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

See all articles by Roberto S. Mariano

Roberto S. Mariano

Singapore Management University

Yiu Kuen Tse

Singapore Management University - School of Social Sciences

Date Written: March 4, 2008

Abstract

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

Suggested Citation

Mariano, Roberto S. and Tse, Yiu Kuen, Econometric Forecasting and High-Frequency Data Analysis (March 4, 2008). R. Mariano, Y. Tse, ECONOMETRIC FORECASTING AND HIGH-FREQUENCY DATA ANALYSIS, Vol. 13, World Scientific, 2008. Available at SSRN: https://ssrn.com/abstract=1469790

Roberto S. Mariano

Singapore Management University ( email )

50 Stamford Rd.
Singapore 912409, 178899
Singapore

Yiu Kuen Tse (Contact Author)

Singapore Management University - School of Social Sciences ( email )

469 Bukit Timah Road
Federal Building #02-05
Singapore, 259756
Singapore
+65 822-0257 (Phone)
+65 822-8081 (Fax)

HOME PAGE: http://staff.mysmu.edu/yktse/yktsehp.htm

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