Overview
- Discusses the main methods, simple and complex alike, for the economic and financial time series that are used in practice
- Covers topics like risk measures, extreme value theory, stochastic analysis, and others not typically covered in time series monographs
- Includes numerous examples using real-world data to illustrate the presented methods
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Table of contents (14 chapters)
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Front Matter
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Subject of Time Series
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Front Matter
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Decomposition of Economic Time Series
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Front Matter
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Autocorrelation Methods for Univariate Time Series
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Front Matter
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Financial Time Series
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Front Matter
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Multivariate Time Series
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Front Matter
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Keywords
- time series
- financial time series
- economic time series
- decomposition methods
- autocorrelation methods
- multivariate time series
- dynamic models in econometrics
- financial econometrics
- time series predictions
- trend
- seasonality and prediction
- Box-Jenkins methodology
- volatility
- value at risk
- quantitative finance
About this book
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.
Authors and Affiliations
About the author
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.
Bibliographic Information
Book Title: Time Series in Economics and Finance
Authors: Tomas Cipra
DOI: https://doi.org/10.1007/978-3-030-46347-2
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer Nature Switzerland AG 2020
Hardcover ISBN: 978-3-030-46346-5Published: 01 September 2020
Softcover ISBN: 978-3-030-46349-6Published: 01 September 2021
eBook ISBN: 978-3-030-46347-2Published: 31 August 2020
Edition Number: 1
Number of Pages: IX, 410
Number of Illustrations: 79 b/w illustrations, 15 illustrations in colour
Topics: Statistics for Business, Management, Economics, Finance, Insurance, Econometrics, Quantitative Finance, Financial Engineering