Time series in economics and finance

Time series in economics and finance / Tomas Cipra.

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...

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Bibliographic Details
Main Author: Cipra, Tomas (Author)
Format: eBook
Language:English
Published: Cham, Switzerland : Springer, [2020]
Subjects:
Time-series analysis.
Finance > Statistical methods.
Business mathematics.
Statistics.
Econometrics.
Economics, Mathematical.
Financial engineering.
statistics.
Finance & accounting.
Finance.
Probability & statistics.
Business & Economics > Econometrics.
Mathematics > Applied.
Business & Economics > Statistics.
Economía financiera > Métodos estadísticos
Análisis de series temporales
Business mathematics
Econometrics
Economics, Mathematical
Finance > Statistical methods
Financial engineering
Statistics
Time-series analysis
Electronic books.
Online Access:Click for online access
Table of Contents:
  • 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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