Cantitate/Preț
Produs

Forecasting Economic Time Series Using Locally Stationary Processes: A New Approach with Applications: Volkswirtschaftliche Analysen, cartea 19

Autor Tina Loll
en Limba Engleză Hardback – 18 ian 2012
Stationarity has always played an important part in forecasting theory. However, some economic time series show time-varying autocovariances. The question arises whether forecasts can be improved using models that capture such a time-varying second-order structure. One possibility is given by autoregressive models with time-varying parameters. The author focuses on the development of a forecasting procedure for these processes and compares this approach to classical forecasting methods by means of Monte Carlo simulations. An evaluation of the proposed procedure is given by its application to futures prices and the Dow Jones index. The approach turns out to be superior to the classical methods if the sample sizes are large and the forecasting horizons do not range too far into the future.
Citește tot Restrânge

Din seria Volkswirtschaftliche Analysen

Preț: 27128 lei

Nou

Puncte Express: 407

Preț estimativ în valută:
5192 5412$ 4322£

Carte tipărită la comandă

Livrare economică 31 decembrie 24 - 06 ianuarie 25

Preluare comenzi: 021 569.72.76

Specificații

ISBN-13: 9783631621875
ISBN-10: 3631621876
Pagini: 138
Dimensiuni: 154 x 219 x 17 mm
Greutate: 0 kg
Ediția:Nouă
Editura: Peter Lang Gmbh, Internationaler Verlag Der W
Seria Volkswirtschaftliche Analysen


Notă biografică

Tina Loll holds a Diploma in Civil Engineering from the University of Duisburg-Essen and a Diploma in Business Administration and Engineering from the University of Bochum. From 2007 to 2011 she worked as a research assistant at the Institute of Statistics and Econometrics of the University of Hamburg and received a Doctor of Economics.

Cuprins

Contents: Forecasting ¿ Locally stationary processes ¿ Time¿varying autoregression ¿ Semiparametric estimation ¿ Model selection ¿ Sieve estimator ¿ Futures prices ¿ Dow Jones index ¿ Gauss.