Essentials of time series for financial applications

zbMATH Open1418.62005MaRDI QIDQ4595036FDOQ4595036

Authors Massimo Guidolin, Manuela Pedio 

Publication date 27 November 2017

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

zbMATH Keywords

Markov chainheteroskedasticityregime-switchinglinear regressioncointegrationfinancial time seriesGranger causalityinformation criterionunit rootVARMAimpulse-responseBox-PierceLjung-BoxAkaikeSchwarzvector error-correction modelDurbin-Watsonaugmented Dickey-FullerHannan-QuinnJarque-Beramultivariate VARMA modelsQ-statisticsVECH-GARCH

Mathematics Subject Classification ID

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

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Cited in

(3)

• 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

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