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Applied Econometric Time Series
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by
Walter Enders
Amstat News asked three review editors to rate their top five favorite books in the September 2003 issue. The first edition of Applied Econometric Time Series was among those chosen. This new edition reflects recent advances in time--series econometrics, such as out--of--sample forecasting techniques, non--linear time--series models, Monte Carlo ...
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Time Series Analysis
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by
James Hamilton
The last decade has brought dramatic changes in the way that researchers analyze economic and financial time series. This book synthesizes these recent advances and makes them accessible to first-year graduate students. James Hamilton provides the first adequate text-book treatments of important innovations such as vector autoregressions, ...
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Analysis of Financial Time Series
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by
Ruey S Tsay
Fundamental topics and new methods in time series analysis Analysis of Financial Time Series provides a comprehensive and systematic introduction to financial econometric models and their application to modeling and prediction of financial time series data. It utilizes real--world examples and real financial data throughout the book to apply the ...
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Forecasting, Time Series, and Regression
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by
Bruce L Bowerman, Richard O'Connell, Anne Koehler
Provides both the conceptual development and practical motivation needed to implement forcasts effectively, demonstrating the necessity of using forecasts to make intelligent decisions in marketing, finance, personnel management, production, scheduling, process control and strategic management.
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Econometric Modelling of Financial Time Series
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by
Terence C Mills
This volume provides a detailed coverage of the variety of models that are currently in use for empirical analysis of financial markets. Covering bond equity and foreign exchange markets, it is aimed at scholars and practitioners wishing to acquire an understanding of the latest research techniques in the field.
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Time Series Analysis: Forecasting and Control
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by
George E. Box, Gwilym Jenkins
This is a revision of a classic, seminal, and authoritative book that has been the model for most books on the topic written since 1970. It focuses on practical techniques throughout, rather than a rigorous mathematical treatment of the subject. It explores the building of stochastic (statistical) models for time series and their use in important ...
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Introduction to Time Series and Forecasting
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Peter J Brockwell, P J Rockwell, Richard A Davis
Assuming only a knowledge of basic calculus and elementary linear algebra, this text is aimed at those wishing to gain a working knowledge of time series and forecasting methods as applied in economics, engineering and the natural and social sciences. The emphasis is on methods and the analysis of data sets. Accompanying the book is a copy of the ...
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Time Series: Theory and Methods
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by
Peter J Brockwell
Time Series: Theory and Methods is a systematic account of linear time series models and their application to the modelling and prediction of data collected sequentially in time. The aim is to provide specific techniques for handling data and at the same time to provide a thorough understanding of the mathematical basis for techniques. Both time ...
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The Econometric Analysis of Seasonal Time Series
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by
Eric Ghysels (Editor), Thomas J Sargent, Denise R Osborn
Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent developments in the econometric analysis of seasonal economic time series, summarizing a decade of theoretical advances in the area. The authors discuss the asymptotic distribution theory for linear nonstationary seasonal stochastic processes. They also cover the ...
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Time Series Analysis: Regression Techniques
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by
Charles W Ostrom
The great advantage of time series regression analysis is that it can both explain the past and predict the future behaviour of variables. This volume explores the regression (or structural equation) approach to the analysis of time series data. It also introduces the Box-Jenkins time series method in an attempt to partially bridge the gap between ...
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Time Series Analysis: With Applications in R
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by
Jonathan D Cryer
"Time Series Analysis With Applications in R, Second Edition", presents an accessible approach to understanding time series models and their applications. Although the emphasis is on time domain ARIMA models and their analysis, the new edition devotes two chapters to the frequency domain and three to time series regression models, models for ...
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Statistical Methods for Forecasting
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by
Bovas Abraham, Johannes Ledolter
"The Wiley-Interscience Paperback Series" consists of selected books that have been made more accessible to consumers in an effort to increase global appeal and general circulation. With these new unabridged softcover volumes, Wiley hopes to extend the lives of these works by making them available to future generations of statisticians, ...
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An Introduction to Time Series Analysis and Forecasting: With Applications of SAS(R) and SPSS(R)
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by
Robert Yaffee, Monnie McGee
Providing a clear explanation of the fundamental theory of time series analysis and forecasting, this book couples theory with applications of two popular statistical packages - SAS and SPSS. The text examines moving average, exponential smoothing, Census X-11 deseasonalization, ARIMA, intervention, transfer function, and autoregressive error ...
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The Analysis of Time Series: An Introduction, Sixth Edition
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by
Chris Chatfield
Since 1975, "The Analysis of Time Series: An Introduction" has introduced legions of statistics students and researchers to the theory and practice of time series analysis. With each successive edition, best-selling author Chris Chatfield has honed and refined his presentation, updated the material to reflect advances in the field, and presented ...
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Econometric Analysis of Count Data
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by
Rainer Winkelmann
The book provides graduate students and researchers with an up-to-date survey of statistical and econometric techniques for the analysis of count data, with a focus on conditional distribution models. Proper count data probability models allow for rich inferences, both with respect to the stochastic count process that generated the data, and with ...
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Introduction to Time Series Analysis and Forcasting
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by
Douglas C Montgomery, Cheryl L Jennings, Murat Kulahci
This is an accessible introduction to the most current thinking in and practicality of forecasting techniques in the context of time-oriented data. Analyzing time-oriented data and forecasting are among the most important problems that analysts face across many fields, ranging from finance and economics to production operations and the natural ...
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The Spectral Analysis of Time Series
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by
Lambert H Koopmans
To tailor time series models to a particular physical problem and to follow the working of various techniques for processing and analyzing data, one must understand the basic theory of frequency domain (spectral) analysis of time series. This book provides an introduction to the techniques and theories of spectral analysis of time series. With ...
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Extrapolation, interpolation, and smoothing of stationary time series, with engineering applications
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by
Norbert Wiener
An attempt to unite the theory and practice of time series in statistics and communication engineering/
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An Introduction to High-Frequency Finance
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by
Ramazan Gencay, Ramazan Gengay, Michel Dacorogna
Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by ...
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Time Series Analysis and Its Applications: With R Examples
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by
Robert H Shumway, David S Stoffer
"Time Series Analysis and Its Applications, Second Edition", presents a balanced and comprehensive treatment of both time and frequency domain methods with accompanying theory. Numerous examples using non-trivial data illustrate solutions to problems such as evaluating pain perception experiments using magnetic resonance imaging, monitoring a ...
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Essays in Econometrics: Collected Papers of Clive W. J. Granger
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Clive W J Granger, Eric Ghysels (Editor), Norman R Swanson (Editor)
This book, and its companion volume in the Econometric Society Monographs series (ESM number 33), present a collection of papers by Clive W. J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore ...
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Advances in Geophysics
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by
Renata Dmowska (Editor)
Advances in Geophysics Volume 45 presents two main topics of noted interest to the geophysical community. The first topic is ice particles in the atmosphere. Mathematical descriptions of ice particle shapes, their growth rates, and their influence on cloud development are presented. The second topic is earthquakes and seismological mapping. The ...
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Spectral analysis and its applications
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by
Gwilym M. Jenkins, Donald G. Watts
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Smoothing, Forecasting and Prediction of Discrete Time Series
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by
Robert Goodell Brown
Computer application techniques are applied to routine short-term forecasting and prediction in this classic of operations research. The text begins with a consideration of data sources and sampling intervals, progressing to discussions of time series models and probability models. An extensive overview of smoothing techniques surveys the ...
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Time Series Models: In Econometrics, Finance and Other Fields
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by
O E Barndorff-Nielsen (Editor), D R Cox (Editor), D V Hinkley (Editor)
The 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 ...
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