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Time Series in Economics and Finance
~
Cipra, Tomas.
Time Series in Economics and Finance
紀錄類型:
書目-語言資料,印刷品 : Monograph/item
正題名/作者:
Time Series in Economics and Finance/ by Tomas Cipra.
作者:
Cipra, Tomas.
面頁冊數:
IX, 410 p. 94 illus., 15 illus. in color.online resource. :
Contained By:
Springer Nature eBook
標題:
Financial Engineering. -
電子資源:
https://doi.org/10.1007/978-3-030-46347-2
ISBN:
9783030463472
Time Series in Economics and Finance
Cipra, Tomas.
Time Series in Economics and Finance
[electronic resource] /by Tomas Cipra. - 1st ed. 2020. - IX, 410 p. 94 illus., 15 illus. in color.online resource.
1. Introduction -- I. Subject of Time Series -- 2. Random Processes -- II. Decomposition of Economic Time Series -- 3. Trend -- 4. Seasonality and Periodicity -- 5. Residual Component -- III. Autocorrelation Methods for Univariate Time Series -- 6. Box-Jenkins Methodology -- 7. Autocorrelation Methods in Regression Models -- IV. Financial Time Series -- 8. Volatility of Financial Time Series -- 9. Other Methods for Financial Time Series -- 10. Models of Development of Financial Assets -- 11. Value at Risk -- V. Multivariate Time Series -- 12. Methods for Multivariate Time Series -- 13. Multivariate Volatility Modeling -- 14. State Space Models of Time Series -- References -- Index.
This book presents the principles and methods for the practical analysis and prediction of economic and financial time series. It covers decomposition methods, autocorrelation methods for univariate time series, volatility and duration modeling for financial time series, and multivariate time series methods, such as cointegration and recursive state space modeling. It also includes numerous practical examples to demonstrate the theory using real-world data, as well as exercises at the end of each chapter to aid understanding. This book serves as a reference text for researchers, students and practitioners interested in time series, and can also be used for university courses on econometrics or computational finance.
ISBN: 9783030463472
Standard No.: 10.1007/978-3-030-46347-2doiSubjects--Topical Terms:
1107684
Financial Engineering.
LC Class. No.: QA276-280
Dewey Class. No.: 330.015195
Time Series in Economics and Finance
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1. Introduction -- I. Subject of Time Series -- 2. Random Processes -- II. Decomposition of Economic Time Series -- 3. Trend -- 4. Seasonality and Periodicity -- 5. Residual Component -- III. Autocorrelation Methods for Univariate Time Series -- 6. Box-Jenkins Methodology -- 7. Autocorrelation Methods in Regression Models -- IV. Financial Time Series -- 8. Volatility of Financial Time Series -- 9. Other Methods for Financial Time Series -- 10. Models of Development of Financial Assets -- 11. Value at Risk -- V. Multivariate Time Series -- 12. Methods for Multivariate Time Series -- 13. Multivariate Volatility Modeling -- 14. State Space Models of Time Series -- References -- Index.
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