Time Series in Economics and Finance

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...

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Main Author: Cipra, Tomas
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Cham Springer International Publishing 2020, 2020
Edition:1st ed. 2020
Subjects:
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • 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