Forecasting Economic Time Series Using Locally Stationary Processes: A New Approach with Applications by Stahlecker, Peter

Forecasting Economic Time Series Using Locally Stationary Processes: A New Approach with Applications (Hardcover) (ISBN-13: 9783631621875)

Vendor: Peter Stahlecker
Product type: Books
Format: Hardcover
$53.95
$53.95
$53.95
Subtotal: $53.95
Forecasting Economic Time Series Using Locally Stationary Processes: A New Approach with Applications by Stahlecker, Peter

Forecasting Economic Time Series Using Locally Stationary Processes: A New Approach with Applications

$53.95
Forecasting Economic Time Series Using Locally Stationary Processes: A New Approach with Applications by Stahlecker, Peter

Forecasting Economic Time Series Using Locally Stationary Processes: A New Approach with Applications

$53.95
Format: Hardcover
Description
Description
x
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.

Author: Peter Stahlecker,Tina Loll
ISBN-10: 3631621876
ISBN-13: 9783631621875
Publisher: Peter Lang Gmbh, Internationaler Verlag Der W
Language: English
Published: 01/19/2012
Pages: 138
Format: Hardcover
By Peter Stahlecker
By Peter Stahlecker
x
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.

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