Time Series in Economics and Finance
Tomas Cipra
Time Series in Economics and Finance
Tomas Cipra
Paperback
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English
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Description
It covers decomposition methods, autocorrelation methods for univariate time series, volatility and duration modeling for financial time series, and multivariate time series methods, such as cointegration and recursive state space modeling.
Tomas Cipra is a Professor at the Department of Probability and Mathematical Statistics at the Charles University in Prague, Czech Republic, and an external lecturer at the University of Economics in Prague. He teaches econometrics, time series analysis and financial and insurance mathematics. He has authored 16 monographs and more than 150 publications, including a book on financial and insurance formulas, published by Springer. He is a member of the approbation commission of the Czech Society of Actuaries.