
Essentials of Time Series for Financial Applications
Description
Key Features
- 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)
Readership
MSc. students in Finance, Quantitative Methods (who specialize in finance), Mathematical Finance, and Engineering. Ph.D. students who need an introductory back-up to applied courses (such as Financial Econometrics graduate courses). Practitioners in derivative pricing, trading, and quantitative strategies. Asset managers, risk managers, and research analysts who focus on forecasting market quantities
Table of Contents
1. Review of Key Concepts and Methods in Econometrics: Regressions Analysis
2. Autoregressive-Moving Average (ARMA) Models and their Practical Applications.
3. Vector Autoregressive Moving Average (VARMA) Models
4. Unit Roots and Cointegration Methods
5. Univariate Single-Factor Stochastic Volatility Models: Autoregressive Conditional Heteroskedasticity(ARCH and GARCH)
6. Multivariate ARCH and GARCH and Dynamic Conditional Correlation Models
7. Multi-Factor Volatility Models: Stochastic Volatility
8. Models with Breaks, Recurrent Regime Switching, and Non-Linearities
9. Markov Switching Models
10. Realized Volatility and Covariance
Product details
- No. of pages: 434
- Language: English
- Copyright: © Academic Press 2018
- Published: May 29, 2018
- Imprint: Academic Press
- Paperback ISBN: 9780128134092
- eBook ISBN: 9780128134108
About the Authors
Massimo Guidolin
Affiliations and Expertise
Manuela Pedio
Affiliations and Expertise
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