Forecasting in Financial and Sports Gambling Markets: Adaptive Drift Modeling
List Price: $94.95
List Price: $94.95
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This book discusses cointegrated time series associated with financial and sports gambling markets are analyzed in terms of time-varying parameter models. Modeling premises are that present and past disequilibria—shocks both within and between time series—may affect subsequent changes and rates of these changes within individual series and sufficiently large shocks may disrupt/alter model structure such that resulting forecasts may be temporarily unreliable. Reduced forecasting equations are in terms of higher order ARMA models that are not limited to bilinear processes. Sports
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