Econometric Forecasting and High-Frequency Data Analysis
R. Mariano, Y. Tse, ECONOMETRIC FORECASTING AND HIGH-FREQUENCY DATA ANALYSIS, Vol. 13, World Scientific, 2008
1 Pages Posted: 9 Sep 2009
Date Written: March 4, 2008
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.
Keywords: Econometric Forecasting, High-Frequency Data, Time Series, Seasonality, Compound Autoregressive Processes, Affine Processes, Macroeconomic Modeling, Evaluating Forecast Uncertainty, Financial Data Analysis
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