Time Series Models
In Econometrics, Finance and Other Fields
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Time Series Models by D. R. Cox
Book DescriptionThe 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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Book DetailsISBN: 9780412729300
(279mm x 216mm x 17mm)
Imprint: Chapman & Hall/CRC
Publisher: Taylor & Francis Ltd
Publish Date: 1-Jan-1996
Country of Publication: United States
Books By Author D. R. Cox
Case-Control Studies, Hardback (March 2014)
Covers the fundamentals of case-control studies including important recent developments, with a focus on statistical analysis.
Principles of Applied Statistics, Paperback (July 2011)
Cox and Donnelly lay out the concrete, usable principles that underpin the successful application of statistics.
Principles of Statistical Inference, Paperback (August 2006)
A comprehensive, balanced account of the theory of statistical inference, its main ideas and controversies.
Multivariate Dependencies, Hardback (March 1996)» View all books by D. R. Cox
This volume describes methods for the analysis of relations between a set of variables, with the emphasis mainly on observational studies in the social sciences. Also examined is the role of intermediate variables serving as responses to some variables and as explanatory to others.
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