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L'objectif de cet ouvrage collectif est de présenter un certain de nombre de travaux de recherche récents sur la prévision en finance et en macro-finance, en cherchant à les rendre accessibles au plus grand nombre par un effort de pédagogie. Ainsi, les différents chapitres de cet ouvrage sont organisés de manière similaire. Ils commencent par une revue de la littérature sur le sujet, puis les modèles économétriques utilisés sont exposés de façon didactique et enfin une application originale sur des données réelles est proposée. Les thèmes abordés portent sur les modèles de volatilité de type GARCH (modèles asymétriques, modèles à mémoire longue, estimation robuste) ou de volatilité stochastique, les modèles à mélange de fréquences, les modèles non linéaires à seuils et les copules dans un cadre multivarié. Ces modélisations sont illustrées, le plus souvent, sur des données boursières, de taux de change ou de taux d'intérêt. Enfin, des mesures d'évaluation des prévisions issues de ces différentes modélisations sont proposées à partir de la prévision de la trajectoire future ou bien de la prévision de la densité de distribution.

Cash flow --- Business forecasting --- Corporations - Finance --- Corporations

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Economic forecasting --- Business forecasting --- Prévision économique --- Prévision commerciale --- Methodology --- Méthodologie --- Prévision économique --- Prévision commerciale --- Méthodologie --- Business forecasting. --- Planning --- Prediction theory statistics --- Strategic business management

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Sales forecasting --- Inventories --- 519.8 --- Forecasting, Sales --- Sales --- Sales estimates --- Business forecasting --- Stock in trade --- Stock-taking --- Inventory control --- Operational research --- Forecasting --- 519.8 Operational research

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Planning (firm) --- Mathematical statistics --- Quantitative methods (economics) --- Economic forecasting --- Business forecasting --- Methodology --- 519.8 --- -658.012 --- 519.2 --- 330.115 --- Economics --- Forecasting --- Economic indicators --- Business --- Business forecasts --- Forecasting, Business --- Business cycles --- Operational research --- Planning in het bedrijf --- Wiskundige statistiek --- Kwantitatieve methoden (economie) --- Business forecasting. --- Economic forecasting. --- Methodology. --- 519.8 Operational research --- 658.012 --- Economic forecasting - Methodology

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[2nd ed.] "The econometric analysis of economic and business time series is a major field of research and application. The last few decades have witnessed an increasing interest in both theoretical and empirical developments in constructing time series models and in their important application in forecasting. This book aims at reviewing several important developments within the context of forecasting business and economic time series"-- [2nd ed.] "With a new author team contributing decades of practical experience, this fully updated and thoroughly classroom-tested second edition textbook prepares students and practitioners to create effective forecasting models and master the techniques of time series analysis. Taking a practical and example-driven approach, this textbook summarises the most critical decisions, techniques and steps involved in creating forecasting models for business and economics. Students are led through the process with an entirely new set of carefully developed theoretical and practical exercises. Chapters examine the key features of economic time series, univariate time series analysis, trends, seasonality, aberrant observations, conditional heteroskedasticity and ARCH models, non-linearity and multivariate time series, making this a complete practical guide. A companion website with downloadable datasets, exercises and lecture slides rounds out the full learning package"--

Quantitative methods (economics) --- Time-series analysis --- Social sciences --- Business forecasting --- Economic forecasting --- Statistical methods --- Sciences sociales --- Prévision économique --- Séries chronologiques --- Méthodes statistiques --- Modèles mathématiques --- Séries chronologiques. --- Méthodes statistiques. --- Modèles mathématiques. --- Social sciences - Statistical methods