Essentials of time series for financial applications

MaRDI QIDQ4595036zbMATH OpenFDO

Authors Massimo Guidolin, Manuela Pedio

Publication date 27 November 2017

Full work available at URL https://www.sciencedirect.com/science/book/9780128134092

zbMATH Keywords

Jarque-Beravector error-correction modelVECH-GARCHVARMAunit rootSchwarzregime-switchingQ-statisticsmultivariate VARMA modelsMarkov chainLjung-Boxlinear regressionAkaikeinformation criterionimpulse-responseheteroskedasticityHannan-QuinnGranger causalityfinancial time seriesDurbin-WatsoncointegrationBox-Pierceaugmented Dickey-Fuller

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cited in

(4)

• scientific article; zbMATH DE number 1996071 (Why is no real title available?)
• Time Series
• Run length distribution for a modified EWMA scheme fitted with a stationary AR(p) model
• Modelling large dimensional datasets with Markov switching factor models

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Uses Software

• EViews

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