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Time Series Models, 


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Название:  Time Series Models
ISBN: 9780367401320
Издательство: Taylor&Francis
Классификация:

ISBN-10: 0367401320
Обложка/Формат: Paperback
Страницы: 244
Вес: 0.45 кг.
Дата издания: 20.12.2019
Серия: Chapman & hall/crc monographs on statistics and applied probability
Язык: English
Размер: 213 x 140 x 18
Читательская аудитория: Undergraduate
Основная тема: Statistical Theory & Methods
Подзаголовок: In econometrics, finance and other fields
Ссылка на Издательство: Link
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Поставляется из: Европейский союз
Описание: The five papers in this book describe recent developments in the analysis, prediction, and interpolation of economic time series from various viewpoints. Topics include time series models for volatility, the nature of prediction errors, a biometrical perspective on the analysis of short time series, and the study of option pricing.


Continuous-Time Models in Corporate Finance: A User`s Guide

Автор: Moreno-Bromberg Santiago, Rochet Jean-Charles
Название: Continuous-Time Models in Corporate Finance: A User`s Guide
ISBN: 0691176523 ISBN-13(EAN): 9780691176529
Издательство: Wiley
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Цена: 7128.00 р.
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Описание:

Continuous-Time Models in Corporate Finance synthesizes four decades of research to show how stochastic calculus can be used in corporate finance. Combining mathematical rigor with economic intuition, Santiago Moreno-Bromberg and Jean-Charles Rochet analyze corporate decisions such as dividend distribution, the issuance of securities, and capital structure and default. They pay particular attention to financial intermediaries, including banks and insurance companies.

The authors begin by recalling the ways that option-pricing techniques can be employed for the pricing of corporate debt and equity. They then present the dynamic model of the trade-off between taxes and bankruptcy costs and derive implications for optimal capital structure. The core chapter introduces the workhorse liquidity-management model--where liquidity and risk management decisions are made in order to minimize the costs of external finance. This model is used to study corporate finance decisions and specific features of banks and insurance companies. The book concludes by presenting the dynamic agency model, where financial frictions stem from the lack of interest alignment between a firm's manager and its financiers. The appendix contains an overview of the main mathematical tools used throughout the book.

Requiring some familiarity with stochastic calculus methods, Continuous-Time Models in Corporate Finance will be useful for students, researchers, and professionals who want to develop dynamic models of firms' financial decisions.

Stochastic models for time series

Автор: Doukhan, Paul
Название: Stochastic models for time series
ISBN: 3319769375 ISBN-13(EAN): 9783319769370
Издательство: Springer
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Цена: 11878.00 р.
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Описание: This book presents essential tools for modelling non-linear time series.

A Time Series Approach to Option Pricing

Автор: Christophe Chorro; Dominique Gu?gan; Florian Ielpo
Название: A Time Series Approach to Option Pricing
ISBN: 3662450364 ISBN-13(EAN): 9783662450369
Издательство: Springer
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Цена: 13974.00 р.
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Описание: The Black Scholes framework is introduced and by underlining its shortcomings, an alternative approach is presented that has emerged over the past ten years of academic research, an approach that is much more grounded on a realistic statistical analysis of data rather than on ad hoc tractable continuous time option pricing models.

Non-linear time series models in empirical finance

Автор: Philip Hans Franses
Название: Non-linear time series models in empirical finance
ISBN: 0521779650 ISBN-13(EAN): 9780521779654
Издательство: Cambridge Academ
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Цена: 8237.00 р.
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Описание: An accessible guide to one of the fastest growing areas in financial analysis by one of Europes`s leading teaching and researching teams, first published in 2000. This classroom-tested advanced undergraduate and graduate textbook provides an in-depth treatment of non-linear models, including regime-switching and artificial neural networks.

