Essentials of Time Series for Financial Applications
eBook - ePub

Essentials of Time Series for Financial Applications

  1. 434 pages
  2. English
  3. ePUB (mobile friendly)
  4. Available on iOS & Android
eBook - ePub

Essentials of Time Series for Financial Applications

About this book

Essentials of Time Series for Financial Applications serves as an agile reference for upper level students and practitioners who desire a formal, easy-to-follow introduction to the most important time series methods applied in financial applications (pricing, asset management, quant strategies, and risk management). Real-life data and examples developed with EViews illustrate the links between the formal apparatus and the applications. The examples either directly exploit the tools that EViews makes available or use programs that by employing EViews implement specific topics or techniques. The book balances a formal framework with as few proofs as possible against many examples that support its central ideas. Boxes are used throughout to remind readers of technical aspects and definitions and to present examples in a compact fashion, with full details (workout files) available in an on-line appendix. The more advanced chapters provide discussion sections that refer to more advanced textbooks or detailed proofs. - Provides practical, hands-on examples in time-series econometrics - Presents a more application-oriented, less technical book on financial econometrics - Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction - Features examples worked out in EViews (9 or higher)

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Yes, you can access Essentials of Time Series for Financial Applications by Massimo Guidolin,Manuela Pedio in PDF and/or ePUB format, as well as other popular books in Economics & Forecasting. We have over one million books available in our catalogue for you to explore.

Information

Publisher
Academic Press
Year
2018
Print ISBN
9780128134092
eBook ISBN
9780128134108
Topic
Economics
Subtopic
Forecasting
Index
Economics

Table of contents

  1. Cover image
  2. Title page
  3. Table of Contents
  4. Copyright
  5. List of Figures
  6. List of Tables
  7. Preface
  8. Chapter 1. Linear Regression Model
  9. Chapter 2. Autoregressive Moving Average (ARMA) Models and Their Practical Applications
  10. Chapter 3. Vector Autoregressive Moving Average (VARMA) Models
  11. Chapter 4. Unit Roots and Cointegration
  12. Chapter 5. Single-Factor Conditionally Heteroskedastic Models, ARCH and GARCH
  13. Chapter 6. Multivariate GARCH and Conditional Correlation Models
  14. Chapter 7. Multifactor Heteroskedastic Models, Stoc60hastic Volatility
  15. Chapter 8. Models With Breaks, Recurrent Regime Switching, and Nonlinearities
  16. Chapter 9. Markov Switching Models
  17. Chapter 10. Realized Volatility and Covariance
  18. Appendix A. Mathematical and Statistical Appendix
  19. Index