Handbook of Economic Forecasting SET 2A-2B, Volume 2A & 2B by Graham Elliott and Allan Timmermann
English | 2013 | ISBN: 0444627324 | ISBN-13: 9780444627322 , 9780444536839 | 1016 pages | PDF | 18,8 MB

The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting.

Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues.

Contents

Copyright

Dedication

Introduction to the Series

Contributors

Section I: Macro Forecasting

Chapter 1 - Forecasting Inflation

Chapter 2 - DSGE Model-Based Forecasting

Chapter 3 - Forecasting Output

Chapter 4 - Now-Casting and the Real-Time Data Flow

Chapter 5 - Forecasting and Policy Making

Section II: Forecasting Financial Variables

Chapter 6 - Forecasting Stock Returns

Chapter 7 - Forecasting Interest Rates

Chapter 8 - Forecasting the Price of Oil

Chapter 9 - Forecasting Real Estate Prices

Chapter 10 - Forecasting with Option-Implied Information

Chapter 11 - Prediction Markets for Economic Forecasting

Section III: Forecasters' Objectives

Chapter 12 - Forecasters’ Objectives and Strategies

Chapter 13 - Forecasting Exchange Rates: an Investor Perspective

Section IV: Methodology

Chapter 14 - Variable Selection in Predictive Regressions

Chapter 15 - Forecasting with Bayesian Vector Autoregression

Chapter 16 - Copula Methods for Forecasting Multivariate Time Series

Chapter 17 - Quantile Prediction

Chapter 18 - Panel Data Forecasting

Chapter 19 - Forecasting Binary Outcomes

Chapter 20 - Advances in Forecast Evaluation

Chapter 21 - Advances in Forecasting under Instability

Index