Econometric Forecasting And High Frequency Data Analysis

Author : Roberto S. Mariano,Yiu Kuen Tse
Publisher : World Scientific
Page : 200 pages
File Size : 50,7 Mb
Release : 2008
Category : Business & Economics
ISBN : 9789812778963

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Econometric Forecasting and High-frequency Data Analysis by Roberto S. Mariano,Yiu Kuen Tse Pdf

This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research. Sample Chapter(s). Foreword (32 KB). Chapter 1: Forecast Uncertainty, Its Representation and Evaluation* (97 KB). Contents: Forecasting Uncertainty, Its Representation and Evaluation (K F Wallis); The University of Pennsylvania Models for High-Frequency Macroeconomic Modeling (L R Klein & S Ozmucur); Forecasting Seasonal Time Series (P H Franses); Car and Affine Processes (C Gourieroux); Multivariate Time Series Analysis and Forecasting (M Deistler). Readership: Professionals and researchers in econometric forecasting and financial data analysis.

Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 51,9 Mb
Release : 2024-05-26
Category : Electronic
ISBN : 9789814472364

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Econometric Forecasting and High-Frequency Data Analysis by Anonim Pdf

Author : Stavros Degiannakis,Christos Floros
Publisher : Springer
Page : 278 pages
File Size : 51,9 Mb
Release : 2016-04-29
Category : Business & Economics
ISBN : 9781137396495

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Modelling and Forecasting High Frequency Financial Data by Stavros Degiannakis,Christos Floros Pdf

The global financial crisis has reopened discussion surrounding the use of appropriate theoretical financial frameworks to reflect the current economic climate. There is a need for more sophisticated analytical concepts which take into account current quantitative changes and unprecedented turbulence in the financial markets. This book provides a comprehensive guide to the quantitative analysis of high frequency financial data in the light of current events and contemporary issues, using the latest empirical research and theory. It highlights and explains the shortcomings of theoretical frameworks and provides an explanation of high-frequency theory, emphasising ways in which to critically apply this knowledge within a financial context. Modelling and Forecasting High Frequency Financial Data combines traditional and updated theories and applies them to real-world financial market situations. It will be a valuable and accessible resource for anyone wishing to understand quantitative analysis and modelling in current financial markets.

Author : Frederi G. Viens,Maria Cristina Mariani,Ionut Florescu
Publisher : John Wiley & Sons
Page : 468 pages
File Size : 46,7 Mb
Release : 2011-12-20
Category : Business & Economics
ISBN : 9780470876886

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Handbook of Modeling High-Frequency Data in Finance by Frederi G. Viens,Maria Cristina Mariani,Ionut Florescu Pdf

CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design systems that can handle and analyze this information. Handbook of Modeling High-Frequency Data in Finance addresses the many theoretical and practical questions raised by the nature and intrinsic properties of this data. A one-stop compilation of empirical and analytical research, this handbook explores data sampled with high-frequency finance in financial engineering, statistics, and the modern financial business arena. Every chapter uses real-world examples to present new, original, and relevant topics that relate to newly evolving discoveries in high-frequency finance, such as: Designing new methodology to discover elasticity and plasticity of price evolution Constructing microstructure simulation models Calculation of option prices in the presence of jumps and transaction costs Using boosting for financial analysis and trading The handbook motivates practitioners to apply high-frequency finance to real-world situations by including exclusive topics such as risk measurement and management, UHF data, microstructure, dynamic multi-period optimization, mortgage data models, hybrid Monte Carlo, retirement, trading systems and forecasting, pricing, and boosting. The diverse topics and viewpoints presented in each chapter ensure that readers are supplied with a wide treatment of practical methods. Handbook of Modeling High-Frequency Data in Finance is an essential reference for academics and practitioners in finance, business, and econometrics who work with high-frequency data in their everyday work. It also serves as a supplement for risk management and high-frequency finance courses at the upper-undergraduate and graduate levels.

