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Catalogue Information
Field name	Details
Dewey Class	330.015195
Title	Time Series in Economics and Finance ([EBook]) / by Tomas Cipra.
Author	Cipra, Tomas
Other name(s)	SpringerLink (Online service)
Edition statement	1st ed. 2020.
Publication	Cham : : Springer International Publishing : : Imprint: Springer, , 2020.
Physical Details	IX, 410 p. 94 illus., 15 illus. in color. : online resource.
ISBN	9783030463472
Summary Note	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.:
Contents note	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.
Mode of acces to digital resource	Digital book. Cham Springer Nature 2020. - Mode of access: World Wide Web. System requirements: Internet Explorer 6.0 (or higher) or Firefox 2.0 (or higher). Available as searchable text in PDF format
System details note	- Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users).
Internet Site	https://doi.org/10.1007/978-3-030-46347-2
Links to Related Works	Subject References: Econometrics . Economics, Mathematical . Financial Engineering . Quantitative Finance . Statistics . Statistics for Business, Management, Economics, Finance, Insurance . Authors: author . Cipra, Tomas . Corporate Authors: SpringerLink (Online service) . Classification: 330.015195 . 330.015195 (DDC 23) .

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Time Series in Economics and Finance

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