Time Series in Economics and Finance
Buch in deiner Nähe kaufen
Beschreibung
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.
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.
Discusses the main methods, simple and complex alike, for the economic and financial time series that are used in practice Covers topics like risk measures, extreme value theory, stochastic analysis, and others not typically covered in time series monographs Includes numerous examples using real-world data to illustrate the presented methods
Autor*in
Tomas Cipra
Themen in »Time Series in Economics and Finance«
time series financial time series economic time series decomposition methods autocorrelation methods multivariate time series dynamic models in econometrics financial econometrics time series predictions trend seasonality and prediction Box-Jenkins methodology volatility value at risk quantitative finance