ENGLISH

Time Series in Economics and Finance

By Tomas Cipra

Book information

Publisher
Springer
Year
2020
ISBN
303046346X, 9783030463465
Language
english
Format
PDF
Filesize
3 MB (2733538 bytes)
Edition
1st ed. 2020
Pages
419\409
Time added
2023-07-24 05:22:54

Description

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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