Essentials of time series for financial applications

Massimo Guidolin (Professor of finance, Bocconi University and research fellow, BAFFi-CAREFIN Centre), Manuela Pedio (Teaching fellow, Bocconi University and fellow, BAFFI-CAREFIN Centre)

Intro; Title page; Table of Contents; Copyright; List of Figures; List of Tables; Preface; Chapter 1. Linear Regression Model; Abstract; 1.1 Inference in Linear Regression Models; 1.2 Testing for Violations of the Linear Regression Framework; 1.3 Specifying the Regressors; 1.4 Issues With Heteroskedasticity and Autoc14orrelation of the Errors; 1.5 The Interpretation of Regression Results; References; Appendix 1.A; Appendix 1.B Principal Component Analysis; Chapter 2. Autoregressive Moving Average (ARMA) Models and Their Practical Applications; Abstract

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Alternative title:	Time series for financial applications
Year of publication:	[2018]
Authors:	Guidolin, Massimo ; Pedio, Manuela
Publisher:	London : Academic Press, an imprint of Elsevier
Subject:	Zeitreihenanalyse \| Time series analysis \| Finanzmathematik \| Mathematical finance \| Statistische Methode \| Statistical method \| Finanzmarktökonometrie \| Financial econometrics \| Prognoseverfahren \| Forecasting model \| Theorie \| Theory \| Ökonometrie \| Vektor-autoregressives Modell \| GARCH-Prozess \| Hidden-Markov-Modell
Description of contents:	Table of Contents [gbv.de] ; Description [zbmath.org]