R. Cox, D. V. Hinkley, O. E. Barndorff-Nielsen

Bibliographic information