Time Series in Economics and Finance

By Tomas Cipra

Book Overview

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.

• Format: Paperback
• Language: English
• ISBN: 3030463494
• ISBN13: 9783030463496
• Release Date: September 2021
• Publisher: Springer
• Length: 410 Pages
• Weight: 1.30 lbs.
• Dimensions: 0.9" x 6.1" x 9.2"