Author : Inada Yoshihisa
Publisher : World Scientific
Page : 128 pages
File Size : 54,7 Mb
Release : 2018-03-07
Category : Business & Economics
ISBN : 9789813232389

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A Dynamic Use Of Survey Data And High Frequency Model Forecasting by Inada Yoshihisa Pdf

This volume investigates the accuracy and dynamic performance of a high-frequency forecast model for the Japanese and United States economies based on the Current Quarter Model (CQM) or High Frequency Model (HFM) developed by the late Professor Emeritus Lawrence R. Klein. It also presents a survey of recent developments in high-frequency forecasts and gives an example application of the CQM model in forecasting Gross Regional Products (GRPs). Contents: Introduction: Background to a High-Frequency Model Forecast (Yoshihisa Inada) A Survey of Flash Data and Nowcasting in Japan (Nariyasu Yamasawa) The Development of the Japanese CQM and Examples of Its Dynamic Applications (Yoshihisa Inada) Utilization and Precision of the US Current Quarter Model (Yuzo Kumasaka) Using the High-Frequency Forecast Method to Estimate Local Government GRP (Ryoh Ogawa) Nationwide Development of Preliminary Estimates of Local Government GRPs (Hajime Watabe) Readership: Advance postgraduates and researchers studying high frequency model forecasting. Keywords: Current Quarter Model;High Frequency Model;Lawrence R Klein;Gross Regional Products;ForecastingReview:0

Author : Ruey S. Tsay
Publisher : John Wiley & Sons
Page : 724 pages
File Size : 52,9 Mb
Release : 2010-08-30
Category : Mathematics
ISBN : 9780470414354

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Analysis of Financial Time Series by Ruey S. Tsay Pdf

This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: Analysis and application of univariate financial time series The return series of multiple assets Bayesian inference in finance methods Key features of the new edition include additional coverage of modern day topics such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smooth transition from S-Plus to R; and expanded empirical financial data sets. The overall objective of the book is to provide some knowledge of financial time series, introduce some statistical tools useful for analyzing these series and gain experience in financial applications of various econometric methods.

Author : Yacine Aït-Sahalia,Jean Jacod
Publisher : Princeton University Press
Page : 683 pages
File Size : 40,5 Mb
Release : 2014-07-21
Category : Business & Economics
ISBN : 9780691161433

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High-Frequency Financial Econometrics by Yacine Aït-Sahalia,Jean Jacod Pdf

A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.

Author : Anonim
Publisher : Elsevier
Page : 352 pages
File Size : 49,8 Mb
Release : 2020-01-25
Category : Mathematics
ISBN : 9780128202517

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Financial, Macro and Micro Econometrics Using R by Anonim Pdf

Financial, Macro and Micro Econometrics Using R, Volume 42, provides state-of-the-art information on important topics in econometrics, including multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, financial market jumps and co-jumps, among other topics. Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society Includes descriptions and links to resources and free open source R Gives readers what they need to jumpstart their understanding on the state-of-the-art

Author : Luc Bauwens,Winfried Pohlmeier,David Veredas
Publisher : Springer Science & Business Media
Page : 312 pages
File Size : 51,9 Mb
Release : 2007-12-31
Category : Business & Economics
ISBN : 9783790819922

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High Frequency Financial Econometrics by Luc Bauwens,Winfried Pohlmeier,David Veredas Pdf

Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.

Author : Pauly Peter
Publisher : World Scientific
Page : 344 pages
File Size : 41,7 Mb
Release : 2018-04-24
Category : Business & Economics
ISBN : 9789813220454

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Global Economic Modeling by Pauly Peter Pdf

Global econometric models have a long history. From the early 1970s to the present, as modeling techniques have advanced, different modeling paradigms have emerged and been used to support national and international policy making. One purpose of this volume -- based on a conference in recognition of the seminal impact of Nobel Prize winner in Economic Sciences Lawrence R Klein, whose pioneering work has spawned the field of international econometric modeling -- is to survey these developments from today's perspective. A second objective of the volume is to shed light on the wide range of attempts to broaden the scope of modeling on an international scale. Beyond new developments in traditional areas of the trade and financial flows, the volume reviews new approaches to the modeling of linkages between macroeconomic activity and individual economic units, new research on the analysis of trends in income distribution and economic wellbeing on a global scale, and innovative ideas about modeling the interactions between economic development and the environment. With the expansion of elaborated economic linkages, this volume makes an important contribution to the evolving literature of global econometric models.

Author : Norman R. Swanson,Xiye Yang
Publisher : MDPI
Page : 196 pages
File Size : 45,8 Mb
Release : 2021-08-31
Category : Business & Economics
ISBN : 9783036508528

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Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data by Norman R. Swanson,Xiye Yang Pdf

Recently, considerable attention has been placed on the development and application of tools useful for the analysis of the high-dimensional and/or high-frequency datasets that now dominate the landscape. The purpose of this Special Issue is to collect both methodological and empirical papers that develop and utilize state-of-the-art econometric techniques for the analysis of such data.

