Time Series in Economics and Finance

Häftad, Engelska, 2021

Av Tomas Cipra

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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.

Produktinformation

Utgivningsdatum2021-09-01
Mått155 x 235 x 23 mm
Vikt633 g
FormatHäftad
SpråkEngelska
Antal sidor410
FörlagSpringer Nature Switzerland AG
ISBN9783030463496

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Tomas Cipra is a Professor at the Department of Probability and Mathematical Statistics at the Charles University in Prague, Czech Republic, and an external lecturer at the University of Economics in Prague. He teaches econometrics, time series analysis and financial and insurance mathematics. He has authored 16 monographs and more than 150 publications, including a book on financial and insurance formulas, published by Springer. He is a member of the approbation commission of the Czech Society of Actuaries.

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.