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Time Series in Economics and Finance
Hardcover
Business GeneralEconomicsGeneral Mathematics
ISBN13: 9783030463465
Publisher: Springer Nature
Published: Sep 1 2020
Pages: 410
Weight: 1.69
Height: 0.94 Width: 6.14 Depth: 9.21
Language: English
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.
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