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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| Format: | eBook |
| Language: | English |
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Cham
Springer International Publishing
2020, 2020
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| Edition: | 1st ed. 2020 |
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| 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