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Time series in economics and finance

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...

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Detalles Bibliográficos
Autor principal: Cipra, Tomas
Lenguaje:eng
Publicado: Springer 2020
Materias:
Acceso en línea:https://dx.doi.org/10.1007/978-3-030-46347-2
http://cds.cern.ch/record/2729492
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author Cipra, Tomas
author_facet Cipra, Tomas
author_sort Cipra, Tomas
collection CERN
description 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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spelling cern-27294922021-04-21T18:05:08Zdoi:10.1007/978-3-030-46347-2http://cds.cern.ch/record/2729492engCipra, TomasTime series in economics and financeMathematical Physics and MathematicsThis 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.Springeroai:cds.cern.ch:27294922020
spellingShingle Mathematical Physics and Mathematics
Cipra, Tomas
Time series in economics and finance
title Time series in economics and finance
title_full Time series in economics and finance
title_fullStr Time series in economics and finance
title_full_unstemmed Time series in economics and finance
title_short Time series in economics and finance
title_sort time series in economics and finance
topic Mathematical Physics and Mathematics
url https://dx.doi.org/10.1007/978-3-030-46347-2
http://cds.cern.ch/record/2729492
work_keys_str_mv AT cipratomas timeseriesineconomicsandfinance