Applied Time Series Modelling and Forecasting

Rating:
Summary: Petition: info about authors
Review: Please provide brief bios of these two authors.

Rating:
Summary: Main Focus on cointegration + use of PcGive & G@RCH
Review: This book is mainly focused on cointegration(the title is quite misleading). The treatment is nice and NOT superficial. Every chapter deals (in)directly with cointegration, except the last one on GARCH models. There is even a chapter on panel data models and cointegration. Do NOT buy the book to get an extensive treatment of "time series modelling and forecasting" techniques. This book is useful if you need to apply cointegration in your work. This book should not be given to students as an introductory book on "time-series modelling and forecasting". Chris Brooks' Introductory Econometrics for Finance is much better for that purpose. Finally, a nice feature of the book is the use of PcGive and G@ARCH Ox packages.

Information on one of the two authors.

http://www.dur.ac.uk/robert.sollis/

Supplementary materials.

http://www.wiley.co.uk/harris/supp.html