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Time series in economics and finance [Documento eletrónico] / by Tomas Cipra

Main Author: Cipra, TomasLanguage: eng.Country: Switzerland, Swiss Confederation.Publication: Cham : Springer International Publishing, Springer, 2020Description: IX, 410 p. : il.ISBN: 978-3-030-46347-2.Subject - Topical Name: Statistics | Econometrics | Social sciences -- Mathematics | Financial engineering Online Resources:Click here to access online

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Item type	Current library	Collection	Call number	Copy number	Status	Date due	Barcode
E-Books	Biblioteca NOVA FCT Online	Não Ficção	QA276.SPR FCT (Browse shelf(Opens below))	1	Available		95858

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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.

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