Time Series in Economics and Finance

ISBN-13: 9783030463496 / Angielski / Miękka / 2021 / 422 str.

Tomas Cipra

Spis treści

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.

O autorze

Tomas Cipra is a Professor at the Department of Probability and Mathematical Statistics at the Charles University in Prague, Czech Republic, and an external lecturer at the University of Economics in Prague. He teaches econometrics, time series analysis and financial and insurance mathematics. He has authored 16 monographs and more than 150 publications, including a book on financial and insurance formulas, published by Springer. He is a member of the approbation commission of the Czech Society of Actuaries.

Blurb

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.