Time Series in Economics and Finance

Cipra, Tomas

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.

Details

Published by: Springer

Publication Date: 2020-09-01

Format: Hardcover

ISBN-13: 9783030463465

DOI: 10.1007/978-3-030-46347-2

Dimensions: 235cm x155cm

Pages: 410