Author : Michael P. Clements,David F. Hendry
Publisher : Oxford University Press
Page : 744 pages
File Size : 54,9 Mb
Release : 2011-06-29
Category : Business & Economics
ISBN : 0199875510

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The Oxford Handbook of Economic Forecasting by Michael P. Clements,David F. Hendry Pdf

This Handbook provides up-to-date coverage of both new and well-established fields in the sphere of economic forecasting. The chapters are written by world experts in their respective fields, and provide authoritative yet accessible accounts of the key concepts, subject matter, and techniques in a number of diverse but related areas. It covers the ways in which the availability of ever more plentiful data and computational power have been used in forecasting, in terms of the frequency of observations, the number of variables, and the use of multiple data vintages. Greater data availability has been coupled with developments in statistical theory and economic analysis to allow more elaborate and complicated models to be entertained; the volume provides explanations and critiques of these developments. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models, as well as models for handling data observed at mixed frequencies, high-frequency data, multiple data vintages, methods for forecasting when there are structural breaks, and how breaks might be forecast. Also covered are areas which are less commonly associated with economic forecasting, such as climate change, health economics, long-horizon growth forecasting, and political elections. Econometric forecasting has important contributions to make in these areas along with how their developments inform the mainstream.

Author : Eric Ghysels,Massimiliano Marcellino
Publisher : Oxford University Press
Page : 608 pages
File Size : 49,9 Mb
Release : 2018-03-23
Category : Business & Economics
ISBN : 9780190622022

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Applied Economic Forecasting using Time Series Methods by Eric Ghysels,Massimiliano Marcellino Pdf

Economic forecasting is a key ingredient of decision making both in the public and in the private sector. Because economic outcomes are the result of a vast, complex, dynamic and stochastic system, forecasting is very difficult and forecast errors are unavoidable. Because forecast precision and reliability can be enhanced by the use of proper econometric models and methods, this innovative book provides an overview of both theory and applications. Undergraduate and graduate students learning basic and advanced forecasting techniques will be able to build from strong foundations, and researchers in public and private institutions will have access to the most recent tools and insights. Readers will gain from the frequent examples that enhance understanding of how to apply techniques, first by using stylized settings and then by real data applications--focusing on macroeconomic and financial topics. This is first and foremost a book aimed at applying time series methods to solve real-world forecasting problems. Applied Economic Forecasting using Time Series Methods starts with a brief review of basic regression analysis with a focus on specific regression topics relevant for forecasting, such as model specification errors, dynamic models and their predictive properties as well as forecast evaluation and combination. Several chapters cover univariate time series models, vector autoregressive models, cointegration and error correction models, and Bayesian methods for estimating vector autoregressive models. A collection of special topics chapters study Threshold and Smooth Transition Autoregressive (TAR and STAR) models, Markov switching regime models, state space models and the Kalman filter, mixed frequency data models, nowcasting, forecasting using large datasets and, finally, volatility models. There are plenty of practical applications in the book and both EViews and R code are available online at authors' website.

Author : Lawrence Robert Klein
Publisher : Edward Elgar Publishing
Page : 400 pages
File Size : 51,8 Mb
Release : 2009-01-01
Category : Business & Economics
ISBN : 9781849802161

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The Making of National Economic Forecasts by Lawrence Robert Klein Pdf

In this valuable volume, Nobel Prize-winner Klein gathers together a group of authors who focus on forecasting models for a number of economies. The variety of the models and the structural differences among them are especially interesting. . . Readers interested in forecasting methodologies will find much of value in this volume. Highly recommended. I. Walter, Choice This important book, prepared under the direction of Nobel Laureate Lawrence R. Klein, shows how economic forecasts are made. It explains how modern developments in information technology have made it possible to forecast frequently at least monthly but also weekly or bi-weekly depending upon the perceived needs of potential forecast users and also on the availability of updated material. The book focuses on forecasts in a diverse range of economies including the United States, China, India, Russia, Germany, Japan, South Korea, and Turkey. At a time of great economic uncertainty, this book makes an important contribution by showing how new information technology can be used to prepare national economic forecasts.

Author : Hrishikesh D. Vinod
Publisher : North Holland
Page : 350 pages
File Size : 49,8 Mb
Release : 2020-01-24
Category : Electronic
ISBN : 9780128202500

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Financial, Macro and Micro Econometrics Using R by Hrishikesh D. Vinod Pdf

Financial, Macro and Micro Econometrics Using R, Volume 42, provides state-of-the-art information on important topics in econometrics, including multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, financial market jumps and co-jumps, among other topics. Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society Includes descriptions and links to resources and free open source R Gives readers what they need to jumpstart their understanding on the state-of-the-art