Time Series in Economics and Finance

Tomas Cipra

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English

Springer Nature Switzerland AG
01 September 2021

Econometrics; Finance; Probability & statistics

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.

By: Tomas Cipra
Imprint: Springer Nature Switzerland AG
Country of Publication: Switzerland
Edition: 1st ed. 2020
Dimensions: Height: 235mm, Width: 155mm,
Weight: 640g
ISBN: 9783030463496
ISBN 10: 3030463494
Pages: 410
Publication Date: 01 September 2021
Audience: Professional and scholarly , Undergraduate
Format: Paperback
Publisher's Status: Active

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.