Essentials of Time Series for Financial Applications (ePub)
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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. The more advanced chapters provide discussion sections that refer to more advanced textbooks or detailed proofs.
- Provides practical, hands-on examples in time-series econometrics
- Presents a more application-oriented, less technical book on financial econometrics
- Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction
- Features examples worked out in EViews (9 or higher)
- Autoren: Massimo Guidolin , Manuela Pedio
- 2018, 434 Seiten, Englisch
- Verlag: Elsevier Science & Techn.
- ISBN-10: 0128134100
- ISBN-13: 9780128134108
- Erscheinungsdatum: 29.05.2018
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
- Dateiformat: ePub
- Größe: 33 MB
- Mit Kopierschutz
- Vorlesefunktion
"Guidolin and Pedio’s textbook provides a masterful treatment of some of the key methods of financial econometrics. The exposition is remarkably clear and rigorous, and all the main concepts are illustrated by rich practical examples. I highly recommend this book to higher level students and practitioners." --Laurent Calvet, EDHEC Business School
"With in-depth treatment of a wide variety of relevant topics, this book is a must-read for academics and practitioners working with quantitative methods in finance." --Dick van Dijk, Erasmus University Rotterdam
"Guidolin and Pedio provide a comprehensive overview of time series econometrics starting from the basics and building to more advanced topics including structural breaks, regime switching, range-based and realized covariance estimation. The authors guide the reader from introductory methods to multivariate and nonlinear methods in a succinct and readable manner and, in so doing, provide an excellent resource for both teaching and practice."--Tom McCurdy, University of Toronto
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