Prikaz knjige: Essentials of Time Series for Financial Applications
نویسندگان
چکیده
منابع مشابه
Machine learning algorithms for time series in financial markets
This research is related to the usefulness of different machine learning methods in forecasting time series on financial markets. The main issue in this field is that economic managers and scientific society are still longing for more accurate forecasting algorithms. Fulfilling this request leads to an increase in forecasting quality and, therefore, more profitability and efficiency. In this pa...
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Overview and Comparison of Short-term Interval Models for Financial Time Series Forecasting
In recent years, various time series models have been proposed for financial markets forecasting. In each case, the accuracy of time series forecasting models are fundamental to make decision and hence the research for improving the effectiveness of forecasting models have been curried on. Many researchers have compared different time series models together in order to determine more efficien...
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In this paper, the gamma test is used to determine the order of lag-k tail dependence existing in financial time series. Using standardized return series, statistical evidence based on the test results show that jumps in returns are not transient. New time series models which combine a specific class of max-stable processes, Markov processes, and GARCH processes are proposed and used to model t...
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The estimation of dependencies between multiple variables is a central problem in the analysis of financial time series. A common approach is to express these dependencies in terms of a copula function. Typically the copula function is assumed to be constant but this may be inaccurate when there are covariates that could have a large influence on the dependence structure of the data. To account...
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ژورنال
عنوان ژورنال: Zbornik Ekonomskog fakulteta u Zagrebu
سال: 2018
ISSN: 1333-8900,1845-495X
DOI: 10.22598/zefzg.2018.2.133