Introduction to Topics in Modelling Financial and Macroeconomic Time Series

VRIJE UNIVERSITEIT Topics in Forecasting Macroeconomic Time Series

Acknowledgements The latest three years have been intellectually challenging and great fun. Completing the PhD and writing this thesis was an amazing journey that would not have been possible without the support and encouragement of many outstanding people. First and foremost I would like to express my special appreciation and thanks to my supervisors, Prof. Siem Jan Koopman and Francisco Blasq...

Modelling and Prediction of Financial Time Series

We consider statistical aspects of the modelling and prediction theory of time series in one and many dimensions. We discuss Lévy-based and general models, and the stationary and non-stationary cases. Our starting point is the recent pair of surveys, Szegö’s theorem and its probabilistic descendants and Multivariate prediction and matrix Szegö theory, by this author.

Modelling Financial Time Series with S-PLUS

Introduction to topics on preference modelling

Modelling Financial Time series using Grammatical Evolution

The traditional models of price, and its statistical signatures are often based on limiting assumptions, such as linearity. Moreover, the model developer is faced with the model selection problem, and model uncertainty. In this paper we introduce a method based on Grammatical Evolution (GE) to evolve models for predicting financial returns, and we examine the profitability of these models. Our ...