| Verfasst von: | Guidolin, Massimo [VerfasserIn]  |
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| | Pedio, Manuela [VerfasserIn] |
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| Titel: | Essentials of time series for financial applications |
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| Verf.angabe: | Massimo Guidolin (Professor of finance, Bocconi University and research fellow, BAFFi-CAREFIN Centre), Manuela Pedio (Teaching fellow, Bocconi University and fellow, BAFFI-CAREFIN Centre) |
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| Verlagsort: | London ; San Diego, CA ; Cambridge, MA ; Kidlington, Oxford |
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| Verlag: | Academic Press, an imprint of Elsevier |
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| E-Jahr: | 2018 |
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| Jahr: | [2018] |
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| Umfang: | xvi, 417 Seiten |
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| Illustrationen: | Illustrationen, Diagramme |
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| Fussnoten: | Includes index ; Literaturangaben |
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| ISBN: | 978-0-12-813409-2 |
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| Abstract: | 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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| | 2.1 Essential Concepts in Time Series Analysis2.2 Moving Average and Autoregressive Processes; 2.3 Selection and Estimation of AR, MA, and ARMA Models; 2.4 Forecasting ARMA Processes; References; Appendix 2.A; Chapter 3. Vector Autoregressive Moving Average (VARMA) Models; Abstract; 3.1 Foundations of Multivariate Time Series Analysis; 3.2 Introduction to Vector Autoregressive Analysis; 3.3 Structural Analysis With Vector Autoregressive Models; 3.4 Vector Moving Average and Vector Autoregressive Moving Average Models; References; Chapter 4. Unit Roots and Cointegration; Abstract |
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| | 4.1 Defining Unit Root Processes4.2 The Spurious Regression Problem; 4.3 Unit Root Tests; 4.4 Cointegration and Error-Correction Models; References; Chapter 5. Single-Factor Conditionally Heteroskedastic Models, ARCH and GARCH; Abstract; 5.1 Stylized Facts and Preliminaries; 5.2 Simple Univariate Parametric Models; 5.3 Advanced Univariate Volatility Modeling; 5.4 Testing for ARCH; 5.5 Forecasting With GARCH Models; 5.6 Estimation of and Inference on GARCH Models; References; Appendix 5.A Nonparametric Kernel Density Estimation; Chapter 6. Multivariate GARCH and Conditional Correlation Models |
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| | Abstract 6.1 Introduction and Preliminaries; 6.2 Simple Models of Covariance Prediction; 6.3 Full, Multivariate GARCH Models; 6.4 Constant and Dynamic Conditional Correlation Models; 6.5 Factor GARCH Models; 6.6 Inference and Model Specification; References; Chapter 7. Multifactor Heteroskedastic Models, Stoc60hastic Volatility; Abstract; 7.1 A Primer on the Kalman Filter; 7.2 Simple Stoc63hastic Volatility Models and their Estimation Using the Kalman Filter; 7.3 Extended, Second-Generation Stoc64hastic Volatility Models; 7.4 GARCH versus Stoc65hastic Volatility: Which One?; References |
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| | Chapter 8. Models With Breaks, Recurrent Regime Switching, and NonlinearitiesAbstract; 8.1 A Primer on the Key Features and Classification of Statistical Model of Instability; 8.2 Detecting and Exploiting Structural Change in Linear Models; 8.3 Threshold and Smooth Transition Regime Switching Models; References; Chapter 9. Markov Switching Models; Abstract; 9.1 Definitions and Classifications; 9.2 Understanding Markov Switching Dynamics Through Simulations; 9.3 Markov Switching Regressions; 9.4 Markov Chain Processes and Their Properties |
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| URL: | Inhaltstext: https://zbmath.org/?q=an:1418.62005 |
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| | Inhaltsverzeichnis: https://www.gbv.de/dms/tib-ub-hannover/1026915147.pdf |
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| Schlagwörter: | (s)Zeitreihenanalyse / (s)Finanzmathematik / (s)Ökonometrie |
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| | (s)Zeitreihenanalyse / (s)Finanzmathematik / (s)Ökonometrie / (s)Vektor-autoregressives Modell / (s)GARCH-Prozess / (s)Hidden-Markov-Modell |
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| Sprache: | eng |
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| Bibliogr. Hinweis: | Erscheint auch als : Online-Ausgabe: Guidolin, Massimo, 1968 - : Essentials of time series for financial applications. - London : Academic Press, an imprint of Elsevier, 2018. - 1 Online-Ressource (xvi, 417 Seiten) |
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| RVK-Notation: | QH 237 |
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| | SK 845 |
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| | SK 980 |
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| K10plus-PPN: | 1026915147 |
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Essentials of time series for financial applications / Guidolin, Massimo [VerfasserIn]; [2018]
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