Time Series Models for Business and Economic Forecasting

Автор: Franses
Название: Time Series Models for Business and Economic Forecasting
ISBN: 0521817706 ISBN-13(EAN): 9780521817707
Издательство: Cambridge Academ
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Цена: 14890.00 р.
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Описание: With a new author team contributing decades of practical experience, this fully updated second edition textbook summarises the most critical decisions, techniques and steps in creating effective forecasting models. Includes all new theoretical and practical exercises geared at guiding students through the steps of creating forecasting models on their own.

Time Series Models

Автор: Deistler
Название: Time Series Models
ISBN: 3031132122 ISBN-13(EAN): 9783031132124
Издательство: Springer
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Цена: 12577.00 р.
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Описание: This textbook provides a self-contained presentation of the theory and models of time series analysis. Putting an emphasis on weakly stationary processes and linear dynamic models, it describes the basic concepts, ideas, methods and results in a mathematically well-founded form and includes numerous examples and exercises. The first part presents the theory of weakly stationary processes in time and frequency domain, including prediction and filtering. The second part deals with multivariate AR, ARMA and state space models, which are the most important model classes for stationary processes, and addresses the structure of AR, ARMA and state space systems, Yule-Walker equations, factorization of rational spectral densities and Kalman filtering. Finally, there is a discussion of Granger causality, linear dynamic factor models and (G)ARCH models. The book provides a solid basis for advanced mathematics students and researchers in fields such as data-driven modeling, forecasting and filtering, which are important in statistics, control engineering, financial mathematics, econometrics and signal processing, among other subjects.

Автор: Cox, D.R.
Название: Time Series Models
ISBN: 041272930X ISBN-13(EAN): 9780412729300
Издательство: Taylor&Francis
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Цена: 24499.00 р.
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Stochastic Models for Structured Populations

Автор: Meleard Sylvie
Название: Stochastic Models for Structured Populations
ISBN: 3319217100 ISBN-13(EAN): 9783319217109
Издательство: Springer
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Цена: 5589.00 р.
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Описание: Stochastic Models for Structured Populations

An Introduction to Bispectral Analysis and Bilinear Time Series Models

Автор: T.S. Rao; M.M. Gabr
Название: An Introduction to Bispectral Analysis and Bilinear Time Series Models
ISBN: 0387960392 ISBN-13(EAN): 9780387960395
Издательство: Springer
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Цена: 16769.00 р.
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Описание: The theory of time series models has been well developed over the last thirt,y years. The most interesting feature of such a model is that its second order covariance analysis is ve~ similar to that for a linear model. This demonstrates the importance of higher order covariance analysis for nonlinear models.

Predictions in Time Series Using Regression Models

Автор: Frantisek Stulajter
Название: Predictions in Time Series Using Regression Models
ISBN: 1441929657 ISBN-13(EAN): 9781441929655
Издательство: Springer
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Цена: 15372.00 р.
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Описание: This book will interest and assist people who are dealing with the problems of predictions of time series in higher education and research. It will greatly assist people who apply time series theory to practical problems in their work and also serve as a textbook for postgraduate students in statistics economics and related subjects.

Modern Mathematical Models of Time and their Applications to Physics and Cosmology

Автор: W.G. Tifft; W.J. Cocke
Название: Modern Mathematical Models of Time and their Applications to Physics and Cosmology
ISBN: 9401063729 ISBN-13(EAN): 9789401063722
Издательство: Springer
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Цена: 6986.00 р.
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Описание: Proceedings of the International Conference held in Tucson, AZ, from 11-13 April 1996

Threshold Models in Non-linear Time Series Analysis

Автор: H. Tong
Название: Threshold Models in Non-linear Time Series Analysis
ISBN: 0387909184 ISBN-13(EAN): 9780387909189
Издательство: Springer
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Цена: 16769.00 р.
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Описание: In the last two years or so, I was most fortunate in being given opportunities of lecturing on a new methodology to a variety of audiences in Britain, China, Finland, France and Spain.


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