Essentials of Time Series for Financial Applications

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. Each chapter closes with a discussion section that refers to more advanced textbooks or detailed proofs. Provides practical, hands-on examples in time-series econometricsIncludes more application-oriented and less technical than other books on financial econometricsOffers rigorous coverage, including technical aspects and references for the proofs, despite being an introductionFeatures examples worked out in EViews (9 or higher) INDICE: 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. Single-Factor Volatility Models: Autoregressive Conditional Heteroskedasticity (ARCH and GARCH) 6. Multi-Factor Volatility Models: Stochastic Volatility 7. Realized Volatility and Covariance 8. Models with Structural, Non-Recurrent Shifts in Conditional Means (Breaks) 9. Models with Recurrent Shifts in: Regime (Markov) Switching Models

• ISBN: 978-0-12-813409-2
• Editorial: Academic Press
• Encuadernacion: Rústica
• Páginas: 400
• Fecha Publicación: 01/05/2018
• Nº Volúmenes: 1
• Idioma: Inglés