7 Chapter 2 What is a time series? Most data in macroeconomics and finance come in the form of time series–a set of repeated observations of the same variable, such as GNP or a stock return. We can write a time series as {x1, x2, . . . xT } or {xt}, t = 1, 2, . . ...
macroeconomicsseriesfinancespectralwoldtime TimeSeriesforMacroeconomicsandFinance JohnH.Cochrane 1 GraduateSchoolofBusiness UniversityofChicago 5807S.Woodlawn. ChicagoIL60637 (773)702-3059 john.cochrane@gsb.uchicago.edu Spring1997;PicturesaddedJan2005 1 IthankGiorgioDeSantisformanyusefulcommentsonthismanuscript....
Finance Applications of time series in finance and macroeconomics TEXAS A&M UNIVERSITY Dennis W. Jansen Ibarra RamirezRaulThis dissertation contains three applications of time series in finance and macroeconomics. The first essay compares the cumulative returns for stocks and bonds at investment horizons...
列分析︰總體經濟與財務金融 之應用 Applied Time-Series Econometrics for Macroeconomics and Finance,臺北:東華書局 Taipei: Tung Hua Book Company.(in ... 李源明 - 《財金系》 被引量: 6发表: 2013年 Introduction to the Special Issue "High-Dimensional Time Series in Macroeconomics and Finance"...
Economics, Econometrics and FinanceDiscover other topics On this page Definition Chapters and Articles Related Terms Recommended Publications Featured Authors Chapters and Articles You might find these chapters and articles relevant to this topic. Time Series: General David R. Brillinger, in International...
Data in economics are frequently collected in form of time series. A time series is a set of observations ordered in time and dependent of each other. We may find time series data in a wide variety of fields: macroeconomics, finance, demographics, etc. The intrinsic nature of a time series...
Nonlinear prediction of time series can offer potential accuracy gains over linear methods when the process is nonlinear. As there are numerous examples of nonlinearity in time series data (e.g., finance, macroeconomics, image, and speech processing), there seems to be merit in developing a gene...
The Long Range Dependence Paradigm for Macroeconomics and Finance This is mainly due to the fact that it naturally characterizes time series displaying a high degree of persistence, in the form of a long lasting ... MHP Zaffaroni - 《Social Science Electronic Publishing》 被引量: 68发表: 2011...
Analysis of Financial Time Series, 3rd Edition 来自 eu.wiley.com 喜欢 0 阅读量: 1638 作者: RS Tsay 摘要: 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. ...
(FDI) have been considered in the model. The paper used time series data covering the period from 1980 to 2013 as well as time series methods for the econometric analyses. The results show that there exists a long term relationship between all the variables; the independent variables affects ...