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Time series in economics and finance

Cipra, Tomas.

Time series in economics and finance

Record Type:	Electronic resources : Monograph/item
Title/Author:	Time series in economics and financeby Tomas Cipra.
Author:	Cipra, Tomas.
Published:	Cham :Springer International Publishing :2020.
Description:	ix, 410 p. :ill., digital ;24 cm.
Contained By:	Springer Nature eBook
Subject:	Time-series analysis.
Online resource:	https://doi.org/10.1007/978-3-030-46347-2
ISBN:	9783030463472$q(electronic bk.)

Time series in economics and finance
Cipra, Tomas.

Time series in economics and finance[electronic resource] /by Tomas Cipra. - Cham :Springer International Publishing :2020. - ix, 410 p. :ill., digital ;24 cm.

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$q(electronic bk.)

Standard No.: 10.1007/978-3-030-46347-2doiSubjects--Topical Terms:

181890
Time-series analysis.

LC Class. No.: HG176.5 / .C577 2020

Dewey Class. No.: 330.015195

Time series in economics and finance
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100 1 $a Cipra, Tomas. $3 485854
245 1 0 $a Time series in economics and finance $h [electronic resource] / $c by Tomas Cipra.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2020.
300 $a ix, 410 p. : $b ill., digital ; $c 24 cm.
505 0 $a 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.
520 $a 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.
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650 0 $a Finance $x Statistical methods. $3 240075
650 0 $a Business mathematics. $3 191036
650 0 $a Statistics. $3 182057
650 0 $a Econometrics. $3 182271
650 0 $a Economics, Mathematical. $3 182903
650 0 $a Financial engineering. $3 186184
650 1 4 $a Statistics for Business, Management, Economics, Finance, Insurance. $3 825914
650 2 4 $a Quantitative Finance. $3 274071
650 2 4 $a Financial Engineering. $3 744568
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950 $a Mathematics and Statistics (SpringerNature-11649)